We derive expressions for the Information Ratio (IR) that can be expected from directional market timing strategies. Our results hold as accurate approximations and lift Grinold's [1989] “Fundamental Law of Active Management” to an operational level. In addition, we separate “time series...

Este artículo considera proporciones (ratios) financieras, operativas, de solvencia y desempeño para detectar cuándo hay variaciones en los estados financieros de las empresas mexicanas, a raíz de la crisis cambiaria de 1994, con datos trimestrales de 88 empresas mexicanas no financieras que...

This paper considers financial, operational, solvency, and performance ratios, in order to detect when there were balance sheets’ variations related to the 1994 Mexican currency crisis. Quarterly results for 88 non-financial Mexican companies that survived the crisis are used, and tests for...

The Information Ratio IR is the conventional metric to gauge the ex post risk-adjusted performance of a market timing strategy. A deficiency of this metric is that it does not account for an average “long bias”, which can confound the timing ability of the evaluated strategy. In this paper,...