Why You Shouldn't Use Percentage Standard Deviations

In terms of thinking about price changes I think percentages are important and in terms of like reporting standard deviations so saying you know my long my long term standard deviation target is 25 percent a year would translate on the s&p to thousand points or something. In terms of calculating standard deviation there are actually good reasons why you should not use the percentages. The first is that prices can sometimes go negative we've seen that in the last well actually almost exactly three years ago the the price of front crude all went negative which doesn't make any sense. There is a way of getting around that which is to use the actual price of the contract as it was trading then rather than the back adjusted price as the

Transcript

Play full episode

Transcript

Episode notes

The AI-powered Podcast Player

Save insights by tapping your headphones, chat with episodes, discover the best highlights - and more!

Get the app