Computing information coefficient

[Kobus]

I currently have a project where I should look at different portfolio managers' portfolios and compute their value added (information ration). There is various methods to compute this but the question directed at me was to compute this using the information coefficient and some other ratios. I'm currently searching the internet for some articles to show me how to calculate the information coefficient but I can't find anything...
All I found was:

IC = correlation of your return forecasts and outcomes
How do I know what the portfolio manager forecasted for his returns?
Is there some other way to compute this?

 

[Bid Shader]

Well technically IR = active_return/stdev(active_return), so if you're doing ex post analysis that's how you calculate it.

The method you're talking about that uses the IC to derive some "Fundamental Law of Active Management" is taken from Grinold & Kahn's Active Portfolio Management Book. If you had access to the manager's forecasts, then you could perhaps decompose the IR into its components where IR = IC * sqrt(breadth) * TC for example. You may want to check out Hua and Sorensen's Quantitative Equity Portfolio Management book for more.