Actuarial Outpost
 
Go Back   Actuarial Outpost > Actuarial Discussion Forum > Finance - Investments
FlashChat Actuarial Discussion Preliminary Exams CAS/SOA Exams Cyberchat Around the World Suggestions


Not looking for a job? Tell us about your ideal job,
and we'll only contact you when it opens up.
https://www.dwsimpson.com/register


Finance - Investments Sub-forum: Non-Actuarial Personal Finance/Investing

 
 
Thread Tools Search this Thread Display Modes
Prev Previous Post   Next Post Next
  #1  
Old 08-02-2018, 05:49 PM
Kenny's Avatar
Kenny Kenny is offline
Member
Non-Actuary
 
Join Date: Jan 2003
Posts: 7,537
Default Testing manager performance i.e. comparing two samples

I have (for example) a data set of annual investment returns over a period of 10 years for 100 investment managers. They are ranked in some manner from 1 - 100. I think that managers ranked from 11-20 achieve better returns on average than managers ranked from 81-90 so I want to run a statistical analysis comparing these 2 groups, but I am not completely clear on the proper way to test this hypothesis.

I am looking at using a t test comparing the means of the 2 samples where the variance of the populations are assumed to be equal. Should I be running this test using:

1) average annual returns of each group over the 10 year period such each sample has 10 observations

2) actual returns of each manager over the 10 year period such that each sample has 100 observations

3) actual returns of each manager in a given year and aggregate the results across time somehow

4) ?

What if ranking is based on assets under management? Given that over a 10 year period the groupings may change slightly does that impact the way in which the analysis should be performed?
__________________
I am a scientist. I am sorry to disappoint you but I have never seen an elf or a troll. But who am I to exclude their existence? - Arni Bjoernsson
You are stupid and evil and do not know you are stupid and evil. ... Dumb students are educated stupid. - timecube.com
Usually while I'm reading, I'm actually thinking about...midgets riding toy horses - Roto


Reply With Quote
 

Thread Tools Search this Thread
Search this Thread:

Advanced Search
Display Modes

Posting Rules
You may not post new threads
You may not post replies
You may not post attachments
You may not edit your posts

BB code is On
Smilies are On
[IMG] code is On
HTML code is Off


All times are GMT -4. The time now is 10:38 AM.


Powered by vBulletin®
Copyright ©2000 - 2018, Jelsoft Enterprises Ltd.
*PLEASE NOTE: Posts are not checked for accuracy, and do not
represent the views of the Actuarial Outpost or its sponsors.
Page generated in 0.35108 seconds with 10 queries