Just wondering why the relationship of IR and SR are not in linear for different team and some teams even have IR larger than SR? Is there any problem with the calculation?
Hello,
Can you have a look at this page regarding the calculation of the sharpe and information ratios? Please note that we are also taking trasaction costs and a rebalancing penalty into account on the leaderboard.
https://dashboard.alphien.com/knowledge-base/Competition_metrics