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December is also the least historically volatile month, with a standard deviation of returns of 3.17%.
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The last column in the table is also worthy of note, as it shows the standard deviation of returns.
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The standard deviation of returns for quadruple witching expiration weeks is only 2.2% which is considerably less than typical weeks, with a standard deviation of returns of more than 3%.
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Sure enough, using standard deviation of the returns, the day after Election Day is significantly more volatile than a normal day by about 80% (1.99% vs. 1.14%).
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Proof of this can be found in the standard deviation, a measure of how volatile annual returns were.
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Table 3 below provides a summary of the annualized standard deviation and returns for each asset class, the weighted average risk and return and the total portfolio risk and return from January 1979 through December 2009.
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One common yardstick of volatility is standard deviation, which uses annualized monthly returns over time as a baseline.
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