hard · Market Microstructure
A quantitative researcher is evaluating a strategy that claims an annual alpha of 2.0% with an annual tracking error of 8.0%.
To be 95% confident that the alpha is not due to luck (using a one-sided t-test where t_crit ≈ 1.645), approximately how many years of data are required?
- 16 years
- 10 years
- 66 years
- 44 years
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