Hot answers tagged r2
If you assume that your monthly returns are independent from each other, then the annualized variance of each series, and the covariance can be annualized. This assumption allows you to use V(x1+X2+...+x12) = V(x1) + V(x2) + ... + V(x12) where xi is the return for the month "i". Actually, for this to happen you only need a weaker assumption: that is that ...
Only top voted, non community-wiki answers of a minimum length are eligible