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Another look at the information ratio

Author

Listed:
  • Ludwig B Chincarini

    (Pomona College)

  • Daehwan Kim

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.

Suggested Citation

  • Ludwig B Chincarini & Daehwan Kim, 2007. "Another look at the information ratio," Journal of Asset Management, Palgrave Macmillan, vol. 8(5), pages 284-295, December.
    • Handle: RePEc:pal:assmgt:v:8:y:2007:i:5:d:10.1057_palgrave.jam.2250085
    DOI: 10.1057/palgrave.jam.2250085
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    References listed on IDEAS

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    1. David Buckle, 2004. "How to calculate breadth: An evolution of the fundamental law of active portfolio management," Journal of Asset Management, Palgrave Macmillan, vol. 4(6), pages 393-405, April.
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    Cited by:

    1. Hubert Dichtl & Wolfgang Drobetz, 2009. "Does tactical asset allocation work? Another look at the fundamental law of active management," Journal of Asset Management, Palgrave Macmillan, vol. 10(4), pages 235-252, October.

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