When we checking the relation between some factors and Stock price, we could use Information Coefficient(IC) to meausre.
And then I already have t-monthly IC for each factor, and I need to calculate the annualized Information Ratio(IR).
I think the formula should be
Annual_IR = (AVG(IC) / t) / (STD(IC) * SQRT(12/t))
However, I read a sample code with a difference. What I am confused about is that he multiplies another 12 after the calculation above.
Thank you for any help!