quantlab.portfolio.config.GrinoldExpectedReturnConfig#

class quantlab.portfolio.config.GrinoldExpectedReturnConfig(ic)[source]#

Bases: FrozenConfig

Config of GrinoldExpectedReturn: mu = ic * sigma * z.

Examples

>>> GrinoldExpectedReturnConfig(ic=0.05).ic
0.05
ic#

Information coefficient of the predictions, for example a CV run’s mean IC; positive.