Learning outcome: Determine the statistical significance of a performance measure using standard error and the t-statistic. Describe style analysis. Explain the difficulties in measuring the performance of actively managed portfolios.
Questions:
21.11.1. Jane Dart is a portfolio manager (she...
Learning objectives: Construct, apply, and interpret hypothesis tests and confidence intervals for a single regression coefficient in a regression. Explain the steps needed to perform a hypothesis test in a linear regression. Describe the relationship between a t-statistic, its p-value, and a...
The test statistic of the slope is given by (b1 - β)/SE(b1), although typically the null hypothesis is H(0):β = 0, such that the test statistic simply divides the regression coefficient by its own standard error (i.e., standard deviation of the estimate). This is compared to the student's t...
The explores the answer to Miller's EOC Question #2: "You are given the following sample of annual returns for a portfolio manager. If you believe that the distribution of returns has been stable over time and will continue to be stable over time, how confident should you be that the portfolio...
Hello,
I would like to ask what is the correct form of Z and t-statistics. If I am not mistaken it is
[mu-X(h)]/SE,
where mu = population mean, observed value or beta in case of regression and X(h) is the tested value or null hypothesis.
Are there any cases when the numerator should be...
Hi David,
209.2 Over the last two years, a fund produced an average monthly return of +3.0% but with monthly volatility of 10.0%. That is, assume the random sample size (n) is 24, with mean of 3.0% and sigma of 10.0%. Further, the population's returns are normal. Are the returns statistically...
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