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For a particular trading strategy involving 6 assets, you have calculated: The Information coefficient (IC) as 0.83; The correlation matrix of the returns on those

For a particular trading strategy involving 6 assets, you have calculated:

The Information coefficient (IC) as 0.83;

The correlation matrix of the returns on those assets:

A

B

C

D

E

F

A

1

B

0.94

1

C

0.05

0.06

1

D

0.92

0.96

-0.06

1

E

-0.02

0.03

0.08

0.07

1

F

0.08

-0.01

0.1

0.2

0.05

1

Based on these data and nothing else, what is the Information Ratio (IR) for this strategy?

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