Risk Metrics

Information Ratio

Measures a portfolio manager's ability to generate excess returns relative to the benchmark's tracking error.

Formula

IR = (Portfolio Return − Benchmark Return) / Tracking Error

The Information Ratio evaluates active management skill. It measures the excess return (Active Return) generated by an investment relative to a benchmark, divided by the volatility of those excess returns (Tracking Error).

A high Information Ratio indicates that a manager is consistently beating the benchmark without taking on erratic, unpredictable deviations from it. An IR of 0.5 is considered good, while > 1.0 is exceptional.

On StressTest.pro, the Information Ratio tells you if an actively tilted portfolio strategy was genuinely worth the deviation from a simple broad-market passive index.

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Disclaimer

The information provided by StressTest.pro is for educational and informational purposes only and does not constitute financial advice. Investment involves risk, including possible loss of principal. Past performance is not indicative of future results. Calculations are based on historical data and statistical approximations.