Another look at the information ratio

Ludwig B Chincarini () and Daehwan Kim
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Ludwig B Chincarini: Pomona College

Journal of Asset Management, 2007, vol. 8, issue 5, No 2, 284-295

Abstract: Abstract Chincarini and Kim (2006) argued that the information ratio can be interpreted as the square root of R2. 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 R2 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 (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1057/palgrave.jam.2250085

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