ratio.information: Information Ratio
In rportfolio: Portfolio Theory
Description
Usage
Arguments
Details
Value
Examples
View source: R/information_ratio.R
Description
Calculates the information ratio of the portfolio
Usage
1
ratio.information(R1, R2)
Arguments
R1
Returns of the portfolio
R2
Returns of the benchmark portfolio
Details
The information ratio (IR) is a measurement of portfolio returns beyond the returns of a benchmark, usually an index, compared to the volatility of those returns.
Value
Calculates the information ratio of the portfolio
Examples
1
ratio.information(funds$ret1, funds$rfr)
Example output
[1] 0.9702905
rportfolio documentation built on July 1, 2020, 10:35 p.m.
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Description Usage Arguments Details Value Examples
View source: R/information_ratio.R
Description
Calculates the information ratio of the portfolio
Usage
1 | ratio.information(R1, R2)
|
Arguments
R1 |
Returns of the portfolio |
R2 |
Returns of the benchmark portfolio |
Details
The information ratio (IR) is a measurement of portfolio returns beyond the returns of a benchmark, usually an index, compared to the volatility of those returns.
Value
Calculates the information ratio of the portfolio
Examples
1 | ratio.information(funds$ret1, funds$rfr)
|
Example output
[1] 0.9702905
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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