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Calculate Information Ratio With Excel

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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30 views2 pages

Calculate Information Ratio With Excel

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
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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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