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 = 12)

### Arguments

`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)

### Details

William Sharpe now recommends `InformationRatio` preferentially to the original `SharpeRatio`.

### Value

information ratio (number)

### Note

### 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(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)

[Package PerformanceAnalytics version 0.9.5 Index]