徐威廉 · 2021年07月31日
* 问题详情，请 查看题干
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).
NO.PZ201809170400000705问题如下InNowacki’s back-testing of the factor-basestrategy for the new fun the calculatenformation coefficient shoulbaseon: A.FS(t) anSR(t). B.FS(t) anSR(t + 1). C.SR(t) anFS(t + 1). B is correct. The purpose of back-testingis to intify correlations between the current perios factor scores, FS(t),anthe next perios holng periostrategy returns, SR(t + 1). the current perios factor scores, FS(t), anthe next perios holng periostrategy 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 perios return？谢谢
NO.PZ201809170400000705 问题如下 InNowacki’s back-testing of the factor-basestrategy for the new fun the calculatenformation coefficient shoulbaseon: A.FS(t) anSR(t). B.FS(t) anSR(t + 1). C.SR(t) anFS(t + 1). B is correct. The purpose of back-testingis to intify correlations between the current perios factor scores, FS(t),anthe next perios holng periostrategy returns, SR(t + 1). rt
NO.PZ201809170400000705问题如下InNowacki’s back-testing of the factor-basestrategy for the new fun the calculatenformation coefficient shoulbaseon: A.FS(t) anSR(t). B.FS(t) anSR(t + 1). C.SR(t) anFS(t + 1). B is correct. The purpose of back-testingis to intify correlations between the current perios factor scores, FS(t),anthe next perios holng periostrategy returns, SR(t + 1). IC是真实值和预测值的相关系数 FS(t)因子得分怎么理解
NO.PZ201809170400000705 题目答案说，The purpose of back-testing is to intify correlations between the current perios factor scores, FS(t), anthe next perios holng periostrategy returns, SR(t + 1). 前面的解答中说 “回测必须是用真实的数据进行测试。我们没有未来的数据，当然是用历史数据进行回测了” “information coefficient是拿真实数据去做分析的，看当前的数据和下一期数据的相关系数” 那请问，在做回测的那个时刻，“当前数据”与“下一期数据”都是已经真实发生的历史数据吗？ 还是说，在做回测的时刻，只有“当前数据”，然后等一阵子出现了真实的“下一期数据”，再得到测试结果？
NO.PZ201809170400000705 IC是为了验证模型的准确性做回测用的，还是为了预计未来的？市场上都没有下一期 return，怎么求IC 呢？有点迷糊
