Reference Materials
Information Ratio
The Information Ratio of a manager series vs. a benchmark series is the quotient of the annualized excess return and the annualized standard deviation of excess return.
Information Ratio = (AnnRtn(r1, ..., rn) - AnnRtn(s1, ..., sn)) / AnnStdDev(e1, ..., en)
where:
r1, ..., rn = manager return series
s1, ..., sn = benchmark return series
e1, ..., en = r1 - s1, ..., rn - sn
The Information Ratio measures the consistency with which a manager beats a benchmark.
To view our quick tip video on Information Ratio, click the following link: http://www.styleadvisor.com/sites/default/files/quick_tip_video/info_rat....