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information_ratio

Function information_ratio 

Source
pub fn information_ratio(
    asset_returns: &[f64],
    benchmark_returns: &[f64],
) -> FinanceResult<f64>
Expand description

Information ratio: mean(active) / stdev(active) where active[i] = asset[i] − benchmark[i].

Active returns and tracking error use the same sampling frequency as the inputs (not annualized). For desk IR, pass already-period-matched excess returns.