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Quantitative Finance · Glossário

O que é Annualisation?

Definition 22.1 Research Craft: Predictors, Backtests, Measurement, Portfolios · Capítulo 22 — Performance Measurement

Annualisation converts a statistic measured on periods of one length to a year: with qq periods a year, the mean is multiplied by qq, the volatility by q\sqrt q and the Sharpe ratio by q\sqrt q. The scaling of the volatility and of the Sharpe ratio holds only when the returns are serially uncorrelated.

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