Going back to the Ned Kelley Hedge Fund in our previous example, what loss level might we expect over six months with a probability of .17?

Example 13.11

The Ned Kelley Hedge Fund focuses on investing in bank and transportation companies in Australia with above-average risk. The average annual return is 15 percent with an annual return standard deviation of 50 percent. What loss level can we expect over a two-year investment horizon with a probability of .17?