AIM UK

[ls7550]

Hi Tom

For my yearly based (1946 to 2008) values :-

Average 2.61
Min -2.49
Max 8.9
Stdev 2.549

1.28 stdev (e.g. from table http://www.statsoft.com/textbook/sttable.html = 80% of the distribution) = 2.549 * 1.28 = 3.262

Average -1.2 stdev = -0.651
Average +1.2 stdev = 5.8751

Current -5.3

So my average of 2.61 is a bit higher than your 1.88 average.

Similarly my 80% boundaries (1.28 stdev) shows top 10% of around 5.87% vs your 3.8 and my lower 10% of -0.65 vs your -0.85

Whilst different the two seem reasonably close generally. And the current -5.3 (your -3.17) certainly is very deeply into the bottom 10%. At over 3 standard deviations down from the average it's in excess of 99.7%

A Black Swan (6 sigma) event would require a 12.6% I-MD value.

Best. Clive.