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Investment Info Ratio Calculator

The document describes how to calculate the Information Ratio, Alpha and Beta of an investment compared to a benchmark using a spreadsheet. It includes sample portfolio and market return data from January 2010 to December 2010 and formulas to calculate the metrics.

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luca pilotti
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94 views2 pages

Investment Info Ratio Calculator

The document describes how to calculate the Information Ratio, Alpha and Beta of an investment compared to a benchmark using a spreadsheet. It includes sample portfolio and market return data from January 2010 to December 2010 and formulas to calculate the metrics.

Uploaded by

luca pilotti
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd

The Information Ratio

http://investexcel.net
This spreadsheet calculates the Information Ratio, Alpha and Beta of an investment with respect to a benchmark

Returns Monthly Risk Free Rate


Date Portfolio Market Excess 0.25%

1/1/2010 2% 2% 0% Beta 0.0924 COVARIANCE.P(E8:E108,F8:F1


2/1/2010 1% -5.62% 7% Alpha 0.0382 B20-E6+F8*(C20-E6)
3/1/2010 0.61% -3.42% 4% Information Ratio 0.3750
4/1/2010 0.76% 2.84% -2%

Portfolio Returns
12%
5/1/2010 9.69% -5.00% 15%
6/1/2010 1.39% 5.30% -4%
7/1/2010 3.10% -2.33% 5% 10%
8/1/2010 0.46% 8.57% -8%
9/1/2010 6.11% 4.77% 1% 8%
10/1/2010 9.37% 14.69% -5%
11/1/2010 3.88% -6.68% 11% 6%
12/1/2010 9.54% 1.38% 8%
f(x) = 0.0924194650041216 x + 0.03830408856613
Mean 3.96% 1.38% 2.58% 4%
Standard Dev 3.73% 6.40% 6.88%
2% Market Retur

0%
-10% -5% 0% 5% 10%
to a benchmark

COVARIANCE.P(E8:E108,F8:F108)/VAR.P(F8:F108)
B20-E6+F8*(C20-E6)

0041216 x + 0.0383040885661373

Market Returns

5% 10% 15% 20%

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