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4 Cards in this Set
- Front
- Back
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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. |
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Information ratio in terms of alpha |
alpha/w Alpha : is residual return over the past year. w : residual risk. |
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Ex-Post Information ratio ( for the previous year) |
t/ sqrt(n) |
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Value Added |
VA = alpha - (pi * w^2) pi : Risk aversion |
