1. For the US stock universe what is a good information coefficient for a
quant model?
2. What is an acceptable IC?
3. How would a size of the stock universe affect threshold values for
questions 1-2?
4. A stock selection factor is tested on a monthly data for the in-sample
period between June of 2005 through July of 2007 showing a good information
coefficient and decent decile spreads. What can we conclude about the
usefulness of this factor on a standalone basis going forward? List your
concerns in the order of importance and how you would address them.
