Standard deviation of returns

Can anyone tell me what the average standard deviation of yearly returns for the ASX 300 is? My google fu is not good enough to find it myself.

 

Have a look at the work that Dan @ ordinary dollar has done.

https://ordinarydollar.com/safe-withdrawal-rates-for-aussies-part-4-portfolio-optimisation/

 

Nice blog!

 

Take a look at the ASX VIX. You can average yourself over whatever timeframe.

 

Thanks for the answers, much appreciated.

 

Using this data https://www.marketindex.com.au/site...stics/historical-returns-infographic-2017.pdf

Arithmetic average 1-year return is 13.2% (Compound return is 11.7%,) and Standard Deviation is 17.3%

A key concept is the longer you hold the lower the volatility of return.

For example, the average compound return for holding periods of 10 years is 12.0% and the standard deviation falls to 3.6%





Based on historical data, the Std Deviation of a 20-year holding period is around 2% and average return is around 12% so a negative return over a 20 year period would be like a six sigma (6 std deviations) event, quite rare.

With all this historical data analysis its always best to exercise some caution. The data sample is limited and of questionable quality the further you go back. There is no guarantee that the past 100 odd years will be representative of the future 20-50 years which will determine our outcomes, both average and volatility could change. Negative 20 year returns could be more (or less) common than a 6 sigma event going forward. But regardless, the principle that the longer the holding period the lower the range in expected return is solid math.

Put the math on your side - Invest over a life time - Be the turtle!

 

Thanks dunno. I definitely intend to invest over my lifetime and whilst caution regarding extrapolating past results into the future is definitely wise, it's also good to see some solid math backing up the principle.