table.InformationRatio: Information ratio Summary: Statistics and Stylized Facts

In braverock/PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Information ratio Summary: Statistics and Stylized Facts

Description

Table of Tracking error, Annualised tracking error and Information ratio

Usage

table.InformationRatio(R, Rb, scale = NA, digits = 4)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
Rb	return vector of the benchmark asset
scale	number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4)
digits	number of digits to round results to

Author(s)

Matthieu Lestel

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.81

See Also

InformationRatio
TrackingError

Examples

data(managers)
table.InformationRatio(managers[,1:8], managers[,8])

require("Hmisc")
result = t(table.InformationRatio(managers[,1:8], managers[,8]))

textplot(format.df(result, na.blank=TRUE, numeric.dollar=FALSE, cdec=c(3,3,1)),
rmar = 0.8, cmar = 2,  max.cex=.9, halign = "center", valign = "top",
row.valign="center", wrap.rownames=20, wrap.colnames=10,
col.rownames=c("red", rep("darkgray",5), rep("orange",2)), mar = c(0,0,3,0)+0.1)
title(main="Portfolio information ratio")

braverock/PerformanceAnalytics documentation built on Feb. 16, 2024, 5:37 a.m.