Written by Jake Dwyer
Updated over a week ago

Rev. Date May 30, 2019

The information ratio is calculated as the active return of the portfolio divided by the tracking error:

where:

µ = the difference in the annualized geometric returns of the investment or portfolio and its benchmark

t.e. = tracking error

p = number of periods in a year

The tracking error, or the amount of risk that the investment or portfolio takes relative to its benchmark, is calculated as follows:

where:

µ(avg) = average of the differences in return between the investment or portfolio and its benchmark

µ(f) = investment or portfolio return

µ(B) = benchmark return

n = number of data points in the investment’s or portfolio’s return stream

The I.R. field is null if no benchmark is provided.
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​This document highlights certain aspects of this feature. As an overview, it does not discuss all material facts or assumptions. Please see Important Disclosure and Disclaimer Information.