garp16-p2-72
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Information Ratio v t-stat on alpha
I show IR = alpha/volatility(alpha) and..... t-statistic = alpha coefficient/alpha s.d. How are these two different?- Kangaroo79
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- garp16-p2-72 information-ratio t-statistic
- Replies: 5
- Forum: P1.T1. Foundations of Risk (20%)
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GARP.FRM.PQ.P2 Important Difference in Information Ratio Formula (garp16-p2-72)
Dear David, I’ve had some confusion, misunderstanding and doubts when doing 09 Level I Annotated Boot Camp. Appreciate your kind help on this! I’ve noticed an important difference between you and FRM handbook with respect to calculating information ratio: in all your practice...- Liming
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- alpha garp16-p2-72 grinold information ratio scaling
- Replies: 27
- Forum: P2.T9. Investment Management (15%)