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quantra-go-algo/Modigliani_Ratio.py Secret

Created December 22, 2022 07:33
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Modigliani_Ratio.py
# Modigliani Ratio
import numpy as np
def modigliani_ratio(returns, benchmark_returns, rf, days=252):
volatility = returns.std()
sharpe_ratio = (returns.mean() - rf) / volatility * np.sqrt(days)
benchmark_volatility = benchmark_returns.std() * np.sqrt(days)
m2_ratio = (sharpe_ratio * benchmark_volatility) + rf
return m2_ratio
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