Re: Barron whats your r.o.r??
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wait, isnt this the sharpe ratio?
"information coefficient (or information ratio) is a far more telling measure of your skill. it is the excess returns you get (your nominal total return minus say, 3 mo tbill rates) divided by some measure of the risk you take (usually the compound standard deviation of your excess returns). it tells you how many units of return you generate for every unit of risk taken."
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sharpe ratio typically refers to strategic allocations (beta) whereas information ratio refers to tactical allocations (alpha)
Barron
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