Standard deviation of returns
A measure of how far returns scatter around their own average: how much a typical period differs from the mean result.
Formula
Returns are taken over equal periods and the sum of squared deviations is divided by the number of observations less one — the sample estimator, not the population one.
How to read the number
Two portfolios sharing this number did not give their owners the same experience: dispersion is symmetric, while only the downward half hurts.
When the metric lies
Also known as: return dispersion