PortfolioEffectHFT (version 1.8)

information_ratio: Information Ratio

Description

Computes information ratio of a portfolio.

Usage

information_ratio(asset)

Arguments

asset

Portfolio or Position object created using portfolio_create( ) or position_add( ) function

Value

Metric object

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')
# positionAAPL=position_add(portfolio,'AAPL',100)
# positionC=position_add(portfolio,'C',300) 
# positionGOOG=position_add(portfolio,'GOOG',150) 
# result=compute(information_ratio(positionC),information_ratio(positionGOOG),
# information_ratio(positionAAPL)) 
# plot(information_ratio(positionC),information_ratio(positionGOOG),
# information_ratio(positionAAPL),legend=c('C','GOOG','AAPL'),title='Information Ratio')
## ---------------------------------------------

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