Best/Worst Case Cumulative Value

The Best / Worst Case Cumulative Value is the best / worst case total portfolio value after T periods under a best / worst case scenario. The likelihood of obtaining a total portfolio value that is more extreme than the Best / Worst Case Cumulative Value (given the inputs) is approximately 2.5%.

where:

CCM = expected continuously compounded mean return

CCV = expected continuously compounded variance of return

E[R] = Portfolio Return
V = variance of portfolio
T = number of periods

Note: The "1.96" can be replaced with "2." The 1.96 represents 1.96 standard deviations, which corresponds to 95% of the distribution. The 2 represents 2 standard deviations, which corresponds to 95.4% of the standard deviation.

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