hard · Market Microstructure
A trader is evaluating a manager's performance over 10 years. The manager produced an average annual alpha of 1.5% with an annual tracking error (σ_α) of 6%.
At a 95% confidence level (t_crit = 1.64), how many years (n) would be statistically required to distinguish this skill from luck?
- 6.5 years
- 24 years
- 43 years
- 16 years
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