The Information Ratio as a Performance Metric
11 Pages Posted: 30 Jun 2009
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: Suggested Citation
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