So, basically I'm looking at {=SQRT(AVERAGE((R1:R100)^2))}, or in words: the square root of the average of squared daily returns.

Is there a nice simple term/name for this? (By simple term, I mean a word that I could use with non-statisticians and the like.)

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    $\begingroup$ I suppose it is the RMS (root mean square) return, but that term is not in widespread non-technical use en.wikipedia.org/wiki/Root_mean_square $\endgroup$
    – noob2
    Mar 30 '20 at 16:41
  • $\begingroup$ In statistical term this is a square root of second general moment, i.e. $\sqrt{E(X^2)}$. Could you provide more details? For which calculation do you use this measure? Afer that I would come with laymen explanation your are looking for. $\endgroup$ Mar 30 '20 at 18:22
  • $\begingroup$ Just one comment, the measure seems not to express volatility as there is no base you are measuring difference against (like an average in standard deviation). $\endgroup$ Mar 30 '20 at 18:25
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    $\begingroup$ @noob2 I just might use 'quadratic mean' mentioned in the Wikipedia article. Thanks $\endgroup$
    – Řídící
    Mar 30 '20 at 18:26
  • $\begingroup$ @MartinVesely I'm not looking for a layman explanation. (I have that.) But, rather, I'm looking for a good term/name for the measure to use after having explained it. $\endgroup$
    – Řídící
    Mar 30 '20 at 18:29

If you assume a zero drift for our asset return, this formula is indeed simply a measure for (daily?) volatility.

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    $\begingroup$ Thanks. I know. One of my own thoughts was to call it 'zero-drift volatility'. $\endgroup$
    – Řídící
    Mar 30 '20 at 20:01
  • $\begingroup$ I believe one can show that ‘zero drift volatility’ is the same as ‘regular volatility’ in the limit of small time steps. $\endgroup$
    – dm63
    Mar 31 '20 at 1:13
  • $\begingroup$ @dm63 That is indeed what I see over longer periods. But in this case, I'm using the measure for time periods that are small themselves. For example, six days of -2% each. Then the two measures are quite different. $\endgroup$
    – Řídící
    Mar 31 '20 at 4:24
  • $\begingroup$ @keep these mind, I agree with that. $\endgroup$
    – dm63
    Mar 31 '20 at 9:25

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