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Sharpe ratio and information ratio #35
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Proposed signatures |
@stephen-183 benchmark can be non-index, so I would use Asset |
@stephen-183 or a list of valid types (e.g. Index, Stock, etc) |
Makes sense; I'll use Asset to be concise. |
Describe the problem.
Provide an implementation for sharpe ratio and information ratio calculations in gs_quant.
Describe the solution you'd like
Information ratio should calculate the rolling return per unit volatility of a series versus a benchmark series. Sharpe ratio calculation should compute rolling return per unit volatility of a series versus risk free rate for currency of the target series (i.e excess return). Both of these measures should calculate excess return daily with correct holiday / interpolation handling
Are you willing to contribute
Yes
Additional context
Needs full regtesting. Identify correct data sources for risk free rates
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