Calculate the required time period to achieve a t statistic

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Show that changing the information ratio from an annualized to a monthly statistic does not improve our ability to measure investment performance. It will still require a 16-year track record to demonstrate top-quartile performance with 95 percent confidence. First calculate the standard error of a monthly IR. Second, convert a top-quartile IR of 0.5 to its monthly equivalent. Finally, calculate the required time period to achieve a t statistic of 2.

Text Book: Active PortfoliText Book: Active Portfolio Management, 2/E By Grinold.o Management, 2/E By Grinold.

Reference no: EM13925299

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