PortfolioEffectHFT (version 1.6)

portfolio_informationRatio: Portfolio Information Ratio

Description

Computes information ratio of a portfolio.

Usage

portfolio_informationRatio(portfolio)

Arguments

portfolio

Portfolio object created using portfolio_create( ) function

Value

Examples

## Not run: 
# dateStart = "2014-11-17 09:30:00"
# dateEnd = "2014-11-17 16:00:00"
# portfolio<-portfolio_create(dateStart,dateEnd)
# portfolio_settings(portfolio,portfolioMetricsMode="price",windowLength = '3600s',
# resultsSamplingInterval='60s')
# portfolio_addPosition(portfolio,'AAPL',100)
# portfolio_addPosition(portfolio,'C',300) 
# portfolio_addPosition(portfolio,'GOOG',150)
# util_plot2d(portfolio_informationRatio(portfolio),title="Portfolio Information Ratio")
# ## End(Not run)