information_ratio: Information Ratio

In PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect

Description

Computes information ratio of a portfolio.

Usage

information_ratio(asset)

Arguments

asset

Portfolio or Position object created using portfolio_create( ) or position_add( ) function

Value

Metric object

Note

https://www.portfolioeffect.com/docs/glossary/measures/relative-risk-adjusted-measures/information-ratio

Author(s)

Kostin Andrey <[e-mail]>

Examples

## Not run: 
dateStart = "2014-11-17 09:30:00"
dateEnd = "2014-11-17 16:00:00"
portfolio=portfolio_create(dateStart,dateEnd)
portfolio_settings(portfolio,portfolioMetricsMode="price",windowLength = '3600s',
resultsSamplingInterval='60s')
positionAAPL=position_add(portfolio,'AAPL',100)
positionC=position_add(portfolio,'C',300) 
positionGOOG=position_add(portfolio,'GOOG',150) 
result=compute(information_ratio(positionC),information_ratio(positionGOOG),
information_ratio(positionAAPL)) 
plot(information_ratio(positionC),information_ratio(positionGOOG),
information_ratio(positionAAPL),legend=c('C','GOOG','AAPL'),title='Information Ratio')

## End(Not run)

PortfolioEffectHFT documentation built on May 2, 2019, 11:52 a.m.