Information Ratio

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Information Ratio

The ratio of annualized expected residual return to residual risk. A central measurement for active management, value added is proportional to the square of the information ratio.

Information Ratio

In statistics, a measure of expected return to risk as a standard deviation. The information ratio is used in active management to gauge a manager's performance against some benchmark. See also: Manager Universe.
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At this point, the top ten information ratios for the latest five year period ending March 31, 2014 then become 6 STAR TOP GUNS.
Instead of focusing on just the non-diversifiable portion of a portfolio's returns, the Sharpe and information ratios look at overall risk and unsystematic risk respectively in accounting for variability in mutual fund returns.
It introduces the beliefs, risks and processes of equity portfolio management, then covers portfolio theory, risk models and analysis, the evaluation of alpha factors, quantitative factors, valuation techniques and creation of value, multifactor alpha models, portfolio turnover and the optimal alpha model, advanced modeling, factor timing models, portfolio constraints and information ratios, transaction costs and portfolio implementation.
Table 4: Two-sample t-test for Information Ratios of Bank and Non-bank Funds [alpha] = 0.
Intuitively, you should place a larger weight on strategies with higher information ratios and favorable diversification benefits.
As you can see, information ratios are higher for fixed income categories than equity categories and are particularly high for short maturity, high-quality credit exposures.
The result is an investment approach that has historically delivered high information ratios - a key measure of risk-adjusted excess return, investment efficiency, and consistency - across most of INTECH's investment strategies.
This setup leads naturally to the use of information ratios (IR), as a performance measure, defined as the ratios of the portfolio excess return over his benchmark to its TEV.
Finally, products with the top ten information ratios for the latest five year period ending December 31, 2008 receive a 6 Star Top Guns designation.
This mark of celebrity is reserved for companies that not only were the top ten performers for the last three-years, but also who had one of the top ten information ratios for the latest five-year period ending December 31, 2008.
This accolade is reserved for companies that not only were the top ten performers for the last three-years, but also who also had one of the top ten information ratios for the latest five-year period ending March 31, 2008.
Our active equity strategies are tailor-made for customers seeking core mandates while targeting high realized information ratios.
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