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坏呼呼嘿嘿 · 2023年07月14日

请问这是那个知识点,怎么理解

NO.PZ2023010903000049

问题如下:

The new Heydon Quant Fund will use a factor-based strategy. Nowacki assembles a large dataset with monthly standardized scores and monthly returns for the strategy to back-test a new investment strategy and calculates the information coefficient. FS(t) is the factor score for the current month, and FS(t + 1) is the score for the next month. SR(t) is the strategy’s holding period return for the current month, and SR(t+1) is the strategy’s holding period return for the next month.

In Nowacki’s back-testing of the factor-based strategy for the new fund, the calculated information coefficient should be based on:

选项:

A.

FS(t) and SR(t)

B.

FS(t) and SR(t + 1)

C.

SR(t) and FS(t + 1)

解释:

The purpose of back-testing is to identify correlations between the current period’s factor scores, FS(t), and the next period’s holding period strategy returns, SR(t + 1).

请问这是那个知识点,怎么理解

1 个答案

笛子_品职助教 · 2023年07月15日

嗨,爱思考的PZer你好:


请问这是那个知识点,怎么理解

Hello,亲爱的同学。

这道题考的是基础讲义144页,画线的这段话。

划红线的,是题里的t期的FS,画绿线的,是题目里的t+1期的sr


当下的因子,要预测未来的收益,就需要,当下因子值(t期)和未来收益率(t+1期)之间,有相关性。

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