quantitivecalc/dist/PerformanceMetrics/calculateInformationRatio.d.ts

A TypeScript library providing advanced quantitative finance functions for risk analysis, performance metrics, and technical indicators. (Currently in development)

/**
 * Calculates the rolling Information Ratio for a given dataset.
 *
 * The Information Ratio is computed as the mean of active returns (asset return minus benchmark return)
 * divided by the tracking error (standard deviation of active returns), annualized by multiplying by the square root of 252.
 * The result is stored in the specified result column for each row where enough data is available (windowSize).
 * For rows with insufficient data, the result column is set to `null`.
 *
 * @param data - Array of records containing asset and benchmark returns.
 * @param assetReturnsColumn - The key in each record representing the asset returns.
 * @param benchmarkReturnsColumn - The key in each record representing the benchmark returns.
 * @param resultColumn - The key in each record where the calculated Information Ratio will be stored.
 * @param windowSize - The number of periods to use for the rolling calculation (default is 252).
 * @returns A new array of records with the Information Ratio added to each row in the specified result column.
 */
export declare function calculateInformationRatio(data: Array<Record<string, unknown>>, assetReturnsColumn: string, benchmarkReturnsColumn: string, resultColumn: string, windowSize?: number): Array<Record<string, unknown>>;
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