1
$\begingroup$

From the textbook, information coefficient (IC) is a measure of the depth of an active manager’s skill. On a more formal basis, IC measures the “correlation” between actual returns and those predicted by the portfolio manager (Grinold & Kahn, 2000; Fabozzi & Markowitz, 2011). Cross-checking Investopedia suggests the same thing. That is, it's the pearson correlation between returns and scores. However, my colleague is adamant that it's the rank correlation not the pearson correlation. Which one is correct?

$\endgroup$

0

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Browse other questions tagged or ask your own question.