InformationRatio {PerformanceAnalytics}R Documentation

InformationRatio = ActivePremium/TrackingError

Description

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.

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

William Sharpe now recommends InformationRatio preferentially to the original SharpeRatio.

Value

information ratio (number)

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])
[Package PerformanceAnalytics version 0.9.9-5 Index]