The reference formula for annualized volatility σf is the square root of the annualization coefficient multiplied by the square root of the sum of squared deviations from the mean, divided by the number of observations minus one. This formula is essential for assessing the risk of investment funds.

The volatility analysis methodology relies on the calculation of the annualized standard deviation of returns. For weekly returns, the annualization coefficient m equals 52, as specified in the CESR/ESMA guidelines transposed into AMF instruction No. 2011-15. This coefficient converts weekly volatility into an annualized measure.

AMF instruction No. 2011-15 prescribes that the absolute VaR must not exceed 20% of net assets for funds making significant use of derivative instruments. This rule aims to limit risk exposure.

The SRRI is calculated from weekly annualized volatility, not monthly. Weekly volatility is calculated over 260 observations corresponding to five years of data. This precision is crucial for a correct risk assessment.

The SRI was introduced by the PRIIPs regulation to gradually supersede the SRRI, but only for packaged products. It does not replace the SRRI for all financial products. This distinction is important for understanding the application of both indicators.

The SRRI classification grid establishes seven risk classes. An annualized volatility of 7% falls into Class 4, which corresponds to a volatility between 5% and 10%. This class is typically associated with balanced diversified funds.

To calculate the SRRI, the annualized weekly volatility is based on 260 observations, corresponding to five years of data (52 weeks per year x 5 years). This precision is crucial for a correct risk assessment.

The SRRI is based on annualized volatility, while the SRI combines a Market Risk Measure (MRM) based on VaR-Equivalent Volatility at 97.5% confidence level and a Credit Risk Measure (CRM). These differences are essential for understanding the two frameworks.