Information ratio

The Information ratio, also known as Appraisal ratio, is a measure of the risk-adjusted return of a financial security (or asset or portfolio). It is defined as expected active return divided by tracking error, where active return is the difference between the return of the security and the return of a selected benchmark index, and tracking error is the standard deviation of the active return; i.e., the information ratio ${\displaystyle IR}$ is:

where ${\displaystyle R_{p}}$ is the portfolio return, ${\displaystyle R_{b}}$ is the benchmark return, ${\displaystyle \alpha =E[R_{p}-R_{b}]}$ is the expected value of the active return, and ${\displaystyle \omega =\sigma }$ is the standard deviation of the active return, which is an alternate definition of the aforementioned tracking error.

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