Show that changing the information ratio from an annualized to a monthly statistic does not improve our ability to measu

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Show That Changing The Information Ratio From An Annualized To A Monthly Statistic Does Not Improve Our Ability To Measu 1 (91.38 KiB) Viewed 151 times

Show that changing the information ratio from an annualized to a monthly statistic does not improve our ability to measure investment performance. It will still require a 16-year track record to demonstrate top-quartile performance with 95 percent confidence. First calculate the standard error of a monthly IR. Second, convert a top- quartile IR of 0.5 to its monthly equivalent. Finally, calculate the required time period to achieve at statistic of 2. Show that changing the information ratio from an annualized to a monthly statistic does not improve our ability to measure investment performance. It will still require a 16-year track record to demonstrate top- quartile performance with 95 percent confidence. First calculate the standard error of a monthly IR. Second, convert a top-quartile IR of 0.5 to its monthly equivalent. Finally, calculate the required time period to achieve a t statistic of 2.