Calculate the Information ratio compared to a benchmark.
Usage
calc_information_ratio(returns, benchmark_returns, periods = 252)
Arguments
- returns
Numeric vector of returns
- benchmark_returns
Numeric vector of benchmark returns
- periods
Number of periods per year (default: 252 for daily data)
Value
Numeric value representing the Information ratio
Examples
if (FALSE) { # \dontrun{
strategy_returns <- c(0.01, 0.02, -0.01, 0.03)
benchmark_returns <- c(0.005, 0.015, -0.005, 0.025)
calc_information_ratio(strategy_returns, benchmark_returns, periods = 252)
} # }