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Information Ratio (IR): Definition, Formula, vs. Sharpe Ratio
https://www.investopedia.com/terms/i/informationratio.asp
WebNov 7, 2023 · The information ratio (IR) is a measurement of portfolio returns above the returns of a benchmark, usually an index such as the S&P 500, to the volatility of those returns.
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夏普比率(Sharpe Ratio)、信息比率(IR)简介及从风险归因角度评估基金组合实证分析 …
https://zhuanlan.zhihu.com/p/351462926
Web这部分超额的收益与跟踪误差的比值,就定义为 信息比率(Information Ratio) 。. 信息比率是 衡量基金经理主动管理能力 的指标。. 信息比率越高,证明基金经理的主动管理能力越强。. 影响IR的指标有三个,即以下三个因素会影响基金经理的主动管理能力。. ① ...
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信息比率(Informational Ratio)到底怎么计算? - 知乎
https://www.zhihu.com/question/342944058
WebInformational Ratio主要用于衡量基金经理主动投资管理的水平。 测量主动投资管理的水平主要从两个方面考察:1)主动投资所带来的收益;2)主动投资所带来的风险。 主动投资所带来的收益. R_P :投资组合的收益率; R_B:市场基准的收益率(例如:沪深300)
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Information ratio - Wikipedia
https://en.wikipedia.org/wiki/Information_ratio
WebThe information ratio is simply the ratio of the active return of the portfolio divided by the tracking error of its return, with both components measured relative to the performance of the agreed-on benchmark. It is often used to gauge the skill of managers of mutual funds, hedge funds, etc.
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Information Ratio - Definition, Formula, and Practical Example
https://corporatefinanceinstitute.com/resources/career-map/sell-side/capital-markets/information-ratio/
WebWhat is the Information Ratio? The information ratio measures the risk-adjusted returns of a financial asset or portfolio relative to a certain benchmark. This ratio aims to show excess returns relative to the benchmark, as well as …
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Information Ratio | Formula + Calculator - Wall Street Prep
https://www.wallstreetprep.com/knowledge/information-ratio/
WebFeb 20, 2024 · The formula for calculating the information ratio is as follows. Information Ratio = (Portfolio Return – Benchmark Return) ÷ Tracking Error. Where: Excess Return → The numerator of the ratio, i.e. the excess return, is the difference between a portfolio manager’s returns and that of the benchmark.
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Information Ratio | Meaning, Interpretation, Application, Limitation
https://www.financestrategists.com/wealth-management/accounting-ratios/information-ratio/
WebJun 27, 2023 · Calculating Information Ratio Formula for Information Ratio. The Information Ratio is calculated using the following formula: Information Ratio = (Portfolio Return - Benchmark Return) / Tracking Error. Interpretation of Information Ratio Values. A higher Information Ratio indicates better risk-adjusted performance.
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信息比率_百度百科
https://baike.baidu.com/item/%E4%BF%A1%E6%81%AF%E6%AF%94%E7%8E%87/8507442
Web信息比率(Information Ratio):以马克维茨的均异模型为基础,用来衡量超额风险所带来的超额收益。 它表示单位主动风险所带来的超额收益。 R=α ∕ ω (α为组合的超额收益,ω为主动风险)分子α为真实预期收益率与定价模型所计算出的收益率的差,α可以由 ...
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Information Ratio - What Is It, Explained, Example, Vs Sharpe Ratio
https://www.wallstreetmojo.com/information-ratio/
WebJan 5, 2024 · What Is An Information Ratio? The information ratio (IR) measures an investment manager’s skill in generating returns above a benchmark or an index while considering the volatility of the returns. It compares the return on investment or portfolio to the returns of a benchmark or an index.
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What is the information ratio? | Investing Definitions | Morningstar
https://www.morningstar.com/investing-definitions/information-ratio
WebAug 29, 2023 · Information ratio measures the consistency of a fund or other investment's outperformance compared with a benchmark. It's risk adjusted and is a version of the more-common Sharpe Ratio. At a Glance
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