function inforatio
inforatio(
x: array,
y: array,
dim?: 0 | 1,
): number

Information Ratio.

Measures portfolio returns in excess of a benchmark relative to the volatility of those excess returns. The information ratio measures the skill of an asset manager to generate excess returns relative to a benchmark.

Examples

Information ratio between a single asset and benchmark

import { assertEquals } from "jsr:@std/assert";

var x = [0.003,0.026,0.015,-0.009,0.014,0.024,0.015,0.066,-0.014,0.039];
var y = [-0.005,0.081,0.04,-0.037,-0.061,0.058,-0.049,-0.021,0.062,0.058];
assertEquals(inforatio(x,y), 0.09369148584852913);

Parameters

x: array

asset/portfolio returns

y: array

benchmark returns

optional
dim: 0 | 1

dimension 0: row, 1: column (def: 0)

Return Type

number

Information Ratio

inforatio(
x: matrix,
y: array,
dim?: 0 | 1,
): array | matrix

Information Ratio.

Measures portfolio returns in excess of a benchmark relative to the volatility of those excess returns. The information ratio measures the skill of an asset manager to generate excess returns relative to a benchmark.

Examples

Information ratio between a single asset and benchmark

import { assertEquals } from "jsr:@std/assert";

var x = [0.003,0.026,0.015,-0.009,0.014,0.024,0.015,0.066,-0.014,0.039];
var y = [-0.005,0.081,0.04,-0.037,-0.061,0.058,-0.049,-0.021,0.062,0.058];
assertEquals(inforatio(x,y), 0.09369148584852913);

Parameters

asset/portfolio returns

y: array

benchmark returns

optional
dim: 0 | 1

dimension 0: row, 1: column (def: 0)

Return Type

Information Ratio

Usage

import inforatio from "quants/inforatio.ts";