A Division of Windham Capital Management, LLC

Cash Flow Disbursement Revision

Prior to revision 5825, the cash flow disbursement schedule table calculated the percentile values from a vector of simulated disbursements but accounted for disbursements as positive values. Consider the case where there were ten simulation paths and the disbursement values are sorted as positive values:

                     
Simulation Path #Disbursement (thousands)
6$10
5$20
2$30
4$40
1$50
7$60
3$70
8$80
10$90
9$100


Sorted this way the disbursement reported at 75th percentile (25% confidence) is $80. However, this is inconsistent with the contribution and net cash flow columns where outflows are modeled negative values.

From revision 5825 on, we sort the disbursements as negative cash flows prior to calculating the percentile.

                                                                                     
Simulation Path #Cash Flow (thousands)
9-$100
10-$90
8-$80
3-$70
7-$60
1-$50
4-$40
2-$30
5-$20
6-$10

 

Sorted this way, the reported 75th percentile (25% confidence) disbursement is $30.