Added information ratio to reports

CHANGELOG.rst

@@ -1,6 +1,10 @@
 Change Log
 ===========
 
+0.0.53
+------
+- Added information ratio to reports
+
 0.0.52
 ------
 - Added Treynor ratio

quantstats/reports.py

@@ -451,6 +451,8 @@ def metrics(returns, benchmark=None, rf=0., display=True,
  metrics['Volatility (ann.) %'] = [ret_vol, bench_vol]
  metrics['R^2'] = _stats.r_squared(
  df['returns'], df['benchmark'], prepare_returns=False)
+ metrics['Information Ratio'] = _stats.information_ratio(
+ df['returns'], df['benchmark'], prepare_returns=False)
  else:
  metrics['Volatility (ann.) %'] = [ret_vol]
 
@@ -616,6 +618,12 @@ def metrics(returns, benchmark=None, rf=0., display=True,
 
  if not sep:
  metrics = metrics[metrics.index != '']
+
+ # remove spaces from column names
+ metrics = metrics.T
+ metrics.columns = [c.replace(' %', '').replace(' *int', '').strip() for c in metrics.columns]
+ metrics = metrics.T
+
  return metrics
 
 

quantstats/stats.py

@@ -906,7 +906,7 @@ def rolling_greeks(returns, benchmark, periods=252, prepare_returns=True):
  return _pd.DataFrame(index=returns.index, data={
  "beta": beta,
  "alpha": alpha
- }).fillna(0)
+ })
 
 
 def compare(returns, benchmark, aggregate=None, compounded=True,

quantstats/version.py

@@ -1 +1 @@
-version = "0.0.52"
+version = "0.0.53"