I know that there is already a very similar post about this. Unfortunately it does not correspond exactly to my question, so I will try it again myself. I am trying to calculate the MRM of a Category 3 PRIIP. After I was unsure about my result I wanted to recalculate the example shown in the flow chart.

EU Flow chart, Example on page 12

I get all results except E[RETURN MEASURED]. I thought it was required to calculate the mean value of the N assigned daily logreturns times N. But this does not even come close to the 0.004067173 from the example. But I get very close to the result if I calculate the mean of all available historic returns and multiply it by N. Can anyone tell me if the second approach is right?

The formulations are unfortunately very incomprehensible and in contrast to E[Return_risk-neutral], E[RETURN MEASURED] is not explained.

Tank you!


the second approach is right from my reading. Page 10 step 4 third bullet says you need to calculate the mean return over the observed period and multiply by N. This is the second approach you describe above.

Query from my side - i can get all the numbers in the example except the risk free return over the RHP. how did you calculate this?


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