Chapter 20: Strategy Synthesis
From Information Coefficient to Information Ratio intermediate
"It takes only a modest amount of skill to win as long as that skill is deployed frequently and across a large number of stocks." -- Grinold and Kahn (1999)
"It takes only a modest amount of skill to win as long as that skill is deployed frequently and across a large number of stocks." -- Grinold and Kahn (1999)
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References
Extending the Fundamental Law of Investment Management
Danielle Trichilo, Jeffrey L. Braun
(2005)
The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality
David H. Bailey, Marcos Lopez de Prado
(2014)
Information Coefficient as a Performance Measure of Stock Selection Models
Feng Zhang, Ruite Guo, Honggao Cao
(2020)
The 'Fundamental Law of Active Management' is No Law of Anything
Richard O. Michaud, David Nathaniel Esch, Robert O. Michaud
(2017)