Information Ratio (IR), Information Coefficient and the Fundamental Law of Active Management

[1] Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk, Second Edition by Richard C. Grinold and Ronald N. Kahn, McGraw Hill, 2000
[2] Qunatitative Equity Portfolio Management: Modern Techniques and Applications by Edward E. Qian, Ronald H. Hua, and Eric H. Sorensen, Chapman & Hall, 2007.

Ian Kaplan
October 2013
Revised:

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