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Here is my understanding:
To annualize the stdev of samples of period n (montly, weekly, daily, for
example) multiply by the square root of the number of such periods in a
year.
For example:
To annualize the stdev of monthly samples, multiply by SQRT(12) since there
are 12 months in a year.
For weekly samples, multiply by SQRT(52) since there are (approx) 52 weeks
in a year. SQRT(365/7) would be more accurate.
For daily samples, multiply by SQRT(250) (assuming there are no samples for
non-trading days) since there are (approx) 250 trading days in a year.
As far as the annualizing goes, it doesn't matter how many samples you have,
ie. even if you take the stdev of 10 years of monthly samples, you still
multiply by the SQRT(12) to annualize.
Scott
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