Another Look at the Information Ratio

2006 ◽  
Author(s):  
Ludwig B. Chincarini ◽  
Daehwan Kim
Keyword(s):  
Information Ratio

scholarly journals GGE Biplot projection in discriminating the efficiency of popcorn lines to use nitrogen

2017 ◽  
Vol 41 (1) ◽  
pp. 22-31 ◽  
Author(s):  
Adriano dos Santos ◽  
Antônio Teixeira do Amaral Júnior ◽  
Railan do Nascimento Ferreira Kurosawa ◽  
Ismael Fernando Schegoscheski Gerhardt ◽  
Roberto Fritsche Neto
Keyword(s):  
Nitrogen Availability ◽  
Block Design ◽  
Germplasm Collection ◽  
Inbred Lines ◽  
Gge Biplot ◽  
State University ◽  
Information Ratio ◽  
The North ◽  
Randomized Block Design ◽  
Main Components

ABSTRACT Nitrogen is essential for sustaining life on the planet, and it is the most important nutrient for obtaining high agricultural production. However, their use leads to the release of nitrous oxide with a global warming potential 296 times higher than the CO2 molecule, making it a challenge to reduce their use in agriculture. The objective of this research was to identify efficient popcorn inbred lines and responsive nitrogen use and exhibit a good expansion volume. For this, 29 inbred lines from the Germplasm Collection of Darcy Ribeiro North Fluminense State University (UENF) were evaluated at two contrasting levels of nitrogen availability (low and ideal) at two representative locations in the north and northwest of the state of Rio de Janeiro, Brazil, arranged in a randomized block design with three replicates. These inbred lines were discriminated against efficient use of nitrogen by multivariate GGE Biplot. Selective accuracy was close to 1, showing that the genotypes were enough to provide contrasting success in selection procedures. The first two main components (PC) retained 93.82% of the total variation, and PC1 furnished an information ratio (IR) that was unaffected by noise. L77 was the most unstable line, while P7, P2, P6, P3, P5, P4, P9, P10, P8, P9, L70, L74, and L55 were efficient and responsive. The GGE biplot method is recommended for the reliable identification of popcorn lines that are efficient and responsive to the use of nitrogen.

scholarly journals PENGUKURAN METODE RASIO INFORMASI, RASIO SORTINO DAN ROY SAFETY FIRST RATIO PADA KINERJA REKSADANA SAHAM SYARIAH PERIODE 2015-2017

2020 ◽  
Vol 6 (8) ◽  
pp. 1644
Author(s):  
Nur Rohman Azis ◽  
Atina Shofawati
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Information Ratio ◽  
Performance Result ◽  
Positive Performance ◽  
Qualitative Descriptive ◽  
Level Performance ◽  
Safety First ◽  
One Way Anova ◽  
Sortino Ratio

The Objective of this research is to identify whether there is a different level performance of mutual funds in syariah shares among Information Ratio, Sortino Ratio, and Roy Safety First Ratio. This analysis using qualitative descriptive. In this case, the authority of money service website mentions there are 21 mutual funds in syariah shares could be taken as the sample of the analysis by using purposive sampling method. Verification result is done by One-way Anova test. The measurement result of the mutual fund in syariah shares uses the method Information Ratio provides 3 mutual funds in syariah shares are in positive performance in 2015 and 2017 and 5 mutual funds in syariah shares are in negative performance in 2016. It means there is a different performance result of mutual fund in syariah shares. The result Sortino ratio provides all of mutual fund share are in negative performance in all of year. It means there is no different performance result of mutual fund in syariah shares. The result Roy Safety First Ratio provides all of mutual funds in syariah shares are in negative performance in 2015, 2 mutual funds in syariah shares are in negative performance in 2016 and 4 mutual funds in syariah shares are in positive performance in 2017. It means there is no different performance result of mutual fund in syariah shares.Keywords: Performace of mutual funds, Information Ratio, Sortino Ratio, Roy Safety First Ratio, Mutual Funds in Syariah Shares

scholarly journals Risk-adjusted return, fund manager efficacy, and fund characteristics – An inquiry

2021 ◽  
Author(s):  
Riyazahmed K
Keyword(s):  
Regression Analysis ◽  
Mutual Funds ◽  
Fund Performance ◽  
Sharpe Ratio ◽  
Information Ratio ◽  
Fund Manager ◽  
Data Set ◽  
Dependent Variables ◽  
Corpus Size ◽  
The Impact

Abstract In this study, I examine the risk-adjusted return of mutual funds in India. A data set of 4220 mutual funds is used for the analysis. Sharpe ratio, a metric of risk-adjusted return (Sharpe, 1994) and Information ratio, a metric of outperformance than a fund’s benchmark (Goodwin, 1998) were analyzed. Regression analysis is used to estimate the impact of fund characteristics like fund category, fund type, fund access type, corpus size on the dependent variables i.e., Sharpe Ratio and the Information Ratio. All the funds underperformed in both the Sharpe ratio and Information ratio. Liquid funds found worst. Fund type and corpus size do not impact fund performance. Fund access type was found to be significant on fund performance. The results add to the literature by examining the post-pandemic period.

scholarly journals A Factorial Analysis of Information Ratio and Its Causal Effect on Yearly Return of Net Asset Value – A Study of Indian Equity Diversified Mutual Fund Schemes

2018 ◽  
Vol 7 (4.36) ◽  
pp. 707 ◽  
Author(s):  
Suman Chakraborty ◽  
Satish Kumar ◽  
Lumen Shawn Lobo
Keyword(s):  
Interest Rates ◽  
Mutual Fund ◽  
Causal Effect ◽  
Secondary Data ◽  
Information Ratio ◽  
Wide Range ◽  
Asset Value ◽  
Net Asset Value ◽  
Equity Funds ◽  
Sector Funds

Evaluation of performance of mutual fund schemes has gained a wide range of attention from both investors and academicians. The study aims at assessing the returns from equity mutual fund schemes in India by applying risk adjusted performance evaluation techniques. The study is based on secondary data collected for ten years for selected open ended equity diversified mutual funds. A comparative assessment of performance of public sector sponsored equity funds and non-government sponsored  sector funds bring forth with an interesting inference. The present study also constitutes a modest attempt to assess the information ratio and its causal effect on the average yearly return of Net Asset Value (NAV). Based on the previous research findings, this paper puts an honest effort to identify twelve independent variables which affects significantly the performance of NAV. The evaluation relies on the Sharpe, Trenor and Jensen’s technique, which have been applied in conjunction with parametric and non-parametric statistical tools using. The result shows significant relationship exists between the NAV return and fund’s risk, information ratio, macro-economic variables such as inflation, interest rates, market index performance, foreign flow of funds and foreign exchange on the basis of regression analysis. 

The Information Ratio and Performance

1999 ◽  
Vol 26 (1) ◽  
pp. 33-39 ◽  
Author(s):  
Francis Gupta ◽  
Robertus Prajogi ◽  
Eric Stubbs
Keyword(s):  
Information Ratio ◽  
And Performance

How “Informative” Is the Information Ratio for Evaluating Mutual Fund Managers?

2010 ◽  
Vol 19 (1) ◽  
pp. 67-81 ◽  
Author(s):  
Thomas Bossert ◽  
Roland Füss ◽  
Philipp Rindler ◽  
Christoph Schneider
Keyword(s):  
Mutual Fund ◽  
Information Ratio ◽  
Mutual Fund Managers ◽  
Fund Managers
Sign in / Sign up

Export Citation Format

Share Document