Estimate the annual return std Dev from monthly return SD

[UncleWai]

It's not a graded assignment, I just get credit for doing them.
I have a set of monthly return data and calculated the standard deviation of the monthly returns.
How am I suppose to get an estimate of the annual data from just the SD of the monthly deviation?
I thought about multiplying it by 12months, but the SD will be over 100% which makes no sense.

 

[ggavinmoss]

Link the monthly returns and then take the SD of that 12 month return.

-geoff

 

[UncleWai]

Yes, that's what I did to answer the question.
But the question specifically asked
"Using the estimate of the monthly return standard deviation for each asset, compute an estimate of the annual return standard deviation."
which seems very strange to me.