Information Ratio

[Physlab]

I am looking for an Excel equation that will permit me to calculate the denominator of the Information Ratio. Instead of using the Standard Deviation (SD) for the denominator, I want to substitute a semi-variance calculation for a set of data points.

What I've come up with so far is this equation.

{=VARP(IF(D5:D21<$E$7,D5:D21,0))} which is an array calculation. The data is in D5 through D21, and Cell E7 contains the average of the data points.

Will this equation give me a semi-variance calculation?

Physlab

 

[Aladin Akyurek]

It looks like it would...

See:

http://www.investopedia.com/terms/s/semivariance.asp

http://www.mrexcel.com/forum/showthread.php?t=220419

 

[Simulationconsultant]

Try this information ratio spreadsheet