WM Company Publishes Information Ratio Paper

European investment performance management firm WM Company has published a research report entitled "The Information Content of Information Ratios". The European performance measurement arm of State Street, publishes regular research reports based upon its experience and history of measuring investment

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European investment performance management firm WM Company has published a research report entitled “The Information Content of Information Ratios”.

The European performance measurement arm of State Street, publishes regular research reports based upon its experience and history of measuring investment portfolios in investment centres around the world – this report covers data between 1995 and 2003 for 200 portfolios of UK pension funds’ equity managers in each of five regions (UK, US, Europe ex-UK, Japan and Pacific ex-Japan).

In the report, WM calculated an “Information Ratio” (IR) by dividing the relative-to-benchmark return of a portfolio by its relative-to-benchmark risk and provides a unitary measure of performance. This ratio is often interpreted as a measure of investment manager skill by quantifying to what extent active risk is converted into return above the relevant benchmark.

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