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11_18_09ans - STAT 409 1 Fall 2009 Examples for An...

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STAT 409 Examples for 11/18/2009 Fall 2009 1. An investment analyst wants to test whether differences exist between the returns on two mutual funds. Paired data of annualized rates of return for the two mutual funds during 15 randomly chosen months are as follows. Month Fund A return (%) Fund B return (%) A – B 1 12 14 – 2 2 11 15 – 4 3 14 16 – 2 4 10 9 1 5 12 10 2 6 8 8 0 7 16 18 – 2 8 13 12 1 9 12 17 – 5 10 10 13 – 3 11 6 10 – 4 12 9 12 – 3 13 16 15 1 14 13 19 – 6 15 10 14 – 4 a) Conduct a sign test for determining whether or not returns on the two mutual funds are equal. Use α = 0.05. H 0 : m A = m B vs. H 1 : m A m B 2 – tailed. 4 positive differences out of 14 (non-zero). p-value = 2 × P ( Y 4 ), where Y has a Binomial distribution with n = 14, p = 0.50 = 2 × 0.0898 = 0.1796 . p-value > α Do NOT Reject H 0 .
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b) Conduct a signed rank test for determining whether or not returns on the two mutual funds are equal. Use α = 0.05. H
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11_18_09ans - STAT 409 1 Fall 2009 Examples for An...

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