Mill Street Research MAER Stock Ranking Model: Do You See What IC?
A few months ago, I wrote a blog post giving a brief history of the development of Mill Street’s MAER stock selection model and comparing the in-sample and out-of-sample test results now that it has been just over 10 years since the current model was originally launched.
The key metric I showed was the Information Coefficient (IC), which is the correlation between the decile ranks of the stocks and the decile rank of their subsequent 1-month returns (it can be done on other return horizons as well).