ratio.information {rportfolio} | R Documentation |
Information Ratio
Description
Calculates the information ratio of the portfolio
Usage
ratio.information(R1, R2)
Arguments
R1 |
Returns of the portfolio |
R2 |
Returns of the benchmark portfolio |
Details
The information ratio (IR) is a measurement of portfolio returns beyond the returns of a benchmark, usually an index, compared to the volatility of those returns.
Value
Calculates the information ratio of the portfolio
Examples
ratio.information(funds$ret1, funds$rfr)
[Package rportfolio version 0.0.3 Index]