Aligned returns · active return per tracking error

Information Ratio Calculator

Calculate a per-period Information Ratio from aligned strategy and benchmark returns, with every active return and sample tracking-error contribution visible.

Runs in your browserN−1 tracking errorNo skill claim

Enter aligned strategy and benchmark returns

Use signed equal-frequency percentage returns in matching oldest-to-newest order. Both series must contain the same number of observations.

Entered

Enter percentage numbers without percent signs. Separate with spaces, commas, semicolons or new lines. Maximum 500.

Enter exactly one benchmark return for every strategy return, in the same order and per-period percentage units.

Information Ratio boundary: This page reports a per-period entered-sample ratio. It does not annualize, account for serial dependence, prove manager skill or predict future benchmark-relative returns.

Entered active-return arithmetic

Entered Risk-Adjusted Performance 1.0.0.

Derived
No Information Ratio calculated yetEnter at least three aligned returns in each series, or load the audited example.

How Information Ratio is calculated

Active[i] = Strategy[i] − Benchmark[i]
Tracking error = √(Σ(Active[i] − Active mean)² ÷ (N − 1))
Information Ratio = Active mean ÷ Tracking error

Each strategy return is aligned with the benchmark return at the same index. Their difference is active return, and the arithmetic mean of those differences is the numerator.

Version 1.0.0 uses the N-minus-one sample standard deviation of active returns as tracking error. The displayed ratio is per period; no square-root-of-frequency annualization is applied.

Assumptions and limits

  • Enter 3 to 500 strategy returns and the same number of aligned benchmark returns.
  • Both series need one consistent frequency, time boundary, fee treatment and percentage-point convention.
  • Constant active returns have zero tracking error, so the ratio is undefined and rejected.
  • Changing the benchmark can change both mean active return and tracking error.
  • No annualized ratio, skill label, persistence claim, forecast, signal or recommendation is produced.

Worked example from the audited fixture

The audited fixture aligns 30 strategy returns with 30 benchmark returns. Their means are 0.110000% and 0.043333%, leaving a mean active return of 0.066667% per period and an active-return sum of 2.000000 percentage points.

Sample active-return variance = 0.098161
Sample tracking error = √0.098161 = 0.313306%
Information Ratio = 0.066667% ÷ 0.313306% = 0.212784

How to interpret the result

The denominator is the N−1 sample standard deviation of aligned active returns, not the strategy’s total volatility and not maximum drawdown. Changing the benchmark can change both components. The 0.212784 result is per period and is not a manager-skill or persistence finding.

Frequently asked questions

  • Enter 3 to 500 aligned strategy returns and the same number of benchmark returns in equal-frequency percentage-point units.
  • Each benchmark return is subtracted from the strategy return at the same oldest-to-newest index.
  • It is the arithmetic mean of all aligned active returns in the entered sample.
  • Version 1.0.0 uses the N-minus-one sample standard deviation of the active-return series.
  • Mean active return is divided by sample tracking error.
  • No. It is a per-period ratio and version 1.0.0 applies no square-root-of-frequency scaling.
  • Sample tracking error is zero, so the ratio is undefined and the calculation is rejected.
  • No. It describes the entered sample and benchmark only and does not prove skill, persistence, future outperformance or a recommendation.

Sources and methodology

Sharpe Ratio CalculatorCompare excess return with total sample dispersion.Currency Correlation MatrixMeasure aligned co-movement without an active-return ratio.Omega Ratio CalculatorCompare threshold gains and shortfalls without a benchmark.

Compare the trading records behind your sample

Keep one broker account, benchmark, return convention, fee treatment and sampling rule across the entered observations before comparing arithmetic.

XM

Review available account statements, instruments and trading terms.

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FBS

Compare account-history exports and cost conventions for your region.

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FXOpen

Confirm account statements and trading conditions behind the entered sample.

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Disclaimer: The results from this tool are estimates for educational and informational purposes only and may differ from your broker's figures. This is not financial or investment advice. Trading forex and CFDs carries a high level of risk and can result in the loss of all your capital. Always verify calculations with your broker and trade within your risk tolerance.