NO.PZ201809170400000705
问题如下：
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：
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).
the current period’s factor scores, FS(t), and the next period’s holding period strategy returns, SR(t + 1).
老师，请问FS(t)为啥是factor score呢？这个score怎么理解？为啥不是预测current return再比对next period’s return？谢谢
