Breadth, Skill, and Time
基于主动管理的基本定律，用均衡动态模型解释信息比率如何取决于技能和广度，并给出可测度的信息周转率公式，对投资经理评估策略价值有直接帮助。
The information ratio determines the potential of an investment process to add value, and according to the fundamental law of active management, adding value depends on a combination of skill and breadth. Grinold and Kahn use an equilibrium dynamic model to provide insight into the concept of breadth, as well as a refined notion of skill. In equilibrium, the arrival rate of new information exactly balances the decay rate of old information. Grinold and Kahn denote the information turnover rate <italic>g</italic>. It is relatively easy to measure for any investment process. If the investment process forecasts returns on <italic>N</italic> assets, the breadth of the strategy <italic>i</italic> is <italic>g</italic> · <italic>N</italic>. Skill—the correlation of forecasts and returns—increases with the return horizon for small horizons, but then asymptotically decays to zero for very long horizons. The authors’main result is that the ex ante information ratio is <inline-formula> <inline-graphic></inline-graphic> </inline-formula>,where ? is a measure of skill. <bold>TOPICS:</bold> <ext-link>Portfolio theory</ext-link>, <ext-link>statistical methods</ext-link>, <ext-link>performance measurement</ext-link>