INFORATIO2
Updated: 21 December 2012
Use INFORATIO2 to calculate the Information ratio based upon price or valuation data. You have the option of computing the Information ratio using either simple returns or geometric returns. For details on the formulae used to calculate the Information ratio, see the INFORATIO documentation.Syntax
Arguments
@PDate
the date associated with the price or valuation. @PDate is an expression of type datetime or of a type that can be implicitly converted to datetime.
@PValue
the price or value for the @PDate. @PDate is an expression of type float or of a type that can be implicitly converted to float.
@BValue
the benchmark rate. @BValue is an expression of type float or of a type that can be implicitly converted to float.
@Scale
the scaling factor used in the calculation. @Scale is an expression of type float or of a type that can be implicitly converted to float.
@Geometric
identifies whether or not to use geometric returns in the calculation. @Geometric is an expression of type bit or of a type that can be implicitly converted to bit.
Return Type
float
Remarks
· If @Geometric IS NULL then @Geometric is set equal to 'False'.
· If @Scale IS NULL them @Scale is set to 1.
· For daily returns set @Scale = 252.
· For weekly returns set @Scale = 52.
· For monthly returns set @Scale = 12.
· For quarterly returns set @Scale = 4.
· To calculate the Information ratio using return data, use the INFORATIO aggregate function.
· @Geometric must be the same for all rows in the GROUP BY
· @Scale must the same for all rows in the GROUP BY.
· If there are multiple rows for the same date, the @PValue and @Bvalue are accumulated.
· The return values are automatically calculated by putting the @PValue and @Bvalue in @PDate order.
Examples
In this example we have price data for IBM and we want to calculate the simple Information ratio using the S&P 500 prices.
SELECT wct.INFORATIO2(tdate,pr,prb,252,'False') as INFORATIO
FROM (VALUES
('IBM','2012-12-18',195.69,1446.79),
('IBM','2012-12-17',193.62,1430.36),
('IBM','2012-12-14',191.76,1413.58),
('IBM','2012-12-13',191.99,1419.45),
('IBM','2012-12-12',192.95,1428.48),
('IBM','2012-12-11',194.2,1427.84),
('IBM','2012-12-10',192.62,1418.55),
('IBM','2012-12-07',191.95,1418.07),
('IBM','2012-12-06',189.7,1413.94),
('IBM','2012-12-05',188.65,1409.28),
('IBM','2012-12-04',189.36,1407.05),
('IBM','2012-12-03',189.48,1409.46),
('IBM','2012-11-30',190.07,1416.18),
('IBM','2012-11-29',191.53,1415.95),
('IBM','2012-11-28',191.98,1409.93),
('IBM','2012-11-27',191.23,1398.94),
('IBM','2012-11-26',192.88,1406.29),
('IBM','2012-11-23',193.49,1409.15),
('IBM','2012-11-21',190.29,1391.03),
('IBM','2012-11-20',189.2,1387.81),
('IBM','2012-11-19',190.35,1386.89),
('IBM','2012-11-16',186.94,1359.88),
('IBM','2012-11-15',185.85,1353.33),
('IBM','2012-11-14',185.51,1355.49),
('IBM','2012-11-13',188.32,1374.53),
('IBM','2012-11-12',189.25,1380),
('IBM','2012-11-09',189.64,1379.85),
('IBM','2012-11-08',190.1,1377.51),
('IBM','2012-11-07',191.16,1394.53),
('IBM','2012-11-06',194.22,1428.39),
('IBM','2012-11-05',193.29,1417.26),
('IBM','2012-11-02',192.59,1414.2),
('IBM','2012-11-01',196.29,1427.59),
('IBM','2012-10-31',193.68,1412.16)
)n(ticker,tdate,pr,prb)
This produces the following result.
INFORATIO
----------------------
-1.47787598470777
In this example, we use weekly prices and calculate the Information ratio using geometric returns.
SELECT wct.INFORATIO2(tdate,pr,prb,52,'True') as INFORATIO
FROM (VALUES
('IBM','2012-12-17',195.08,1435.81),
('IBM','2012-12-10',191.76,1413.58),
('IBM','2012-12-03',191.95,1418.07),
('IBM','2012-11-26',190.07,1416.18),
('IBM','2012-11-19',193.49,1409.15),
('IBM','2012-11-12',186.94,1359.88),
('IBM','2012-11-05',189.64,1379.85),
('IBM','2012-10-31',192.59,1414.2),
('IBM','2012-10-22',192.43,1411.94),
('IBM','2012-10-15',192.52,1433.19),
('IBM','2012-10-08',206.89,1428.59),
('IBM','2012-10-01',209.67,1460.93),
('IBM','2012-09-24',206.55,1440.67),
('IBM','2012-09-17',205.08,1460.15),
('IBM','2012-09-10',205.91,1465.77),
('IBM','2012-09-04',198.63,1437.92),
('IBM','2012-08-27',194,1406.58),
('IBM','2012-08-20',196.91,1411.13),
('IBM','2012-08-13',200.34,1418.16),
('IBM','2012-08-06',198.42,1405.87),
('IBM','2012-07-30',196.81,1390.99),
('IBM','2012-07-23',194.7,1385.97),
('IBM','2012-07-16',190.8,1362.66),
('IBM','2012-07-09',184.41,1356.78),
('IBM','2012-07-02',189.77,1354.68),
('IBM','2012-06-25',193.9,1362.16),
('IBM','2012-06-18',192.04,1335.02),
('IBM','2012-06-11',197.39,1342.84),
('IBM','2012-06-04',193.46,1325.66),
('IBM','2012-05-29',187.46,1278.04),
('IBM','2012-05-21',192.63,1317.82),
('IBM','2012-05-14',194.2,1295.22),
('IBM','2012-05-07',199.44,1353.39),
('IBM','2012-04-30',202.38,1369.1),
('IBM','2012-04-23',204.18,1403.36),
('IBM','2012-04-16',197.06,1378.53),
('IBM','2012-04-09',200.22,1370.26),
('IBM','2012-04-02',202.86,1398.08),
('IBM','2012-03-26',205.99,1408.47),
('IBM','2012-03-19',202.86,1397.11),
('IBM','2012-03-12',203.39,1404.17),
('IBM','2012-03-05',198.07,1370.87),
('IBM','2012-02-27',196.28,1369.63),
('IBM','2012-02-21',195.24,1365.74),
('IBM','2012-02-13',190.96,1361.23),
('IBM','2012-02-06',189.97,1342.64),
('IBM','2012-01-30',190.43,1344.9),
('IBM','2012-01-23',187.31,1316.33),
('IBM','2012-01-17',185.4,1315.38),
('IBM','2012-01-09',176.19,1289.09),
('IBM','2012-01-03',179.52,1277.81)
)n(ticker,tdate,pr,prb)
This produces the following result.
INFORATIO
----------------------
-0.310396296260186
In this example, we look at prices for several different symbols and group the results by symbol.
SELECT *
INTO #s
FROM (VALUES
('IBM','2012-12-03',195.08),
('IBM','2012-11-01',190.07),
('IBM','2012-10-01',193.68),
('IBM','2012-09-04',206.55),
('IBM','2012-08-01',194),
('IBM','2012-07-02',194.3),
('IBM','2012-06-01',193.9),
('IBM','2012-05-01',191.24),
('IBM','2012-04-02',204.44),
('IBM','2012-03-01',205.99),
('IBM','2012-02-01',194.23),
('IBM','2012-01-03',189.41),
('IBM','2011-12-01',180.84),
('IBM','2011-11-02',184.89),
('MSFT','2012-12-03',27.31),
('MSFT','2012-11-01',26.62),
('MSFT','2012-10-01',28.31),
('MSFT','2012-09-04',29.52),
('MSFT','2012-08-01',30.57),
('MSFT','2012-07-02',29.04),
('MSFT','2012-06-01',30.14),
('MSFT','2012-05-01',28.76),
('MSFT','2012-04-02',31.34),
('MSFT','2012-03-01',31.58),
('MSFT','2012-02-01',31.07),
('MSFT','2012-01-03',28.72),
('MSFT','2011-12-01',25.25),
('MSFT','2011-11-02',24.88),
('GOOG','2012-12-03',720.11),
('GOOG','2012-11-01',698.37),
('GOOG','2012-10-01',680.3),
('GOOG','2012-09-04',754.5),
('GOOG','2012-08-01',685.09),
('GOOG','2012-07-02',632.97),
('GOOG','2012-06-01',580.07),
('GOOG','2012-05-01',580.86),
('GOOG','2012-04-02',604.85),
('GOOG','2012-03-01',641.24),
('GOOG','2012-02-01',618.25),
('GOOG','2012-01-03',580.11),
('GOOG','2011-12-01',645.9),
('GOOG','2011-11-02',599.39),
('AAPL','2012-12-03',526.31),
('AAPL','2012-11-01',585.28),
('AAPL','2012-10-01',592.61),
('AAPL','2012-09-04',664.07),
('AAPL','2012-08-01',662.22),
('AAPL','2012-07-02',605.38),
('AAPL','2012-06-01',578.86),
('AAPL','2012-05-01',572.64),
('AAPL','2012-04-02',578.84),
('AAPL','2012-03-01',594.27),
('AAPL','2012-02-01',537.67),
('AAPL','2012-01-03',452.46),
('AAPL','2011-12-01',401.44),
('AAPL','2011-11-02',378.84),
('ORCL','2012-12-03',34.09),
('ORCL','2012-11-01',32),
('ORCL','2012-10-01',30.91),
('ORCL','2012-09-04',31.22),
('ORCL','2012-08-01',31.41),
('ORCL','2012-07-02',29.97),
('ORCL','2012-06-01',29.42),
('ORCL','2012-05-01',26.22),
('ORCL','2012-04-02',29.12),
('ORCL','2012-03-01',28.82),
('ORCL','2012-02-01',28.92),
('ORCL','2012-01-03',27.88),
('ORCL','2011-12-01',25.3),
('ORCL','2011-11-02',30.92),
('SP500','2012-12-03',1435.81),
('SP500','2012-11-01',1416.18),
('SP500','2012-10-01',1412.16),
('SP500','2012-09-04',1440.67),
('SP500','2012-08-01',1406.58),
('SP500','2012-07-02',1379.32),
('SP500','2012-06-01',1362.16),
('SP500','2012-05-01',1310.33),
('SP500','2012-04-02',1397.91),
('SP500','2012-03-01',1408.47),
('SP500','2012-02-01',1365.68),
('SP500','2012-01-03',1312.41),
('SP500','2011-12-01',1257.6),
('SP500','2011-11-02',1246.96)
)n(ticker,tdate,pr)
SELECT s1.ticker
,wct.INFORATIO2(s1.tdate,s1.pr,s2.pr,12,'True') as INFORATIO
FROM #s s1
LEFT JOIN #s s2
ON s2.tdate = s1.tdate
AND s2.ticker = 'SP500'
AND s2.ticker != s1.ticker
GROUP BY s1.ticker
This produces the following result.
ticker INFORATIO
------ ----------------------
AAPL 0.846519681907702
GOOG 0.196110154561227
IBM -1.07169324842413
MSFT -0.327361553338124
ORCL -0.191027096092106
SP500 NULL
See Also