BT Question P1-T2-20-16-2: Univariate regression: Portfolio versus benchmark returns

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.

BT Question P1-T2-20-16-1: Univariate regression: Inflation versus unemployment (using gt package to display table)

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!