PerformanceAnalytics (version 2.0.8)

table.InformationRatio: Information ratio Summary: Statistics and Stylized Facts

Description

Table of Tracking error, Annualised tracking error and Information ratio

Usage

table.InformationRatio(R, Rb, scale = NA, digits = 4)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

Rb

return vector of the benchmark asset

scale

number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4)

digits

number of digits to round results to

Author

Matthieu Lestel

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.81

See Also

InformationRatio
TrackingError

Examples

data(managers)
table.InformationRatio(managers[,1:8], managers[,8])

 # don't test on CRAN, since it requires Suggested packages

require("Hmisc")
result = t(table.InformationRatio(managers[,1:8], managers[,8]))

textplot(format.df(result, na.blank=TRUE, numeric.dollar=FALSE, cdec=c(3,3,1)),
rmar = 0.8, cmar = 2,  max.cex=.9, halign = "center", valign = "top",
row.valign="center", wrap.rownames=20, wrap.colnames=10,
col.rownames=c("red", rep("darkgray",5), rep("orange",2)), mar = c(0,0,3,0)+0.1)
title(main="Portfolio information ratio")