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
It is the survey which is carried out in Great Britain on a continuous basis since 1971. About 100 000 households are included in this sample every year. The main goal of the surve


The measure of the degree to which the particular model differs from the saturated model for the data set. Explicitly in terms of the likelihoods of the two models can be defined a

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

Interim analyses : An analysis made before the planned end of a clinical trial, typically with the aim of detecting the treatment differences at the early stage and thus preventing


show all the ways in which 3 games of football can be concluded(it can be a win W,a loss L,or a draw X)

Multi dimensional unfolding is the form of multidimensional scaling applicable to both the rectangular proximity matrices where the rows and columns refer to the different sets of

Information theory: This is the branch of applied probability theory applicable to various communication and signal processing problems in the field of engineering and biology. In

Committees to monitor the accumulating data from the clinical trials. Such committees have chief responsibilities for ensuring the continuing safety of the trial participants, rele