Thanks Brian.

I have read for example the following documents:

http://cran.r-project.org/web/packages/PerformanceAnalytics/vignettes/PerformanceAnalyticsPresentation-UseR-2007.pdf

However, I am looking for the "information coefficient" not "information
ratio/sharpe ratio", etc.

Thank you!

On Tue, Mar 13, 2012 at 7:19 PM, Brian G. Peterson <brian@braverock.com>wrote:

> On Tue, 2012-03-13 at 16:52 -0500, Michael wrote:
> > In Grinold's book, the key formula involve "information coefficient" and
> > "breadth"...
> >
> > How do we measure these in R?
> >
> > Any package does these?
>
> http://lmgtfy.com/?q=information+ratio+r-project+#
>
>
>
>

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