InformationRatio: InformationRatio = ActivePremium/TrackingError

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

Description

The Active Premium divided by the Tracking Error.

Usage

InformationRatio(Ra, Rb, scale = NA)

Arguments

Ra	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)

Details

InformationRatio = ActivePremium/TrackingError

This relates the degree to which an investment has beaten the benchmark to the consistency with which the investment has beaten the benchmark.

Note

William Sharpe now recommends InformationRatio preferentially to the original SharpeRatio.

Author(s)

Peter Carl

References

Sharpe, W.F. The Sharpe Ratio,Journal of Portfolio Management,Fall 1994, 49-58.

See Also

TrackingError
ActivePremium
SharpeRatio

Examples

data(managers)
InformationRatio(managers[,"HAM1",drop=FALSE], managers[, "SP500 TR", drop=FALSE])
InformationRatio(managers[,1:6], managers[,8,drop=FALSE])
InformationRatio(managers[,1:6], managers[,8:7])

naturalsmen/PerformanceAnalytics documentation built on May 23, 2019, 12:20 p.m.