Best and Worse Statistics

Best and Worse Statistics

Best and Worst Period Returns

The best period return for a time window is simply the maximum of the returns inside this window. Similarly, the worst period return for a time window is the minimum of the returns inside this window. Thus, if the return series is r1, ..., rn, we have

        Best Period Return = max(r1, ..., rn)

        Worst Period Return = min(r1, ..., rn)

 
 

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