InformationRatio: InformationRatio = ActivePremium/TrackingError

In tsungwu/JFE: Tools and GUI for Analyzing Time Series Data of Just Finance and Econometrics

InformationRatio = ActivePremium/TrackingError

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)

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

References

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

See Also

TrackingError
ActivePremium
SharpeRatio

Examples

  data(assetReturns)
	Ra=assetReturns[, -29]
	Rb=assetReturns[,29] #DJI

  InformationRatio(Ra, Rb)

tsungwu/JFE documentation built on May 10, 2022, 1:22 p.m.