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Additionally, enabling the business calendar on option has an effect on this. It is not necessarily twice of 365, for example, 730. Even if returns are available for all the calendar days, the denominator can be 731, if one of the years is a leap year.
Hence, the daily annualized return value can differ from the monthly or quarterly annualized return value.
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The Capital Asset Pricing Model treats risk equally across both down and up markets. However, finance literature suggests that at least a portion of investors place more importance on losses compared to gains. Such loss aversion causes these investors to expect to receive a return premium for holding assets with greater downside risk. This leads to the specification and implementation of measures that can be used to assess investor exposure to one sided downside risk.
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