InformationRatio {PerformanceAnalytics} | R Documentation |
The Active Premium divided by the Tracking Error.
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.
InformationRatio(Ra, Rb, scale = 12)
Ra |
a 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) |
William Sharpe now recommends InformationRatio
preferentially to the original SharpeRatio
.
information ratio (number)
Peter Carl
Sharpe, W.F. The Sharpe Ratio,Journal of Portfolio Management,Fall 1994, 49-58.
TrackingError
ActivePremium
SharpeRatio
data(edhec) edhec.length = dim(edhec)[1] start = rownames(edhec[1,]) start end = rownames(edhec[edhec.length,]) sp500 = download.SP500PriceReturns(start="1996-12-31",end=end) InformationRatio(edhec[,13],sp500)