20.16.2. Peter is an analyst who is evaluating an investment fund whose managers claim has outperformed their benchmark. He collected monthly returns for the last five years; i.e., the sample size is excess return pairs over n = 60 months.
Background BT is known for our tough training-style practice questions, but I wanted to take it further and add more realism. I’ve been writing a fresh question sets on the regression topics; I’m always writing new questions!