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MODEL PERFORMANCE REPORT


IC Reports - Quarterly

To provide timely information on the performance of investment methodologies ZPR publishes its quarterly IC reports. ZPR’s Quarterly IC reports provide the subscriber with an independent and unbiased evaluation of over 40 vendor and academic methodologies. Subscribers receive their IC reports on the 2nd day of the following quarter. The IC report connects the present with the past, providing historical information as well as current. Methodology performance statistics are provided back to 1986 with special subsections detailing performance in January, Mid-Year, and Fourth quarters to control for seasonality.

All historical performance statistics are calculated using ZPR’s ICX 3000 "Live" research database. All survivor and data availability biases have been eliminated to assure accuracy of results. New methodologies are constantly being added to reflect new research.

The IC Statistic
: The primary performance statistic provided to subscribers by the IC report is the IC. IC’s or "information coefficients" are a measure of the correlation between a methodology and its excess return. ZPR uses the IC because it is more stable than other popular statistics such as total and excess return. The IC captures the true performance of the methodology without the volatility and market correlations that tend to cloud the true performance result. IC’s also identify the "wrong way" predictors. While some methodologies exhibit high positive correlations with returns, other methodologies are highly negative predictors. IC’s allow the creation of composite models that take advantage of each methodology’s unique properties.

In model predictions, all variables and companies are sorted and then broken to deciles (rank 1 to rank 10) where rank 1 companies are predicted to do the best and rank 10 companies are predicted to do the worst.