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OFEP021500 – EPT MRM Sigma
Volatility of observed returns. In financial mathematics volatility is represented by the Greek small letter sigma (σ).
The formula for sigma is: σ=√[(1/n) x ∑(r(i)-μ)²]
with n… number of observations (OFEP021300 EPT Number Of Observed Returns) r(i)… return in period i μ… mean return of all observations (OFEP021400 EPT MRM Mean Return)
//This field was introduced by the European Working Group with their PRIIPS Data Dictionary Template (EPT). EPT: 02150_Portfolio_Observed_Sigma. More information can be found in the Regulatory Technical Standards (RTS), Annex II, Part 1, (12).//
| Property | Value |
|---|---|
| OF-ID | OFEP021500 |
| Name | EPT MRM Sigma |
| Area | European PRIIPs Template (EPT) |
| Level | Share Class |
| Format | Decimal number |
| Tags | EPT |
| Introduced in | openfunds 1.26 |
| FinDatEx EPT field | 02150_Portfolio_Observed_Sigma |
Values
Decimal figure, rounded to maximal 7 digits after the decimal point.
Example
0.08 (instead of 8%)
FundsXML 4 mapping
FundsXML EPT block:
RegulatoryReportings/…/EPTV2/PerformanceScenario/ObservedSigma
The field mapping table lists every field; openfunds to FundsXML explains the rules behind it.
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