InformationRatio    package:PerformanceAnalytics    R Documentation

_I_n_f_o_r_m_a_t_i_o_n_R_a_t_i_o = _A_c_t_i_v_e_P_r_e_m_i_u_m/_T_r_a_c_k_i_n_g_E_r_r_o_r

_D_e_s_c_r_i_p_t_i_o_n:

     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.

_U_s_a_g_e:

     InformationRatio(Ra, Rb, scale = 12)

_A_r_g_u_m_e_n_t_s:

      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) 

_D_e_t_a_i_l_s:

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

_V_a_l_u_e:

     information ratio (number)

_N_o_t_e:

_A_u_t_h_o_r(_s):

     Peter Carl

_R_e_f_e_r_e_n_c_e_s:

     Sharpe, W.F. The Sharpe Ratio,_Journal of Portfolio
     Management_,Fall 1994, 49-58.

_S_e_e _A_l_s_o:

     'TrackingError' 
      'ActivePremium' 
      'SharpeRatio'

_E_x_a_m_p_l_e_s:

     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)

