Information Ratio

Definition

Information Ratio (IR) je variací Sharpe Ratio, která místo bezrizikové sazby používá výnosy benchmarku.

Formula

$\text{Information Ratio} = \frac{R_p - R_b}{\sigma_{\text{tracking error}}}$

where $R_p$ is the portfolio return, $R_b$ is the benchmark return, and $\sigma_{\text{{tracking error}}}$ is the standard deviation of the tracking error.