If the standard deviation of annual returns on the asset is 20% and the interval is half a year, then the downside change is equal to:
A) 37.9%
B) 19.3%
C) 20.1%
D) 13.2%

Question

Quizplus · Accepted Answer

The downside change for a half-year interval can be calculated using the formula for the standard deviation of a shorter period: annual standard deviation * sqrt(time period). Here, 20% * sqrt(0.5) = 20% * 0.7071 ≈ 14.14%. The closest option is 13.2%.

If the Standard Deviation of Annual Returns on the Asset