No.PZ2022071202000085 (选择题)

问题如下：

Question A small-cap growth fund’s monthly returns for the past 36 months have been consistently outperforming its benchmark. An analyst is determining whether the standard deviation of monthly returns is greater than 6%. Which of the following best describes the hypothesis to be tested?

选项：

A.H₀: σ² ≤ 0.36% B.H_a: σ² > 6% C.H₀: σ² ≥ 0.36%

解释：

Solution

A is correct. This is a one-tailed hypothesis testing with a “greater than” alternative hypothesis. A squared standard deviation is being used to obtain a test of variance. The hypotheses are H₀: σ² ≤ 0.36% versus H_a: σ² > 0.36%.

B is incorrect as explained in choice A.

C is incorrect as explained in choice A