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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:

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The question is why is there "sigma" and what does it represent?

I have seen the same equation written in the following way:

enter image description here

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?

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    $\begingroup$ It's just a name for the expression on the right hand side? $\endgroup$ – Bob Jansen Jan 27 at 14:43
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I have found a solution to the issue. I was using the mean of winners and loser instead of the total [correct] in computation of the CPR and Z-stat.

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    $\begingroup$ For me it's not quite clear what is happening here. Could you elaborate? $\endgroup$ – Bob Jansen Jan 27 at 15:09

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