المدربThe IC decay curve of a predictor is its information coefficient with the return of the single period , as a function of the lag . The signal autocorrelation is the cross-sectional rank correlation of the predictor with itself periods earlier, averaged over dates. The signal half-life is the lag at which it falls to one half; for a first-order autoregression with coefficient per period it is (the half-life of Book 4, chapter 4).
firm.synthmkt: the rank IC of each predictor known at the close of day with the return of day alone, averaged over eight years of dates. Reversal lives one day; the surprise’s planted 60-day drift falls to zero at 60 days; momentum and value are too slow to decay within the window.