Sao estes os indices calculados: indice de Sharpe, indice de Treynor, alfa de Jensen ajustado, information ratio
, indice de Modigliani e indice de Sortino.
These are the maximized Sharpe and information ratio
The information ratio
is an example of a benefit-to-cost ratio because the tracking error is the cost of active portfolio management with the excess return of the portfolio relative to the market being the reward that is due to investors resulting from the portfolio manager's decision to deviate from a passive market benchmark portfolio-tracking strategy.
Theorem 1: The asymptotic variance of the information ratio
statistics, IR, is given by the following quadratic form:
Intuitively, you should place a larger weight on strategies with higher information ratios
and favorable diversification benefits.
Calculate and evaluate the manager's Sharpe Ratio, Treynor Ratio, Information Ratio
, and Alpha.
Chart Two (directly above) depicts our ex ante return and information ratio
expectations for corporate debt (represented by LIBOR) vs.
In other words, managers should not be selected for their Sharpe or Information Ratio
, but rather on their ability to protect client capital.
Performance measures such as the Sharpe ratio and the information ratio
are estimation subject to estimation error.
50% annually over the long term, gross of fees and the information ratio
is targeted to be above 0.
Asset owners also must address risk-adjusted performance calculations (as the information ratio
is simply wrong and easily gamed), evaluating whether managers are skillful.
OTP is ranked #1 out of all 392 ETFs since inception in terms of information ratio
and has outperformed SPY in 22 of out 22 rolling one-year periods.