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A lower-tail one-sided test on drawdown risk

A risk analyst worries a strategy actually loses money, so the pre-registered alternative is that the mean return is negative (mean <0< 0). The test statistic comes back as z=1.65z = -1.65.

Compute the one-sided (lower-tail) p-value for z=1.65z = -1.65, and explain why you use the lower tail here.

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