Another Look at the Information Ratio
20 Pages Posted: 17 Dec 2006
Date Written: September 3, 2006
Abstract
Chincarini and Kim (2006) argued that the information ratio can be interpreted as the square root of $R^{2}$. In this paper, we further develop this argument by, first, making a distinction between the conditional and the unconditional information ratio and, then by clarifying the relationship between $R^{2}$ and two versions of the information ratio. This paper also discusses the implications of our approach for interpreting the Fundamental Law of Active Management.
Keywords: Information Ratio, Fundamental Law of Active Management, Linear Regression
JEL Classification: G0
Suggested Citation: Suggested Citation
Chincarini, Ludwig B. and Kim, Daehwan, Another Look at the Information Ratio (September 3, 2006). Available at SSRN: https://ssrn.com/abstract=952011 or http://dx.doi.org/10.2139/ssrn.952011
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