La tracking error permet de juger de la qualité d'un fond gestion en comparant l'écart type de ses rendements avec son indice de référence. Elle détermine la volatilité théorique d'un fond avec celle de son indice de référence. On peut ainsi savoir grâce à la tracking error quels sont les fonds ayant un rendement moyen proche ou éloigné du benchmark.
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The information ratio measures the risk-adjusted returns of a financial asset or portfolio relative to a certain index. This ratio aims to show excess returns relative to the benchmark, as well as the consistency in generating the excess returns. The consistency of generating excess returns is measured by the tracking error.
The information ratio is primarily used as a performance measure by fund managers. In addition, it is frequently used to compare the skills and abilities of fund managers with similar investment strategies. The ratio provides investors with insights about the ability of a fund manager to sustain the generation of excess, or even abnormal (as in “abnormally high”), returns over time. Finally, some hedge funds and mutual funds use the information ratio to calculate the fees that they charge their clients (e.g., performance fee).
