IR=IC ⋅ √BR
Where:
IR = Information Ratio, a measure of the risk-adjusted return of a strategy.
IC = Information Coefficient, representing the skill of the manager, i.e., the correlation between the predicted returns and the actual returns.
BR = Breadth, which refers to the number of independent bets or strategies (or the number of assets involved).
Any sample code or papers on how to calculate BR ?
Hi Emma,
You can refer to this paper, which discusses the formula and approach for Breadth(Br) calculation.