I show IR = alpha/volatility(alpha)
and..... t-statistic = alpha coefficient/alpha s.d.
How are these two different?
and..... t-statistic = alpha coefficient/alpha s.d.
How are these two different?
t-stat [coefficient/standard error (coefficient)]
= t-stat [alpha / annualized standard error (alpha)]
.... where annualized standard error (alpha) = annualized tracking error = TE * SQRT(1/T), such that:
t-stat = [alpha / TE * SQRT(1/T) ] = (alpha / TE) * SQRT(T) = IR * SQRT(T)
Hi David, could you help me solve this question?
72/ garp 2016. An analyst regresses the returns of 100 stocks against the returns of a major market index. The resulting pool
of 100 alphas has a residual risk of 18% and an information coefficient of 9%. If the alphas are normally
distributed with a mean of 0%, roughly how many stocks have an alpha greater than 3.24% or less than -3.24%?