摘要
信息比率是证券投资基金绩效评价的一种得力工具 .介绍了信息比率的计算方法 ,解释了信息比率的含义 ,研究了信息比率与夏普比率之间的关系 ,分析了超额收益率统计显著性检验与信息比率统计显著性之间的联系 ,指出了利用信息比率进行基金绩效评价时需要注意的事项 .
Information ratio is a powerful tool for security investment funds performance evaluation. This article introduces the calculating methods and meanings of information ratio, studies the relationship between information ratio and Sharp ratio, analyzes the connection existing between the statistical significance of excess returns and an information ratio, and points out some questions should be warned when evaluating security investment funds performance by information ratio.
出处
《数学的实践与认识》
CSCD
北大核心
2004年第10期36-43,共8页
Mathematics in Practice and Theory
