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4 Cards in this Set

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Information Ratio

Excess Return/Excess Risk




=> Ra - R(B)/ s(Ra - R(B)




where Ra is return of the portfolio. and R(B) is return of the benchmark.

Information ratio in terms of alpha

alpha/w




Alpha : is residual return over the past year.


w : residual risk.

Ex-Post Information ratio ( for the previous year)

t/ sqrt(n)

Value Added

VA = alpha - (pi * w^2)


pi : Risk aversion