How Variation in Signal Quality Affects Performance
研究了信息系数（预测收益与实际收益的相关性）的变化如何成为主动风险的重要来源，并影响最优投资组合结构。发现做空能力并不总能提升绩效，信号稳定性是关键。
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.