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BUG: update the definition of information ratio #834

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@twiecki can you look this over?

In trying to update the answer key, I am not sure we have the daily benchmark returns in the spreadsheet to compute the information ratio

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twiecki commented Nov 12, 2015

LGTM and matches the pyfolio implementation https://github.com/quantopian/pyfolio/blob/master/pyfolio/timeseries.py#L1339.

@twiecki twiecki closed this Nov 12, 2015
@twiecki twiecki reopened this Nov 12, 2015
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@twiecki two questions:

  1. The daily benchmark returns are not in the csv for the answer key so I cannot implement this in the spreadsheet. How should we generate a new one?
  2. How would you feel about using a shared implementation for the risk metric calculations. I noticed that there was recently an issue with the sortino ratio that was updated in pyfolio but not zipline. I feel like we can either make one project a dependency of another or make a new project of raw risk and performance calculations.

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twiecki commented Nov 12, 2015

@llllllllll

  1. I didn't work on that (@eddie did) so my thoughts are as good as yours. We could just add that to the csv I guess.
  2. I agree. I think pyfolio should be a dependency for zipline. Just not sure whether we should port the testing logic that's in zipline over to pyfolio. Might be the right thing to do.

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closing in favor of: #1322

@llllllllll llllllllll closed this Jul 27, 2016
@richafrank richafrank deleted the information-ratio branch August 23, 2016 01:06
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