FRM真题2008Question 2-18

20. John Flag, the manager of a $150 million distressed bond portfolio, conducts stress tests on the portfolio. The portfolio’sannualized return is 12%,with an annualized return vol
atility of 25%. In the last two years, the portfolio encountered several days when the daily value change of the portfolio was more than 3 standard deviations. If the portfolio would suffer a 4-sigma daily event, estimate the change in the value of this portfolio.

答案是25% /252^0.5 = 1.57%
1.57% x 150 x 4 = 9.45

请问为何是4，而不是4^0.5