Calculating Expected Return Expansion for Two Standard Deviations

To calculate by how much the expected return would have to expand to be beyond two standard deviations at the far right tail of distributions, we need to determine the value that is two standard deviations above the mean.

Let's assume the mean (expected return) is X.

Two standard deviations above the mean can be calculated as:

X + (2 * SD)

Where SD is the standard deviation (1.49%).

Therefore, the expected return would have to expand by (2 * 1.49%) = 2.98% to be beyond two standard deviations at the far right tail of distributions.