\HeaderA{InformationRatio}{InformationRatio = ActivePremium/TrackingError}{InformationRatio}
\keyword{ts}{InformationRatio}
\keyword{multivariate}{InformationRatio}
\keyword{distribution}{InformationRatio}
\keyword{models}{InformationRatio}
\begin{Description}\relax
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.
\end{Description}
\begin{Usage}
\begin{verbatim}
InformationRatio(Ra, Rb, scale = NA)
\end{verbatim}
\end{Usage}
\begin{Arguments}
\begin{ldescription}
\item[\code{Ra}] an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns 
\item[\code{Rb}] return vector of the benchmark asset 
\item[\code{scale}] number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4) 
\end{ldescription}
\end{Arguments}
\begin{Details}\relax
William Sharpe now recommends \code{InformationRatio} preferentially to the original \code{\LinkA{SharpeRatio}{SharpeRatio}}.
\end{Details}
\begin{Value}
information ratio (number)
\end{Value}
\begin{Author}\relax
Peter Carl
\end{Author}
\begin{References}\relax
Sharpe, W.F. The Sharpe Ratio,\emph{Journal of Portfolio Management},Fall 1994, 49-58.
\end{References}
\begin{SeeAlso}\relax
\code{\LinkA{TrackingError}{TrackingError}} \\
\code{\LinkA{ActivePremium}{ActivePremium}} \\
\code{\LinkA{SharpeRatio}{SharpeRatio}}
\end{SeeAlso}
\begin{Examples}
\begin{ExampleCode}
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])
\end{ExampleCode}
\end{Examples}

