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Please solve all parts completely: 6. You have tested two new investment ideas, and found the following results using the factor portfolio approach to information
Please solve all parts completely:
6. You have tested two new investment ideas, and found the following results using the factor portfolio approach to information analysis. The first signal (below) has an overall IR of 1.32, with annual turnover of 409%. The second signal has IR=0.90, with annual turnover of 555%. Based only on this analysis, how (if at all) would you propose using these signals? month lng mot ko 2.06. 3 months s- 200- Imtahun mu) 003- 02- 2014 0.00- -0.014 200001 200101 200201200301 200401 200501 200001 O month lng 1 month las 3 month lng logResual return 0.0337 0.028 0.023 0.018 0.013 0.008- 0.003 -0.002 -0.007 -0.012 -0.017 -0.0224 200001 200101 200201 200301 200401 200501 200601 Step by Step Solution
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