IShares SMI Information Ratio
| CSSMI Etf | | | CHF 129.82 0.80 0.62% |
The Information Ratio calculation for IShares SMI draws on price and volume history. The depth of trading history affects the precision of the indicator.
Trending Equities provides a view into diversified allocation design. All metrics are derived from available inputs and shown for reference. Adding iShares SMI ETF to a portfolio enables side-by-side comparison with other holdings. All values are based on available data and provided as reference information. Broader economic conditions can influence iShares SMI ETF's etf valuation — related indicators include
signals in gross domestic product.
iShares SMI ETF has current Information Ratio of 0.0159. The Information Ratio is the ratio of the alpha component of total returns to the standard deviation of these excess alpha returns. The alpha component is the return that is attributable to the manager skill to time the market and is the residual after taking out the risk-free return and the beta components from the total returns. While the Sharpe ratio considers the standard deviation of the total returns, the information ratio considers the variability of only the alpha component of the return (which also forms the numerator). In other words, the information ratio is merely Jensen alpha divided by its standard deviation.
INFOR | = | ER[a] - ER[b]STD[a] |
| = | 0.0159 | |
Information Ratio Peers Comparison
Information Ratio Relative To Other Indicators
iShares SMI ETF is rated
below average in information ratio across the ETF category. It is currently under evaluation in maximum drawdown across the ETF category yielding
292.83 of Maximum Drawdown per Information Ratio. For iShares SMI ETF, Maximum Drawdown stands at
292.83 times Information Ratio
The higher the information ratio, the greater the chances of the manager to make money in the future. The information ratio only looks to compute the return per unit of risk undertaken for the alpha component. This is important because alpha returns are risky, as they represent a zero-sum game for the market as a whole. In fact, the average alpha for the market as a whole is in practice slightly less than zero because of the transaction and other costs. Therefore, it is easy for a manager to take on alpha risk and lose money that will bite into the beta returns.
Compare IShares SMI to Peers
Other Technical Indicators