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