2. Wealth Re lative (1 ( Rt / 100))
rt ln(1 Rt / 100)
rManager rBenchmark
Sumofall Re turns r( t )
Numberof Re turns N
(r( t ) r )2
N 1

3. PercentileDistributionofTer min alWealthN e(Z Score* * N )
2
0.10 0.0225 0.15
*N
* N

4. Z Score * * N
Percentilefor r(t )
6 e5 e 0.68242 e1.00 e1.31758
Ter min alWealthofManagerN
RatioofCumulativeWealthN
Ter min alWealthofBenchmark N
r( t )
Ter min alWealthofManagerN X *e X * (1 R1 ) * (1 R2 ) * ... * (1 R N )
r( t )
Ter min alWealthofBenchmark N X *e X * (1 R1 ) * (1 R2 ) * ... * (1 R N )

5. rt
rt
rt
Rt
rt Rt
rt ln(1 Rt )
1 Rt exp(rt )
1 Rt e ( rt )

6. Rt rt
1 Rt (k )
1 Rt (k ) (1 Rt ) * (1 Rt 1 ) * (1 Rt 2 )....(1 Rt k 1 )
e rt ( k ) e ( rt ) * e ( rt 1 ) * ... * e ( tt k 1 )
r
e rt ( k ) e ( t )
rt (k ) k
rt (k ) ln[1 Rt (k )]
rt (k ) ln[(1 Rt ) * (1 Rt 1 )....(1 Rt k 1 )]
rt (k ) rt rt 1 ... rt k 1
UnitValue N (1 R1 ) * (1 R2 ) * ... * (1 R N )
r( t )
UnitValue N e

7. r( t )
Ter min alWealthN X *e X * (1 R1 ) * (1 R2 ) * ... * (1 R N )
r(t )
rt
r(t )
~N( ,
~N( , ~N( + , +
e( )
e( *t )
e( )
e( )
( )
e
2* * 2
* t
r(t )
E N ( r(t ) ) *N
r(t )
2 2
N ( rt ) *N
r(t )
N ( rt ) * N
r(t )
PercentileDistributionofTer min alWealthN e(Z Score* * N )

8. Sumofall Re turns r( t )
Numberof Re turns N
(r( t ) r )2
N 1
r( t )
Ter min alWealthofManagerN X *e X * (1 R1 ) * (1 R2 ) * ... * (1 R N )
RN
r( t )
Ter min alWealthofBenchmark N X *e X * (1 R1 ) * (1 R2 ) * ... * (1 R N )
RN
Ter min alWealthofManagerN
RatioofCumulativeWealthN
Ter min alWealthofBenchmark N