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Risk adjusted returns based on volatility
"""
Note that this Gist uses functions made available in another Gist -
https://gist.github.com/StuartGordonReid/67a1ec4fbc8a84c0e856
"""
def treynor_ratio(er, returns, market, rf):
return (er - rf) / beta(returns, market)
def sharpe_ratio(er, returns, rf):
return (er - rf) / vol(returns)
def information_ratio(returns, benchmark):
diff = returns - benchmark
return numpy.mean(diff) / vol(diff)
def modigliani_ratio(er, returns, benchmark, rf):
np_rf = numpy.empty(len(returns))
np_rf.fill(rf)
rdiff = returns - np_rf
bdiff = benchmark - np_rf
return (er - rf) * (vol(rdiff) / vol(bdiff)) + rf
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