Differenza tra Sharpe Ratio e Information Ratio - KamilTaylan.blog
20 Aprile 2022 14:03

Differenza tra Sharpe Ratio e Information Ratio

The information ratio is similar to the Sharpe ratio, the main difference being that the Sharpe ratio uses a risk-free return as benchmark (such as a U.S. Treasury security) whereas the information ratio uses a risky index as benchmark (such as the S&P500).

What is the formula for information ratio?

To calculate IR, subtract the total of the portfolio return for a given period from the total return of the tracked benchmark index. Divide the result by the tracking error.

Is information ratio the same as Alpha?

Information ratio: While alpha is the outperformance of the fund as compared to its benchmark, Information ratio looks at the return generated for per unit of risk taken. Simply, this ratio is the returns the fund manager generated by deviating from the benchmark.

What is the relationship between the Sharpe ratio and the appraisal ratio?

the Sharpe Ratio. Like the appraisal ratio, the Sharpe ratio also functions as an indicator of risk-adjusted returns. There are some notable disparities, though. The Sharpe ratio works out the difference between the portfolio return and the risk-free rate of return.

What does the information ratio measure?

“Information ratio” (IR) refers to the measure of an active investment manager’s success strategy, which is derived by comparing the excess returns generated by the investment portfolio to the volatility of those excess returns.

What is an acceptable information ratio?

Generally speaking, an information ratio in the 0.40-0.60 range is considered quite good. Information ratios of 1.00 for long periods of time are rare. Typical values for information ratios vary by asset class.

What does the Sharpe ratio measure?

The Sharpe ratio was developed by Nobel laureate William F. Sharpe and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk.

Is higher Sharpe ratio better?

Normally, a higher Sharpe ratio indicates good investment performance, given the risk. A Sharpe ratio of less than one is considered less than good.

What is the difference between Sharpe ratio and Treynor ratio?

Both the Sharpe and Treynor Ratios are used to understand an investment’s risk-adjusted return. The Sharpe Ratio divides the excess return by the investment’s standard deviation. The Treynor Ratio instead divides excess returns by the investment’s Beta.

What does a low information ratio mean?

If the information ratio of a mutual fund is negative, it indicates that the mutual fund manager was unable to produce any excess returns at all. An information ratio of less than 0.4 means that the mutual fund could not produce excess returns for a sufficiently long time and the fund may not be a good investment.

What is Sharpe ratio in mutual fund?

Sharpe ratio is used to evaluate the risk-adjusted performance of a mutual fund. Basically, this ratio tells an investor how much extra return he will receive on holding a risky asset.

What does a low Sharpe ratio mean?

Understanding the Sharpe Ratio



You should care about your Sharpe ratio because a low ratio means you’re almost automatically getting poor returns compared to what you could get if you allocated to better investments. Typically, the Sharpe ratio is calculated like this. Return – Risk-Free Rate / Standard Deviation.