Information coefficient

Manager: Unconstrained optimization involving monthly bets on market timing (rotation between equity and cash). Manager is correct 55% of the time. What is the information coefficient.

2(.55) - 1 = IC


It’s the formula in portfolio mgmt…you can read more about it in Schweser book 5 page 205.

It is not on curriculum. The formula on the curriculum is IC=COR(R/sd, u/sd).