Education / Risk
A vocabulary for variability.
Three high-level statistical concepts often used to describe historical return behavior and market relationships.
Sigma²
Variance
A statistical measure of how widely observations have historically dispersed around their average.
Sigma
Standard deviation
The square root of variance, expressed in the same units as the observations it summarizes.
Beta
Market sensitivity
A historical measure of how an investment has tended to move in relation to a broad market benchmark.