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迪丽热6 · 2025年07月03日

讲义哪里有这个点?我怎么一点印象都没有了

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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).

如题

1 个答案

笛子_品职助教 · 2025年07月05日

嗨,努力学习的PZer你好:


讲义哪里有这个点?我怎么一点印象都没有了

在path-way equity基础讲义第100页,下方红色画线处。

讲义知识点的含义是:

calculated information coefficient based on 当期的factor scores 与下一期的stock return之间的相关性。


结合本题信息点:

FS(t) :对应讲义的factor scores for the current peiod's

SR(+ 1):对应讲义的the next period's stock return.


----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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