Corpus ID: 235125567

Turnover-Adjusted Information Ratio

@inproceedings{Zhang2021TurnoverAdjustedIR,
  title={Turnover-Adjusted Information Ratio},
  author={Feng Zhang and Xi Wang and Honggao Cao},
  year={2021}
}
In this paper, we study the behavior of information ratio (IR) as determined by the fundamental law of active investment management. We extend the classic relationship between IR and its two determinants (i.e., information coefficient and investment “breadth”) by explicitly and simultaneously taking into account the volatility of IC and the cost from portfolio turnover. Through mathematical derivations and simulations, we show that – for both mean-variance and quintile portfolios – a turnover… Expand

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References

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