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Add compounded option to information_ratio#529

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Whning0513 wants to merge 1 commit into
ranaroussi:mainfrom
Whning0513:add-compounded-information-ratio-514
Open

Add compounded option to information_ratio#529
Whning0513 wants to merge 1 commit into
ranaroussi:mainfrom
Whning0513:add-compounded-information-ratio-514

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Summary

  • add a compounded option to stats.information_ratio while preserving the current arithmetic default
  • use geometric excess return when compounded=True
  • thread the compounded setting through reports metrics and add regression coverage for stats and pandas extension paths

Closes #514

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qs.stats.information_ratio() uses arithmetic mean instead of geometric

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