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I am looking for risk measures such as standard deviation for asset prices such as stock prices and index fund prices. It would be a trivial task if I had the data but since I do not have the data I need some third party service to let me know it. If no service provides such basic risk measure, I am interested to know how on earth speculators are supposed to analyze the riskiness of assets, from the stars?

I know that there are probably as many risk measures as speculators but please keep the focus on standard deviation and why it is not apparently provided by many services such as Google Finance or Ycharts.com. Sure it may be obfuscated under other names but could not even find indicators for volatility or things like that.

So how can I get standard deviation for asset prices?

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You have been a member for 9 months now and have asked 5 questions but have never received a single helpful answer? Please work on your accept rate. –  Monster Truck Jun 11 '11 at 16:50

4 Answers 4

up vote 6 down vote accepted

You can use google docs to create a spreadsheet. In field A2, I put

=GoogleFinance("SPY", "price", "1/1/2010", TODAY())

Google will load the prices into the sheet. At that point, I add the following into C12, then copy that line all the way down to the botton of column C.

=STDEV(B3:B12)/AVERAGE(B3:B12)

You can find my spreadsheet here. It calculates the moving 10 day standard deviation as a percentage of average price for that time period.

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Beautiful use of docs..... –  JoeTaxpayer Jun 10 '11 at 13:37
    
I never knew you could do that with GoogleDocs! –  Monster Truck Jun 11 '11 at 6:35

Almost every online datasources provide historical prices on given company / index's performance; from this, you can easily calculate "standard deviation" by yourself.

With that said, standard deviation presumes a fixed set of data. Most public corporations have data spanning multiple decades, during which a number of things have changed:

  • Complete industries boomed, then went under
  • Inflation rate
  • Consumer interest in a given company
  • Completely unrelated events (eg. the real estate crash) having an impact on non-related companies.

For these reasons, I have doubts on simplistic measures, such as "standard deviation" measuring any reality on the underlying vehicle.

Professional investors usually tend to more time-point data, such as P/E ratio.

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Yes. But OP needs a number to calculate options values. The equation just wants that one number for SD. –  JoeTaxpayer Jun 10 '11 at 13:37

Some years ago, two "academics," Ibbotson and Sinquefield did these calculations. (Roger) Ibbotson, is still around. So Google Roger Ibbotson, or Ibbotson Associates. There are a number of entries so I won't provide all the links.

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James Roth provides a partial solution good for stock picking but let's speed up process a bit, already calculated historical standard deviations:

Ibbotson, very good collection of research papers here, examples below

  • Liquidity as an Investment Style -paper here, by Roger Ibbotson, page 20 having standard deviations for sectors (1971-2009)
  • page 12, 1792-1925, more here

Books

  • Global Investing: The Professional's Guide to the World Capital Markets, Ibbotson
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