I don’t get it well. Can anyone offer a brief summary ? Thanks in advance !作者: cfalevel2011 时间: 2013-4-17 18:37
It plots managers’ performance relative to a benchmark, with a statistical confidence interval作者: ramzes 时间: 2013-4-17 18:37
Think of it as normal bell curve but rotated axis-you will get the idea.作者: Micholien 时间: 2013-4-17 18:37
I just do not understand if any conclusion can be made by examing the Quality Control Charts.作者: amqata 时间: 2013-4-17 18:38
It’s a bell curve with confidence interval. Goes back to quant days in level 2.
Hypothesis testing.作者: mkytz15 时间: 2013-4-17 18:38
So, we can conclude that a manager’s value-added return is statistically different from zeo if value-added return falls outside the confidence intervall ?作者: kkn006 时间: 2013-4-17 18:38
Exactly. So we reject the null which says manager does not add value.作者: comp_sci_kid 时间: 2013-4-17 18:38
You are welcome.作者: bodhisattva 时间: 2013-4-17 18:38
Is the “value-added return” the cumulative value-added return or the daily value-added return? Same thing goes with the 2sd range for the value-added return; do we use the deviation of the cumulative alpha or the daily alpha. When I look at the chart in the Schweser notes, it appears to be using a cumulative return as I would expect the line to dart around zero quite a bit if daily returns were used – but I can’t get my head around how the standard deviation of the cumulative returns would work – wouldn’t it be kind of skewed?
