Sentences with phrase «information ratio»

Just as importantly, it allows long - only investors to achieve a greater exposure to the high information ratio opportunities provided by quality and value.

Just as importantly, it allows long - only investors to achieve a greater exposure to the high information ratio opportunities provided by quality and value.

The long side outperformed the market by 35 basis points per month, with a tracking error volatility of only 5.7 percent, for a realized information ratio of 0.75.

The long side outperformed the market by 35 basis points per month, with a tracking error volatility of only 5.7 percent, for a realized information ratio of 0.75.

(32) Rogers notes that «the average information ratio of a nation seems to be highly related to how far a nation has progressed in becoming an «Information Society.»

Information ratio = (Mutual fund returns — benchmark returns) / (Standard deviation of mutual fund — Standard deviation of benchmark)

Information ratio helps the investor tell if a mutual fund delivers the returns with respect to the risk taken by it on comparing with benchmark.

The positive information ratio of Group 1 also highlights that small - cap companies with profitability characteristics were able to generate higher excess returns over the benchmark (the small - cap universe in this case) on a consistent basis.

Viewing projected alpha and relative risk together gives us an insight into the likely information ratios currently available in these factors.

The minimum - variance strategy had a significantly lower information ratio and a lower incidence of outperformance in bullish and recovery markets, similar to, but less defensive than, the single low - volatility strategy.

On average, they produced higher information ratios and a higher incidence of outperformance during recovery and bearish periods.

The average tracking error is 7.10 % and the average information ratio is 0.30.

It managed this active return with a market tracking error volatility of only 5.9 %, realizing an information ratio of 0.63, much higher than the information ratio of 0.42 realized on the tracking error of the unconditional long - only value strategy.

This information ratio is 15 % higher than the 0.65 achieved running quality and value side by side.

In this environment, it was entirely possible that a manager outperformed its benchmark and posted respectable alphas and information ratio but still lost 40 % of its value.

Many metrics in current use (e.g. Sharpe Ratio, tracking error, information ratio) compare a unit of return to a unit of portfolio volatility, measured either on an absolute basis or relative to a benchmark.

Could the underperformance of active investment be related to a lower risk level (measured with some of the usual ratios: Sharpe, Information Ratio, Calmar...)?

A compelling argument is that institutional portfolio managers are discouraged from overweighting low volatility stocks by an implicit mandate or explicit contractual requirement to maximize the information ratio relative to a cap - weighted benchmark.

It managed this active return with a market tracking error volatility of only 5.9 %, realizing an information ratio of 0.63, much higher than the information ratio of 0.42 realized on the tracking error of the unconditional long - only value strategy.

This information ratio is 15 % higher than the 0.65 achieved running quality and value side by side.

Other benchmark - relative measures like alpha and information ratio may be positive even if the investment itself lost half of its value while maximum drawdown fails to account for the time to recovery or any of the secondary losses.

Information ratio is a ratio of portfolio returns above the returns of a benchmark (usually an index) to the volatility of those returns.

The information ratio (IR) measures a portfolio manager's ability to generate excess returns relative to a benchmark, but also attempts to identify the consistency of the investor.

There are subtle differences between the Sharpe ratio, alpha, the Morningstar star system, the information ratio and the Sortino ratio.

In addition, our findings indicate you should benefit from the highest return and value - add, highest Sharpe and information ratio, and lowest drawdown and shortest period of underperformance if you dynamically rebalance your diversified portfolio of smart betas.2 Multi-factor equity investing combined with either dynamic or systematic rebalancing is a reliable strategy for outperforming the market without the burden of excessive volatility.

The firm demonstrated that companies that pay dividend yields ranging from 3 % to 6 % have generated higher excess returns and produced higher information ratios (expected active return dividend by deviation from the benchmark) over very lengthy periods.

We double or better our information ratios from 0.30 to between 0.60 and 0.79.

His information ratio (0.58) for the 22 - year term is statistically insignificant.

The information ratio, or realized alpha per unit of nonsystemic risk, still ranks quite high in the table, although Brazil and the diversified MSCI BRIC still offer more.

* Annualized Source: FactSet Research Systems Inc., Russell Investment Group Alpha, beta, and information ratio are versus the Russell 2000 ® Value.

* Annualized Source: FactSet Research Systems Inc., Russell Investment Group Alpha, beta, and information ratio are versus the Russell 2000 ® Value Index.

* Annualized Source: FactSet Research Systems Inc., Russell Investment Group Alpha, beta, and information ratio are versus the Russell MidCap ® Value Index.