PS7 - ISMT111 Problem Set #7 (1) You are analyzing Sendar...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: ISMT111 Problem Set #7 (1) You are analyzing Sendar Equity Fund, a mutual fund that has been in existence for 24 months. Over this period, it has achieved a monthly (sample) average return of 0.95 percent with a sample standard deviation of monthly returns of 0.36 percent. Given its level of systematic risk relative to the market, (i.e., its beta coefficient ), this mutual fund was expected to have earned a monthly return of at least 1.15 percent over that time period. Taking this expectation as the null hypothesis H o about the population monthly return μ X of the fund, are the actual (i.e., sample) results of the past 24 months consistent with expectation? Test the following hypothesis: H o : μ X ≥ 1 . 15 against H a : μ X < 1 . 15 If monthly return, X , of this mutual fund is normally distributed, the test conclusion would be (A) Reject H at the .005 level. (B) Do not reject H at the .01 level but reject H at the .025 level. (C) Reject H at the .05 level but do not reject H at the .025 level. (D) Do not reject H at the .005 level but reject H at the .01 level. (E) Reject H at the .10 level but do not reject H at the .05 level....
View Full Document

This note was uploaded on 12/22/2009 for the course ISOM ISOM111 taught by Professor Anthonychan during the Fall '09 term at HKUST.

Page1 / 2

PS7 - ISMT111 Problem Set #7 (1) You are analyzing Sendar...

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online