Rates of return, Advanced Statistics

An investor with a stock portfolio sued his broker, claiming that a lack of diversification in his portfolio had led to poor performance. The data, shown below, are the rates of return (percent) of the portfolio for the 39 months that the account was managed by the broker. (The data are in chronological order, reading the table row-wise.)

The arbitration panel used the average of the "Standard and Poor's 500 stock index" for the same period, which was 0.95%, as a reference performance. Consider the 39 monthly rates of return as a random sample from the population of monthly rates of return the  brokerage would generate if it managed the account forever.

Reference: Moore, D.S., McCabe, G.P., and Craig, B. (2008), Introduction to the Practice of Statistics, 6th edition (New York: Freeman)

Investigate whether there is evidence that the brokerage in its handling of this account yields an average monthly rate of return different from the reference performance.

1. State the model behind the appropriate t-test, and assess those assumptions for which sufficient information has been provided. (You are given that your assessment will not reveal any problems with the model and that the t-test is appropriate.)

2. Clearly state the appropriate null hypothesis and carry out the t-test

3. If it is concluded that there is evidence of an average monthly rate of return different from the reference performance, obtain a 95% confidence interval for this difference. Explain in your own words how the confidence interval should be interpreted

4. Synthesise your investigations into a coherent report, incorporating each part above and any further discussion as appropriate + A note of caution. In your use of the relevant procedure in the statistical computing software, ensure that you enter the appropriate Null hypothesis: µ = value

Posted Date: 2/27/2013 7:08:26 AM | Location : United States







Related Discussions:- Rates of return, Assignment Help, Ask Question on Rates of return, Get Answer, Expert's Help, Rates of return Discussions

Write discussion on Rates of return
Your posts are moderated
Related Questions
Hamilton County judges try thousands of cases per year. In an overwhelming majority of the cases disposed, the verdict stands as rendered. However, some cases are appeale

An auditor for a government agency needs to evaluate payments for doctors' office visits paid by Medicare in a small regional town during the month of June. A total of 25,056 visit

Nested design  is the design in which levels of one or more factors are subsampled within one or more other factors such that, for instance, each level of a factor B happens at onl

Model is the description of the supposed structure of a set of observations which can range from a fairly imprecise verbal account to, more commonly, a formalized mathematical exp

Zero-inflated Poisson regression is  the model for count data with the excess zeros. It supposes that with probability p the only possible observation is 0 and with the probabilit

Geo statistics: The body of methods useful for understanding and modelling spatial variability in a course of interest. Central to these techniques is the idea that measurements t

This graph for Cross Correlation Function for RES1, RES1 shows that there is possibly negative autocorrelation as there are alternating spikes; also the first spike is negative whi

Sam Tyler, a single taxpayer, social security number 111-44-1111, bought Rental Equipment on 04/01/2010. He paid $400,000 including all closing and delivery costs. In the current y

The technique of sampling used in the ecology for determining how much plants or animals are in a given fixed region. A set of randomly placed lines or points is recognized and the

This is the theorem which states that if the error terms in a multiple regression have the same variance and are not corrected, then the estimators of the parameters in the model p