Minimize SC

This is the : .Schwarz Criterion. In this model, the utility function is given by:

SC = m * log( Var(e) / m ) + n * log(m)

where

Var(e) = variance of excess return of manager over benchmark, using current subset
n = number of indices in current subset
m = number of returns

In this model, StyleADVISOR chooses the subset of indices where SC assumes its minimal value.

Related Statistics:
Model Selection
Maximize Adjusted R2
Minimize C_p
Minimize AIC