FRM真题每日一练，备考的你看过来！

在备考FRM中做大量的真题练习是很重要的，尤其是冲刺阶段，考生需要做历年来的真题，这个做题的过程不仅帮助自己巩固相关知识，还能做到查漏补缺的作用。下面是小编列举的相关例题解析，备考的你看过来！

Nazik, a portfolio manager, claims to have consistently produced excessive returns (over and above the benchmark returns) 95% of the time due to her skill and not luck. To support her claim, she presents regression results based on 72 monthly observations as follows: alpha = 0.58%, standard error of alpha = 0.232% Would you reject the null hypothesis of true α = 0 and accept her claim of superior performance 95% of the time due to her skill?

A) t = 2.50; reject the null hypothesis; reject her claim.

B) t = 2.50; reject the null hypothesis; accept her claim.

C) t = 2.39; fail to reject the null hypothesis; accept her claim.

D) t = 2.39; reject the null hypothesis; accept her claim.

答案：B

解析：t = alpha / standard error of alpha t = 0.0058 / 0.00232 = 2.5 Since t is greater than 2, we reject the null hypothesis at 95% confidence level and accept her claim of producing skill-based superior performance.

Based upon 48 monthly returns, you estimate an actively managed portfolio alpha of 1.05% and a standard error of alpha of 0.14%. The portfolio manager wants to get due credit for producing positive alpha and believes that the probability of observing such a large alpha by chance is only 1%. Calculate the t-statistic, and state whether you would accept or reject the claim made by the portfolio manager based on the estimated t-value.

A) t-statistic: 7.5; Conclusion: Reject

B) t-statistic: 7.5; Conclusion:Accept

C) t-statistic: 10.8; Conclusion: Reject

D) t-statistic: 10.8; Conclusion:Accept

答案：B

解析：t-statistic = alpha/standard error of alpha = 1.05%/0.14% = 7.5 With a large sample of 48 and a high t-statistic, we can not reject the null hypothesis.

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