Increasing the Information Ratio Using Mixture Strategies

11 Pages Posted: 12 Apr 2013 Last revised: 23 Aug 2022

See all articles by Norbert Pierre

Norbert Pierre

Government of the United States of America - Office of the Comptroller of the Currency (OCC)

Date Written: April 11, 2013

Abstract

The value of information may decrease rapidly or slowly with time. For example, knowledge of yesterday’s Fed decision may have no value today. On the other hand, a portfolio constructed last quarter may still be a profitable investment today. We may regard the history of a manager’s portfolio as a record of that manager’s strategy. This paper explores conditions under which lagged information from multiple strategies may be combined to produce information ratios higher than those achieved by using only the latest information from a single strategy.

Keywords: Investments, Portfolios, Information ratio

Suggested Citation

Pierre, Norbert, Increasing the Information Ratio Using Mixture Strategies (April 11, 2013). Available at SSRN: https://ssrn.com/abstract=2249413 or http://dx.doi.org/10.2139/ssrn.2249413

Norbert Pierre (Contact Author)

Government of the United States of America - Office of the Comptroller of the Currency (OCC) ( email )

400 7th Street SW
Washington, DC 20219
United States

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