Fundamental Income Information Ratio
| NETL Etf | | | USD 25.74 -0.10 -0.39% |
The Information Ratio profile for Fundamental Income Net is based on historical price and volume observations. All inputs reflect available trading data across supported markets. Normalization methods and data feeds may affect reported values. Fundamental Income has a market cap of 3.46 B, operating margin of 8.35%.
Correlation Analysis can help frame allocation decisions. The overview captures current portfolio composition. The data reflects holdings as of the most recent update. All values are based on available data and provided as reference information. A position in Fundamental Income Net appears within the mix. The position is captured in the allocation summary. The relative size of each holding follows the allocation framework. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as
signals in real.
Fundamental Income Net has current Information Ratio of 0.2732. 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] |
| = | 0.2732 | |
Information Ratio Peers Comparison
Information Ratio Relative To Other Indicators
Fundamental Income Net sits atop the peer group for information ratio within its ETF group. It is currently under evaluation for maximum drawdown within its ETF group where Maximum Drawdown runs almost
15.34 per Information Ratio. Fundamental Income Net's Maximum Drawdown registers at
15.34 relative to 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 Fundamental Income to Peers
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