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information-ratio

  1. Nicole Seaman

    YouTube T1-11 Information Ratio

    The information ratio is active (or residual) return divided by active (or residual) risk. Active risk is also called tracking error, so the "active information ratio" is given by (active return)/(tracking error). Alternatively, a more technical approach is to use alpha (aka, residual risk) so...
  2. Nicole Seaman

    P2.T8.705. Berkshire Hathaway versus its benchmark (Ang)

    Learning objectives: Describe Grinold’s fundamental law of active management, including its assumptions and limitations, and calculate the information ratio using this law. Apply a factor regression to construct a benchmark with multiple factors, measure a portfolio’s sensitivity to those...
  3. Nicole Seaman

    P2.T8.704. Alpha and effective benchmarks (Andrew Ang)

    Learning objectives: Describe and evaluate the low-risk anomaly of asset returns. Define and calculate alpha, tracking error, the information ratio, and the Sharpe ratio. Explain the impact of benchmark choice on alpha, and describe characteristics of an effective benchmark to measure alpha...
  4. K

    Information Ratio v t-stat on alpha

    I show IR = alpha/volatility(alpha) and..... t-statistic = alpha coefficient/alpha s.d. How are these two different?
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