INSIGHTS

Please feel free to peruse our research and publications:

FQ Perspectives provide research and perspectives on relevant topics and new ideas.
Market Insights is how we share our ideas and outlook on markets and First Quadrant’s (FQ) offerings.
Publications include published papers which offer an in-depth and academic view on various concepts.

For a complete listing of all of our publications, download our Bibliography and send us your request.

Publications

July 2008
by Jia Ye

Financial Analysts Journal
The information coefficient (IC), the correlation between forecasted and realized return, is a popular measure of signal quality. As shown in this article, variation in IC is an important source of active risk, and IC variation has an effect on optimal portfolio structure. Contrary to popular belief, the ability to take short positions in equity portfolios does not necessarily lead to superior performance. Managers who can maintain a stable IC over time will benefit from short extensions, but managers who have an unstable IC may see their performance deteriorate from increased short positions.
This information is available through the external publication that published the work and retains the copyright to it. To obtain a copy, please contact FQ or the respective publication for the archives