Q.
In Nowacki’s back-testing of the factor-based strategy for the new fund, the calculated information coefficient should be based on:
- FS(t) and SR(t).
- FS(t) and SR(t + 1).
- SR(t) and FS(t + 1).
Solution
B is correct. 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).
请问为什么backtest不是看current period的F and return的关系？（为什么A不对？）
