easy · Quantitative Finance prob-stats
A strategy is tested over 400 days and shows a mean daily return of 0.10% with a daily volatility of 1.6%.
At the 5% significance level (two-tailed critical value 1.96), is the result statistically significant?
- No, because the t-statistic is 1.25, which is less than 1.96.
- No, because the daily mean is smaller than the daily volatility.
- Yes, because any positive mean return is significant over a sample as large as 400 days.
- Yes, because the t-statistic is 2.50, which is greater than 1.96.
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