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What is the information ratio of TOM using the Barclay Index as the benchmark? begin{tabular}{lrrr} & Al (Net of Fees) & Parker Index (Excess Returns)
What is the information ratio of TOM using the Barclay Index as the benchmark?
\begin{tabular}{lrrr} & Al (Net of Fees) & Parker Index (Excess Returns) [1] & Barclay Index (Excess Returns) [1] \\ \hline Annualized Return & 1.23% & 1.58% & 1.29% \\ Annualized Volatility & 4.83% & 6.09% & 3.62% \\ Max Drawdown & 5.44% & 12.24% & 10.90% \\ Max Drawdown (Volatility- & 5.44% & 9.75% & 14.34% \\ Annual Sharpe Ratio & 0.25 & 0.26 & 0.36 \\ & & & \\ Regression statistics [2] : & & 0.0017 & 0.0021 \\ Alpha & & 1.14 & 1.54 \\ t-stat & & 0.5186 & 0.9697 \\ Beta & & 5.99 & 7.32 \\ t-stat & & 0.4279 & 0.5273 \\ R-Square & & & \\ \hline \end{tabular} Information ratio = where and come from a time-series regression Rte=+Rb,te+t \begin{tabular}{lrrr} & Al (Net of Fees) & Parker Index (Excess Returns) [1] & Barclay Index (Excess Returns) [1] \\ \hline Annualized Return & 1.23% & 1.58% & 1.29% \\ Annualized Volatility & 4.83% & 6.09% & 3.62% \\ Max Drawdown & 5.44% & 12.24% & 10.90% \\ Max Drawdown (Volatility- & 5.44% & 9.75% & 14.34% \\ Annual Sharpe Ratio & 0.25 & 0.26 & 0.36 \\ & & & \\ Regression statistics [2] : & & 0.0017 & 0.0021 \\ Alpha & & 1.14 & 1.54 \\ t-stat & & 0.5186 & 0.9697 \\ Beta & & 5.99 & 7.32 \\ t-stat & & 0.4279 & 0.5273 \\ R-Square & & & \\ \hline \end{tabular} Information ratio = where and come from a time-series regression Rte=+Rb,te+tStep by Step Solution
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