The Information Ratio as a Performance Metric

11 Pages Posted: 30 Jun 2009

See all articles by Winfried G. Hallerbach

Winfried G. Hallerbach

Fintelligence CCT; EDHEC Business School - Department of Economics & Finance

Date Written: December 7, 2005

Abstract

The information ratio is used to assess the risk-adjusted performance of active portfolio managers. This performance metric focuses on the active portfolio only and neglects a risky benchmark component. In this paper, we consider the question whether the information ratio can be used to evaluate the value-added of active management from the perspective of the overall risky portfolio.

Keywords: information ratio, risk-adjusted performance

JEL Classification: G11

Suggested Citation

Hallerbach, Winfried George, The Information Ratio as a Performance Metric (December 7, 2005). Available at SSRN: https://ssrn.com/abstract=1425527 or http://dx.doi.org/10.2139/ssrn.1425527

Winfried George Hallerbach (Contact Author)

Fintelligence CCT ( email )

Salernes, Var 83690
France

EDHEC Business School - Department of Economics & Finance ( email )

France

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