Can you please advise?
I have been recently trying to sort this out for couple of days but cannot get the same numbers as previous authors:
The equation is shown in Agarwal and Naik Multi-Period Performance Persistence Analysis of Hedge Funds (2001) (link) as:
The question is why is there "sigma" and what does it represent?
I have seen the same equation written in the following way:
And again I can do ln(CPR) and the square root bit but the "sigma" appears again! I cannot do a stdev calculation because the CPR is a single number [that is if sigma represents standard deviation in this case?]
Can you advise what "sigma" may represent in here?