Information Ratio

Definition

信息比率（IR）是Sharpe Ratio的变体，使用基准收益而非无风险利率进行计算。

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.