AppliedNumeric answer

Grinold’s rule sets expected residual return to $\text{IC} \times \sigma \times z$ . With IC $0.05$ , residual volatility $30\%$ a year and a signal score of $z = 2$ , what is the expected residual return over one month, in percent to three decimals?

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Measuring a signal: IC, breadth and the fundamental law

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Grinold’s rule sets expected residual return to IC×σ×z\text{IC} \times \sigma \times zIC×σ×z. With IC 0.050.050.05, residual volatility 30%30\%30% a year and a signal score of z=2z = 2z=2, what is the expected residual return over one month, in percent to three decimals?

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Grinold’s rule sets expected residual return to $\text{IC} \times \sigma \times z$ . With IC $0.05$ , residual volatility $30\%$ a year and a signal score of $z = 2$ , what is the expected residual return over one month, in percent to three decimals?