Rachel
2019-11-16 18:03老師，請(qǐng)問(wèn)這里的two variations on the IC calculation指什么？
所屬：CFA Level III > Equity Portfolio Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Chris Lan助教
2019-11-18 11:19
該回答已被題主采納
同學(xué)你好，你可以參考原版書V4的432頁(yè)，這兩個(gè)方法是以兩個(gè)人命名的算法。一個(gè)叫Pearson IC，另一個(gè)叫Spearman rank IC。
The Pearson IC is the simple correlation coefficient between the factor scores (essentially standardized exposures) for the current period’s and the next period’s stock returns.
The Spearman rank IC is essentially the Pearson correlation coefficient between the ranked factor scores and ranked forward returns.
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