Show that changing the information ratio from an annualized to a monthly statistic does not improve our ability to measu
Posted: Sun Sep 05, 2021 5:19 pm
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.
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.