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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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