论文标题
信息系数作为股票选择模型的绩效指标
Information Coefficient as a Performance Measure of Stock Selection Models
论文作者
论文摘要
信息系数（IC）是一个广泛使用的指标，用于衡量投资经理选择股票的技能。但是，它在评估股票选择模型的充分性和有效性尚未清楚地理解，因为来自现实的股票选择模型的IC几乎不会与零有实质性不同，并且通常伴随着高波动性。在本文中，我们研究了IC作为棍棒选择模型的性能度量的行为。通过模拟和简单的统计建模，我们在静态和动态上都检查了IC行为。考试可以帮助我们提出两个实用程序，这些程序可能用于基于IC的股票选择模型的持续性能监控。
Information coefficient (IC) is a widely used metric for measuring investment managers' skills in selecting stocks. However, its adequacy and effectiveness for evaluating stock selection models has not been clearly understood, as IC from a realistic stock selection model can hardly be materially different from zero and is often accompanies with high volatility. In this paper, we investigate the behavior of IC as a performance measure of stick selection models. Through simulation and simple statistical modeling, we examine the IC behavior both statically and dynamically. The examination helps us propose two practical procedures that one may use for IC-based ongoing performance monitoring of stock selection models.
