What are the meanings of metrics of benchmarks performance? Why is Sharpe Ratio not included in the metrics?

[Waterkin]

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[you-n-g]

What are the meanings of metrics of benchmarks performance?

• Can this PR answer your question?

Why is Sharpe Ratio not included in the metrics?

• Sharp Ratio and Information ratio are both evaluation metrics which consider both return and risk.
  • Sharp Ratio is compared to risk-free return. Information ratio is compared to a specific benchmark. In our forecasting tasks, the model are predicting the excess return of stocks to CSI300 instead of risk-free return. So information ratio is a more reasonable metric.

[Waterkin]

Thanks for your reply, young.