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the ic is low but the 1dreturn, 3dreturn is very positive... why?

Hi,
I am running alphalens, and I found my 'alpha' 's ic is very low, which is about 0.004.
But my cumulative return for 1d,3d,5d is very positive...
I don't know why...
could someone explain a little bit?

1 response

Outliers maybe. Have you tried winsorizing?