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week Portfolio 1 1.928% 2 1.934% 3 -1.747% 4 -4.764% 5 3.925% 6 1.929% 7 -1.193% average 0.288% Standard deviation 2.977% alpha -0.002 Since you
week | Portfolio |
1 | 1.928% |
2 | 1.934% |
3 | -1.747% |
4 | -4.764% |
5 | 3.925% |
6 | 1.929% |
7 | -1.193% |
average | 0.288% |
Standard deviation | 2.977% |
alpha | -0.002 |
Since you know that according to the CAPM the intercept of these regressions (i.e. alpha) should be zero, this coefficient can be used as a measure off the value added provided by the investment manager. Which funds have statistically outperformed and underperformed the market using a two-sided 95% confidence interval? (Note: the relevant t-statistic using 60 observations is 2.00,the hypothesis : ).
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