Brian,

IR = IC * sqrt(BR)
is an approximation...

So it's better measure IC and BR directly from raw trades data.

You said BR is trivial, could you please show me how to measure
"independent bets" in practice?

Thank you!



On Tue, Mar 13, 2012 at 9:13 PM, Brian G. Peterson <brian@braverock.com>wrote:

> On Tue, 2012-03-13 at 20:54 -0500, Michael wrote:
> > 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.
>
> If you read carefully, as you clearly did not, Information Coefficient
> (IC) is a function of the Information Ratio(IR).  So, you cannot be
> looking for one without the other.
>
> In my copy of Grinold and Kahn (second edition), Chapter 5 is about the
> 'Information Ratio' as implemented in PortfolioAnalytics.
>
> Breadth is so trivial that I'm not even going to discuss it, as should
> be obvious if you understand what you are reading.
>
> The formula for Information Criteria[1] is
>
> IR = IC + sqrt(BR)
>
> I suspect that (even) you can figure out the algebraic substitution to
> put IC on its own on one side of the equation with Information Ratio on
> the other.
>
> Ref:
> Grinold and Kahn, Active Portfolio Management. Second Edition. p. 148
>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
>

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