medium · Market Microstructure
A statistician is testing a manager for skill where the manager's true alpha is 3% per year and the standard deviation of excess returns is 10%.
How many years of data are required to confirm this skill at a 95% confidence level (one-sided t-test, t_crit = 1.64)?
- 100 years
- 15 years
- 30 years
- 11 years
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