Information Ratio Flashcards
What is the information ratio?
Measures the risk-adjusted returns of a financial asset/portfolio relative to a certain benchmark
Measures the risk-adjusted returns of a financial asset/portfolio relative to a certain benchmark
What is the information ratio?
How to measure the consistency of generating the excess returns
Measured by the tracking error
Measured by the tracking error
How to measure the consistency of generating the excess returns
What is information ratio used for?
As a performance measure by fund managers
As a performance measure by fund managers
What is information ratio used for?
What are commonly used information ratios?
US Treasury Bills and major equity index (S&P 500)
US Treasury Bills and major equity index (S&P 500)
What are commonly used information ratios?
How to calculate Information ratio?
Expected excess return of a security or portfolio over benchmark / Standard deviation of a security or portfolio returns from the returns of a benchmark
Expected excess return of a security or portfolio over benchmark / Standard deviation of a security or portfolio returns from the returns of a benchmark
How to calculate Information Ratio?
