Treynor ratio - Githubissues

openamiguel / equitysim

a collection of code to analyze equity data

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Closed openamiguel closed 6 years ago

openamiguel commented 6 years ago

[x] first, build beta calculation into performance.py which takes index returns as input (unlike Sharpe)
[x] second, build Treynor ratio calculation into performance.py See the Wikipedia article on it
[x] third, test the code!