500+ quant interview questions for Jane Street, Citadel, Two Sigma, DE Shaw, and other top quantitative finance firms.
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Difficulty: Easy
Category: backtesting
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Topics: backtesting, information-ratio, tracking-error, active-management, numpy
The Information Ratio (IR) is a key performance metric in quantitative finance used to evaluate a portfolio manager's skill in generating returns above a benchmark, adjusted for the volatility of those excess returns. It measures the consistency of active return generation, making it a primary tool for comparing the risk-adjusted performance of different investment strategies. This ratio is central to the Grinold-Kahn fundamental law of active management. Task Implement the function solution(st
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