Tracking Error

问题如下：

An analyst is analyzing the historical performance of two commodity funds tracking the Reuters/Jefferies-CRB®

Index as benchmark. The analyst collated the data on the monthly returns and decided to use the information

ratio (IR) to assess which fund achieved higher returns more efficiently, and presented the findings as shown

below:

What is the information ratio for each fund, and what conclusion can be drawn?

选项：

IR for Fund 1 = 0.212, IR for Fund 2 = 0.155; Fund 1 performed better as it has a higher IR.

IR for Fund 1 = 0.212, IR for Fund 2 = 0.155; Fund 2 performed better as it has a lower IR.

IR for Fund 1 = 0.248, IR for Fund 2 = 0.224; Fund 1 performed better as it has a higher IR.

IR for Fund 1 = 0.248, IR for Fund 2 = 0.224; Fund 2 performed better as it has a lower IR.

解释：

A正确。信息比率越高，说明投资经理选择资产的能力越强。

IR = E(Rp - Rb) / 跟踪误差

对于基金1： IR = 0.00073/0.00344 = 0.212；

对于基金2： IR = 0.00053/0.00341 = 0.155。

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A is correct. The information ratio may be calculated by either a comparison of the residual return to residual risk or the excess return to tracking error. The higher the IR, the better ‘informed’ the manager is at picking assets to invest in. Since neither residual return nor risk is given, only the latter is an option.

IR = E(Rp - Rb)/Tracking Error

For Fund 1: IR = 0.00073/0.00344 = 0.212;

For Fund 2: IR = 0.00053/0.00341 = 0.155