'**********************************************************************************
'************************Information ratio*****************************************
'**********************************************************************************
Function ratio_info(ptf As Range, bench As Range)
Dim nb As Integer
Dim i As Integer
Dim rdt_ptf(), rdt_bench(), rdt_ecart(), ecart() As Single
Dim rdtmoy_ptf, rdtmoy_bench, sigma, rdtmoy_ecart As Single
rdtmoy_ptf = 0
rdtmoy_bench = 0
rdtmoy_ecart = 0
nb = ptf.Rows.Count 'Nombre de lignes dans le portefeuille
ReDim rdt_ptf(nb - 1)
ReDim rdt_bench(nb - 1)
ReDim rdt_ecart(nb - 1)
ReDim ecart(nb)


'Matrix calculating the returns of the portfolio and the benchmark
For i = 1 To nb - 1
    rdt_ptf(i) = (ptf(i + 1) - ptf(i)) / ptf(i)
    rdtmoy_ptf = rdt_ptf(i) + rdtmoy_ptf
Next i
rdtmoy_ptf = rdtmoy_ptf / (nb - 1)
For i = 1 To nb - 1
    rdt_bench(i) = (bench(i + 1) - bench(i)) / bench(i)
    rdtmoy_bench = rdt_bench(i) + rdtmoy_bench
Next i
rdtmoy_bench = rdtmoy_bench / (nb - 1)

'Calcul de l'icart
For i = 1 To nb
    ecart(i) = ptf(i) - bench(i)
Next i

'Spread return Calculus
For i = 1 To nb - 1
    rdt_ecart(i) = (ecart(i + 1) - ecart(i)) / ecart(i)
    rdtmoy_ecart = rdtmoy_ecart + rdt_ecart(i)
Next i
rdtmoy_ecart = rdtmoy_ecart / (nb - 1)

'Spread volatility calculus
sigma = 0
For i = 1 To nb - 1
    sigma = ((rdt_ecart(i) - rdtmoy_ecart) ^ 2) + sigma
Next i
sigma = sigma / ((nb - 1) ^ 2)

'Calcul du ratio d'information
ratio_info = (rdtmoy_ptf - rdtmoy_bench) / sigma
End Function