Is this number available for a ranking/ factor. If not, any ideas how we can test for it?
I think you have to download the data to do it. To see if your results are statistically better than the benchmark for a sim or port using a paired t-test in Excel:
In your port: Statistics>“Monthly Returns since xx/yy/zz.” Click the download button.
You will get download like the image. I have gone ahead and clicked Data>Data Analysis and scrolled down to “t-Test: Paired Two Sample for Means.” Click OK.
Delete the empty rows on top and enter the model column into “Variable 1 Range:” and the Benchmark into “Variable 2 Range:” Enter the hypothesized mean difference, check labels and maybe keep the alpha at the default (or can change significance level). Second image
Hope that helps.
-Jim
thanks - I will give it a shot and circle back!