In factor_spearman_rank_IC
of the Factor Tear Sheet, the following function is defined:
def src_std_error(rho, n):
return np.sqrt((1-rho**2)/(n-2))
I'm curious: What is this the standard error of? According to the wikipedia page about the Spearman coefficient, the standard error of the conventional Spearman rank coefficient ought to be 0.6325/np.sqrt(n-1)