SQL Server MovingINFORATIO Function

Updated 2024-03-14 15:04:09.907000

Description

Use the scalar function MovingINFORATIO to calculate the information ratio from column values in an ordered resultant table without the need for a self-join. The information ratio is calculated for each value from the first value in the window to the last value in the window. If the column values are presented to the function out of order, an error message will be generated.

The information ratio is calculated as the mean difference of the returns and a benchmark return divided by the standard deviation of the differences multiplied by the square root of a scaling factor. For daily returns the scale factor might be 252; for weekly returns 52; for monthly returns 12. The standard deviation is the sample standard deviation.

\operatorname{INFORATIO}=\frac{\bar{R}-\bar{R_b}}{\sigma_{R-R_b}}\ast\sqrt{scale}

Syntax

SELECT [westclintech].[wct].[MovingINFORATIO](
  <@R, float,>
 ,<@Rb, float,>
 ,<@Scale, float,>
 ,<@Prices, bit,>
 ,<@Offset, int,>
 ,<@RowNum, int,>
 ,<@Id, tinyint,>
 ,<@Exact, bit,>)

Arguments

@R

the return or price value; if return values are being supplied, it should the percentage return in floating point format (i.e. 10% = 0.1). @R is an expression of type float or of a type that can be implicitly converted to float.

@Rb

the benchmark return or price; if a benchmark return is being supplied, is should be the percentage in floating point format (i.e. 10% = 0.1). @Rb is an expression of type float or of a type that can be implicitly converted to float.

@Scale

the scaling factor used in the calculation. @Scale is an expression of type float or of a type that can be implicitly converted to float.

@Prices

a bit value identifying whether the supplied @R and @Rb values are prices (or portfolio values) or returns. If @Prices is true, then the returns are calculated. @Prices is an expression of type bit or of a type that can be implicitly converted to bit.

@Offset

specifies the window size. @Offset is an expression of type int or of a type that can be implicitly converted to int.

@RowNum

the number of the row within the group for which the information ratio is being calculated. If @RowNum for the current row in a set is less than or equal to the previous @RowNum and @RowNum is not equal to 1, an error message will be generated. @RowNum is an expression of type int or of a type that can be implicitly converted to int.

@Id

a unique identifier for the MovingINFORATIO calculation. @Id allows you to specify multiple information ratios within a resultant table. @Id is an expression of type tinyint or of a type that can be implicitly converted to tinyint.

@Exact

a bit value which tells the function whether or not to return a NULL value if the number of rows in the window is smaller the @Offset value. If @Exact is 'True' and the number of rows in the window is less the @Offset then a NULL is returned. @Exact is an expression of type bit or of a type that can be implicitly converted to bit.

Return Type

float

Remarks

If @Scale IS NULL then @Scale is set to 12.

If @Prices IS NULL then @Prices is set to 'False'.

Examples

In this example we have 60 months' worth of return data for and we want to calculate the information ratio with a window size of 36 rows.

SELECT cast(eom as date) as eom,
       CAST(r as float) as r,
       CAST(rb as float) as rb
INTO #s
FROM
(
    VALUES
        ('2013-12-31', 0.006141, 0.000721),
        ('2013-11-30', 0.004506, 0.000794),
        ('2013-10-31', -0.011454, 0.00082),
        ('2013-09-30', -0.001549, 0.000774),
        ('2013-08-31', 0.00568, 0.000869),
        ('2013-07-31', 0.000241, 0.00087),
        ('2013-06-30', 0.00648, 0.000845),
        ('2013-05-31', 0.005113, 0.000796),
        ('2013-04-30', 0.002461, 0.000832),
        ('2013-03-31', -0.012148, 0.00087),
        ('2013-02-28', -0.005735, 0.000826),
        ('2013-01-31', 0.007749, 0.000806),
        ('2012-12-31', -0.001317, 0.000815),
        ('2012-11-30', -0.000728, 0.000845),
        ('2012-10-31', 0.009667, 0.000775),
        ('2012-09-30', 0.017884, 0.000859),
        ('2012-08-31', 0.011488, 0.000833),
        ('2012-07-31', -0.001725, 0.000813),
        ('2012-06-30', 0.001178, 0.000792),
        ('2012-05-31', -0.000403, 0.00076),
        ('2012-04-30', 0.004734, 0.000849),
        ('2012-03-31', 0.018142, 0.000753),
        ('2012-02-29', 0.0099, 0.000788),
        ('2012-01-31', 0.012923, 0.000801),
        ('2011-12-31', 0.01715, 0.000793),
        ('2011-11-30', -0.005677, 0.000783),
        ('2011-10-31', 0.004575, 0.000764),
        ('2011-09-30', 0.005032, 0.000821),
        ('2011-08-31', 0.015355, 0.000762),
        ('2011-07-31', 0.002744, 0.000737),
        ('2011-06-30', 0.004112, 0.000794),
        ('2011-05-31', 0.007087, 0.000833),
        ('2011-04-30', 0.001757, 0.000818),
        ('2011-03-31', 0.002962, 0.000778),
        ('2011-02-28', 0.001222, 0.000782),
        ('2011-01-31', 0.008292, 0.00078),
        ('2010-12-31', 0.007464, 0.000738),
        ('2010-11-30', 0.009659, 0.00084),
        ('2010-10-31', 0.007148, 0.000693),
        ('2010-09-30', 0.015428, 0.000777),
        ('2010-08-31', 0.006701, 0.000799),
        ('2010-07-31', 0.013108, 0.000785),
        ('2010-06-30', 0.003393, 0.000856),
        ('2010-05-31', 0.009797, 0.000731),
        ('2010-04-30', 0.01416, 0.000718),
        ('2010-03-31', 0.004966, 0.000854),
        ('2010-02-28', -0.001553, 0.000752),
        ('2010-01-31', 0.01009, 0.000804),
        ('2009-12-31', 0.006488, 0.000721),
        ('2009-11-30', 0.001107, 0.00092),
        ('2009-10-31', 0.009641, 0.000774),
        ('2009-09-30', 0.001297, 0.000846),
        ('2009-08-31', 0.001314, 0.000767),
        ('2009-07-31', 0.008622, 0.000815),
        ('2009-06-30', 0.015167, 0.000721),
        ('2009-05-31', -0.002137, 0.0008),
        ('2009-04-30', 0.016035, 0.000798),
        ('2009-03-31', 0.018067, 0.00077),
        ('2009-02-28', 0.013449, 0.000823),
        ('2009-01-31', -0.000029, 0.000852)
) n (eom, r, rb);
SELECT eom,
       r,
       rb,
       wct.MovingINFORATIO(   r,                                    --@R
                              rb,                                   --@Rf
                              12,                                   --@Scale
                              'False',                              --@Prices
                              36,                                   --@Offset
                              ROW_NUMBER() OVER (ORDER BY eom ASC), --@RowNum
                              NULL,                                 --@Id
                              'True'                                --@Exact
                          ) as INFO
FROM #s;
DROP TABLE #s;

This produces the following result.

In this example, we do the same calculation, using price data rather than return data.

SELECT cast(eom as date) as eom
,CAST(pr as money) as pr
,CAST(bmk as money) as bmk
INTO #s
FROM (VALUES
      ('2013-12-31',70.31,104.91),
      ('2013-11-30',69.88,104.83),
      ('2013-10-31',69.56,104.75),
      ('2013-09-30',70.37,104.66),
      ('2013-08-31',70.48,104.58),
      ('2013-07-31',70.08,104.49),
      ('2013-06-30',70.06,104.4),
      ('2013-05-31',69.61,104.31),
      ('2013-04-30',69.26,104.23),
      ('2013-03-31',69.09,104.14),
      ('2013-02-28',69.94,104.05),
      ('2013-01-31',70.34,103.96),
      ('2012-12-31',69.8,103.88),
      ('2012-11-30',69.89,103.8),
      ('2012-10-31',69.94,103.71),
      ('2012-09-30',69.28,103.63),
      ('2012-08-31',68.06,103.54),
      ('2012-07-31',67.28,103.45),
      ('2012-06-30',67.4,103.37),
      ('2012-05-31',67.32,103.29),
      ('2012-04-30',67.35,103.21),
      ('2012-03-31',67.03,103.12),
      ('2012-02-29',65.84,103.04),
      ('2012-01-31',65.19,102.96),
      ('2011-12-31',64.36,102.88),
      ('2011-11-30',63.27,102.8),
      ('2011-10-31',63.64,102.72),
      ('2011-09-30',63.35,102.64),
      ('2011-08-31',63.03,102.55),
      ('2011-07-31',62.08,102.48),
      ('2011-06-30',61.91,102.4),
      ('2011-05-31',61.65,102.32),
      ('2011-04-30',61.22,102.23),
      ('2011-03-31',61.11,102.15),
      ('2011-02-28',60.93,102.07),
      ('2011-01-31',60.86,101.99),
      ('2010-12-31',60.36,101.91),
      ('2010-11-30',59.91,101.84),
      ('2010-10-31',59.34,101.75),
      ('2010-09-30',58.91,101.68),
      ('2010-08-31',58.02,101.6),
      ('2010-07-31',57.63,101.52),
      ('2010-06-30',56.89,101.44),
      ('2010-05-31',56.7,101.36),
      ('2010-04-30',56.15,101.28),
      ('2010-03-31',55.36,101.21),
      ('2010-02-28',55.09,101.12),
      ('2010-01-31',55.17,101.05),
      ('2009-12-31',54.62,100.96),
      ('2009-11-30',54.27,100.89),
      ('2009-10-31',54.21,100.8),
      ('2009-09-30',53.69,100.72),
      ('2009-08-31',53.62,100.64),
      ('2009-07-31',53.55,100.56),
      ('2009-06-30',53.09,100.48),
      ('2009-05-31',52.3,100.4),
      ('2009-04-30',52.41,100.32),
      ('2009-03-31',51.59,100.24),
      ('2009-02-28',50.67,100.17),
      ('2009-01-31',50,100.09),
      ('2008-12-31',50,100)
      )n(eom,pr,bmk);
     
SELECT eom
,pr
,bmk
,wct.MovingInfoRatio(
       pr         --@R
      ,bmk --@Rb
      ,12         --@Scale
      ,'True'     --@Prices
      ,36         --@Offset
      ,ROW_NUMBER() OVER (ORDER BY eom ASC)     --@RowNum
      ,NULL       --@Id
      ,'True'     --@Exact
      ) as INFO
FROM #s;
 
DROP TABLE #s;

This produces the following result.

In this example we calculate the information ratio for multiple portfolios simultaneously. Notice that we have to use a different value in @Id for each information ratio column in the resultant table.

SELECT CAST(eom as date) as eom,
       CAST(AAA as money) as AAA,
       CAST(BBB as money) as BBB,
       CAST(CCC as money) as CCC,
       CAST(BMK as money) as BMK
INTO #s
FROM
(
    VALUES
        ('2013-12-31', 61.27, 169.65, 97.98, 148.82),
        ('2013-11-30', 61.08, 167.14, 97.7, 148.27),
        ('2013-10-31', 60.88, 165.64, 97.82, 147.47),
        ('2013-09-30', 60.66, 163.21, 97.74, 145.95),
        ('2013-08-31', 60.44, 163.01, 96.64, 143.12),
        ('2013-07-31', 60.25, 165.28, 97.16, 143.6),
        ('2013-06-30', 60.05, 166.37, 96.59, 141.63),
        ('2013-05-31', 59.83, 164.31, 96.67, 141.13),
        ('2013-04-30', 59.6, 164.05, 95.87, 140.78),
        ('2013-03-31', 59.38, 161.58, 95.85, 140.76),
        ('2013-02-28', 59.09, 161.13, 95.94, 140.11),
        ('2013-01-31', 58.9, 159.4, 95.6, 139.16),
        ('2012-12-31', 58.74, 158.12, 94.9, 137.33),
        ('2012-11-30', 58.45, 154.55, 94.15, 136.05),
        ('2012-10-31', 58.26, 155.28, 93.13, 135.79),
        ('2012-09-30', 58.03, 155.16, 91.83, 135.83),
        ('2012-08-31', 57.79, 152.62, 90.8, 135.1),
        ('2012-07-31', 57.63, 151.5, 90.15, 134.01),
        ('2012-06-30', 57.45, 151.46, 89.88, 132.21),
        ('2012-05-31', 57.22, 149.27, 89.41, 131.02),
        ('2012-04-30', 57.07, 147.52, 88.67, 129.33),
        ('2012-03-31', 56.92, 147.29, 88.81, 128.45),
        ('2012-02-29', 56.74, 145.65, 88.25, 127.07),
        ('2012-01-31', 56.46, 142.62, 88.35, 126.12),
        ('2011-12-31', 56.26, 142.36, 88.13, 125.11),
        ('2011-11-30', 56.07, 140.5, 87.64, 123.79),
        ('2011-10-31', 55.87, 139.13, 87.16, 122.94),
        ('2011-09-30', 55.71, 137.5, 86.64, 122.55),
        ('2011-08-31', 55.52, 137.73, 86.79, 121.82),
        ('2011-07-31', 55.34, 135.45, 85.37, 120.17),
        ('2011-06-30', 55.19, 135.27, 85.04, 119.14),
        ('2011-05-31', 55.02, 133.4, 83.79, 118.73),
        ('2011-04-30', 54.84, 133.32, 83.87, 117.49),
        ('2011-03-31', 54.65, 131.37, 83.9, 117.93),
        ('2011-02-28', 54.4, 129.37, 83.65, 116.67),
        ('2011-01-31', 54.28, 128.24, 83.88, 116.53),
        ('2010-12-31', 54.1, 127, 82.83, 115.78),
        ('2010-11-30', 53.93, 125.76, 82.58, 114.58),
        ('2010-10-31', 53.8, 125.95, 82.12, 113.8),
        ('2010-09-30', 53.62, 124.8, 81.19, 113.23),
        ('2010-08-31', 53.38, 121.84, 80.42, 112.69),
        ('2010-07-31', 53.21, 120.64, 80.39, 110.27),
        ('2010-06-30', 53.06, 119.69, 79.47, 109.11),
        ('2010-05-31', 52.91, 121.53, 79.18, 108.52),
        ('2010-04-30', 52.74, 120.49, 78.54, 106.97),
        ('2010-03-31', 52.59, 118.04, 77.17, 106.3),
        ('2010-02-28', 52.45, 115.21, 77.06, 105.28),
        ('2010-01-31', 52.23, 114.18, 76.85, 105.39),
        ('2009-12-31', 52.09, 112.7, 76.73, 105.73),
        ('2009-11-30', 51.91, 110.84, 76.68, 105.42),
        ('2009-10-31', 51.66, 110.09, 76.97, 104.83),
        ('2009-09-30', 51.53, 108.19, 76.67, 104.5),
        ('2009-08-31', 51.4, 107.4, 77.14, 104.42),
        ('2009-07-31', 51.22, 106.72, 76.85, 103.98),
        ('2009-06-30', 51.05, 105.57, 76.62, 102.58),
        ('2009-05-31', 50.88, 105.55, 76.22, 102.99),
        ('2009-04-30', 50.77, 103.41, 75.83, 101.56),
        ('2009-03-31', 50.65, 103.5, 75.88, 101),
        ('2009-02-28', 50.44, 102.87, 76, 101.24),
        ('2009-01-31', 50.34, 101.01, 75.29, 102.25),
        ('2008-12-31', 50.17, 99.92, 75.45, 101.21)
) n (eom, AAA, BBB, CCC, BMK);
SELECT eom,
       wct.MovingINFORATIO(AAA, BMK, 12, 'True', 36, ROW_NUMBER() OVER (ORDER BY 
                 EOM ASC), 1, 'TRUE') as AAA,
       wct.MovingINFORATIO(BBB, BMK, 12, 'True', 36, ROW_NUMBER() OVER (ORDER BY 
                 EOM ASC), 2, 'TRUE') as BBB,
       wct.MovingINFORATIO(CCC, BMK, 12, 'True', 36, ROW_NUMBER() OVER (ORDER BY 
                 EOM ASC), 3, 'TRUE') as CCC
FROM #s;
DROP TABLE #s;

This produces the following result.

In this example, we have the same data as in the previous example, except that it is stored in 3^rd normal form rather than in the de-normalized form. The benchmark is included in the table with using the symbol BMK. We use the PARTITION clause in order to generate the correct row number within a symbol.

SELECT CAST(eom as date) as eom,
       sym,
       CAST(pr as float) as pr
INTO #s
FROM
(
    VALUES
        ('2013-12-31', 'AAA', 61.27),
        ('2013-11-30', 'AAA', 61.08),
        ('2013-10-31', 'AAA', 60.88),
        ('2013-09-30', 'AAA', 60.66),
        ('2013-08-31', 'AAA', 60.44),
        ('2013-07-31', 'AAA', 60.25),
        ('2013-06-30', 'AAA', 60.05),
        ('2013-05-31', 'AAA', 59.83),
        ('2013-04-30', 'AAA', 59.6),
        ('2013-03-31', 'AAA', 59.38),
        ('2013-02-28', 'AAA', 59.09),
        ('2013-01-31', 'AAA', 58.9),
        ('2012-12-31', 'AAA', 58.74),
        ('2012-11-30', 'AAA', 58.45),
        ('2012-10-31', 'AAA', 58.26),
        ('2012-09-30', 'AAA', 58.03),
        ('2012-08-31', 'AAA', 57.79),
        ('2012-07-31', 'AAA', 57.63),
        ('2012-06-30', 'AAA', 57.45),
        ('2012-05-31', 'AAA', 57.22),
        ('2012-04-30', 'AAA', 57.07),
        ('2012-03-31', 'AAA', 56.92),
        ('2012-02-29', 'AAA', 56.74),
        ('2012-01-31', 'AAA', 56.46),
        ('2011-12-31', 'AAA', 56.26),
        ('2011-11-30', 'AAA', 56.07),
        ('2011-10-31', 'AAA', 55.87),
        ('2011-09-30', 'AAA', 55.71),
        ('2011-08-31', 'AAA', 55.52),
        ('2011-07-31', 'AAA', 55.34),
        ('2011-06-30', 'AAA', 55.19),
        ('2011-05-31', 'AAA', 55.02),
        ('2011-04-30', 'AAA', 54.84),
        ('2011-03-31', 'AAA', 54.65),
        ('2011-02-28', 'AAA', 54.4),
        ('2011-01-31', 'AAA', 54.28),
        ('2010-12-31', 'AAA', 54.1),
        ('2010-11-30', 'AAA', 53.93),
        ('2010-10-31', 'AAA', 53.8),
        ('2010-09-30', 'AAA', 53.62),
        ('2010-08-31', 'AAA', 53.38),
        ('2010-07-31', 'AAA', 53.21),
        ('2010-06-30', 'AAA', 53.06),
        ('2010-05-31', 'AAA', 52.91),
        ('2010-04-30', 'AAA', 52.74),
        ('2010-03-31', 'AAA', 52.59),
        ('2010-02-28', 'AAA', 52.45),
        ('2010-01-31', 'AAA', 52.23),
        ('2009-12-31', 'AAA', 52.09),
        ('2009-11-30', 'AAA', 51.91),
        ('2009-10-31', 'AAA', 51.66),
        ('2009-09-30', 'AAA', 51.53),
        ('2009-08-31', 'AAA', 51.4),
        ('2009-07-31', 'AAA', 51.22),
        ('2009-06-30', 'AAA', 51.05),
        ('2009-05-31', 'AAA', 50.88),
        ('2009-04-30', 'AAA', 50.77),
        ('2009-03-31', 'AAA', 50.65),
        ('2009-02-28', 'AAA', 50.44),
        ('2009-01-31', 'AAA', 50.34),
        ('2008-12-31', 'AAA', 50.17),
        ('2013-12-31', 'BBB', 169.65),
        ('2013-11-30', 'BBB', 167.14),
        ('2013-10-31', 'BBB', 165.64),
        ('2013-09-30', 'BBB', 163.21),
        ('2013-08-31', 'BBB', 163.01),
        ('2013-07-31', 'BBB', 165.28),
        ('2013-06-30', 'BBB', 166.37),
        ('2013-05-31', 'BBB', 164.31),
        ('2013-04-30', 'BBB', 164.05),
        ('2013-03-31', 'BBB', 161.58),
        ('2013-02-28', 'BBB', 161.13),
        ('2013-01-31', 'BBB', 159.4),
        ('2012-12-31', 'BBB', 158.12),
        ('2012-11-30', 'BBB', 154.55),
        ('2012-10-31', 'BBB', 155.28),
        ('2012-09-30', 'BBB', 155.16),
        ('2012-08-31', 'BBB', 152.62),
        ('2012-07-31', 'BBB', 151.5),
        ('2012-06-30', 'BBB', 151.46),
        ('2012-05-31', 'BBB', 149.27),
        ('2012-04-30', 'BBB', 147.52),
        ('2012-03-31', 'BBB', 147.29),
        ('2012-02-29', 'BBB', 145.65),
        ('2012-01-31', 'BBB', 142.62),
        ('2011-12-31', 'BBB', 142.36),
        ('2011-11-30', 'BBB', 140.5),
        ('2011-10-31', 'BBB', 139.13),
        ('2011-09-30', 'BBB', 137.5),
        ('2011-08-31', 'BBB', 137.73),
        ('2011-07-31', 'BBB', 135.45),
        ('2011-06-30', 'BBB', 135.27),
        ('2011-05-31', 'BBB', 133.4),
        ('2011-04-30', 'BBB', 133.32),
        ('2011-03-31', 'BBB', 131.37),
        ('2011-02-28', 'BBB', 129.37),
        ('2011-01-31', 'BBB', 128.24),
        ('2010-12-31', 'BBB', 127),
        ('2010-11-30', 'BBB', 125.76),
        ('2010-10-31', 'BBB', 125.95),
        ('2010-09-30', 'BBB', 124.8),
        ('2010-08-31', 'BBB', 121.84),
        ('2010-07-31', 'BBB', 120.64),
        ('2010-06-30', 'BBB', 119.69),
        ('2010-05-31', 'BBB', 121.53),
        ('2010-04-30', 'BBB', 120.49),
        ('2010-03-31', 'BBB', 118.04),
        ('2010-02-28', 'BBB', 115.21),
        ('2010-01-31', 'BBB', 114.18),
        ('2009-12-31', 'BBB', 112.7),
        ('2009-11-30', 'BBB', 110.84),
        ('2009-10-31', 'BBB', 110.09),
        ('2009-09-30', 'BBB', 108.19),
        ('2009-08-31', 'BBB', 107.4),
        ('2009-07-31', 'BBB', 106.72),
        ('2009-06-30', 'BBB', 105.57),
        ('2009-05-31', 'BBB', 105.55),
        ('2009-04-30', 'BBB', 103.41),
        ('2009-03-31', 'BBB', 103.5),
        ('2009-02-28', 'BBB', 102.87),
        ('2009-01-31', 'BBB', 101.01),
        ('2008-12-31', 'BBB', 99.92),
        ('2013-12-31', 'CCC', 97.98),
        ('2013-11-30', 'CCC', 97.7),
        ('2013-10-31', 'CCC', 97.82),
        ('2013-09-30', 'CCC', 97.74),
        ('2013-08-31', 'CCC', 96.64),
        ('2013-07-31', 'CCC', 97.16),
        ('2013-06-30', 'CCC', 96.59),
        ('2013-05-31', 'CCC', 96.67),
        ('2013-04-30', 'CCC', 95.87),
        ('2013-03-31', 'CCC', 95.85),
        ('2013-02-28', 'CCC', 95.94),
        ('2013-01-31', 'CCC', 95.6),
        ('2012-12-31', 'CCC', 94.9),
        ('2012-11-30', 'CCC', 94.15),
        ('2012-10-31', 'CCC', 93.13),
        ('2012-09-30', 'CCC', 91.83),
        ('2012-08-31', 'CCC', 90.8),
        ('2012-07-31', 'CCC', 90.15),
        ('2012-06-30', 'CCC', 89.88),
        ('2012-05-31', 'CCC', 89.41),
        ('2012-04-30', 'CCC', 88.67),
        ('2012-03-31', 'CCC', 88.81),
        ('2012-02-29', 'CCC', 88.25),
        ('2012-01-31', 'CCC', 88.35),
        ('2011-12-31', 'CCC', 88.13),
        ('2011-11-30', 'CCC', 87.64),
        ('2011-10-31', 'CCC', 87.16),
        ('2011-09-30', 'CCC', 86.64),
        ('2011-08-31', 'CCC', 86.79),
        ('2011-07-31', 'CCC', 85.37),
        ('2011-06-30', 'CCC', 85.04),
        ('2011-05-31', 'CCC', 83.79),
        ('2011-04-30', 'CCC', 83.87),
        ('2011-03-31', 'CCC', 83.9),
        ('2011-02-28', 'CCC', 83.65),
        ('2011-01-31', 'CCC', 83.88),
        ('2010-12-31', 'CCC', 82.83),
        ('2010-11-30', 'CCC', 82.58),
        ('2010-10-31', 'CCC', 82.12),
        ('2010-09-30', 'CCC', 81.19),
        ('2010-08-31', 'CCC', 80.42),
        ('2010-07-31', 'CCC', 80.39),
        ('2010-06-30', 'CCC', 79.47),
        ('2010-05-31', 'CCC', 79.18),
        ('2010-04-30', 'CCC', 78.54),
        ('2010-03-31', 'CCC', 77.17),
        ('2010-02-28', 'CCC', 77.06),
        ('2010-01-31', 'CCC', 76.85),
        ('2009-12-31', 'CCC', 76.73),
        ('2009-11-30', 'CCC', 76.68),
        ('2009-10-31', 'CCC', 76.97),
        ('2009-09-30', 'CCC', 76.67),
        ('2009-08-31', 'CCC', 77.14),
        ('2009-07-31', 'CCC', 76.85),
        ('2009-06-30', 'CCC', 76.62),
        ('2009-05-31', 'CCC', 76.22),
        ('2009-04-30', 'CCC', 75.83),
        ('2009-03-31', 'CCC', 75.88),
        ('2009-02-28', 'CCC', 76),
        ('2009-01-31', 'CCC', 75.29),
        ('2008-12-31', 'CCC', 75.45),
        ('2013-12-31', 'BMK', 148.82),
        ('2013-11-30', 'BMK', 148.27),
        ('2013-10-31', 'BMK', 147.47),
        ('2013-09-30', 'BMK', 145.95),
        ('2013-08-31', 'BMK', 143.12),
        ('2013-07-31', 'BMK', 143.6),
        ('2013-06-30', 'BMK', 141.63),
        ('2013-05-31', 'BMK', 141.13),
        ('2013-04-30', 'BMK', 140.78),
        ('2013-03-31', 'BMK', 140.76),
        ('2013-02-28', 'BMK', 140.11),
        ('2013-01-31', 'BMK', 139.16),
        ('2012-12-31', 'BMK', 137.33),
        ('2012-11-30', 'BMK', 136.05),
        ('2012-10-31', 'BMK', 135.79),
        ('2012-09-30', 'BMK', 135.83),
        ('2012-08-31', 'BMK', 135.1),
        ('2012-07-31', 'BMK', 134.01),
        ('2012-06-30', 'BMK', 132.21),
        ('2012-05-31', 'BMK', 131.02),
        ('2012-04-30', 'BMK', 129.33),
        ('2012-03-31', 'BMK', 128.45),
        ('2012-02-29', 'BMK', 127.07),
        ('2012-01-31', 'BMK', 126.12),
        ('2011-12-31', 'BMK', 125.11),
        ('2011-11-30', 'BMK', 123.79),
        ('2011-10-31', 'BMK', 122.94),
        ('2011-09-30', 'BMK', 122.55),
        ('2011-08-31', 'BMK', 121.82),
        ('2011-07-31', 'BMK', 120.17),
        ('2011-06-30', 'BMK', 119.14),
        ('2011-05-31', 'BMK', 118.73),
        ('2011-04-30', 'BMK', 117.49),
        ('2011-03-31', 'BMK', 117.93),
        ('2011-02-28', 'BMK', 116.67),
        ('2011-01-31', 'BMK', 116.53),
        ('2010-12-31', 'BMK', 115.78),
        ('2010-11-30', 'BMK', 114.58),
        ('2010-10-31', 'BMK', 113.8),
        ('2010-09-30', 'BMK', 113.23),
        ('2010-08-31', 'BMK', 112.69),
        ('2010-07-31', 'BMK', 110.27),
        ('2010-06-30', 'BMK', 109.11),
        ('2010-05-31', 'BMK', 108.52),
        ('2010-04-30', 'BMK', 106.97),
        ('2010-03-31', 'BMK', 106.3),
        ('2010-02-28', 'BMK', 105.28),
        ('2010-01-31', 'BMK', 105.39),
        ('2009-12-31', 'BMK', 105.73),
        ('2009-11-30', 'BMK', 105.42),
        ('2009-10-31', 'BMK', 104.83),
        ('2009-09-30', 'BMK', 104.5),
        ('2009-08-31', 'BMK', 104.42),
        ('2009-07-31', 'BMK', 103.98),
        ('2009-06-30', 'BMK', 102.58),
        ('2009-05-31', 'BMK', 102.99),
        ('2009-04-30', 'BMK', 101.56),
        ('2009-03-31', 'BMK', 101),
        ('2009-02-28', 'BMK', 101.24),
        ('2009-01-31', 'BMK', 102.25),
        ('2008-12-31', 'BMK', 101.21)
) n (eom, sym, pr);
SELECT s1.EOM,
       s1.sym,
       wct.MovingINFORATIO(
                              s1.pr,
                              s2.pr,
                              12,
                              'True',
                              36,
                              ROW_NUMBER() OVER (PARTITION BY s1.SYM ORDER BY 
                                        s1.sym, s1.eom ASC),
                              1,
                              'True'
                          ) as INFO
FROM #s s1
    JOIN #s s2
        ON s1.eom = s2.eom
WHERE s1.sym <> 'BMK'
      AND s2.sym = 'BMK';

This produces the following result.

Using the same data, we could PIVOT the results into a tabular format.

SELECT EOM,
       AAA,
       BBB,
       CCC
FROM
(
    SELECT s1.EOM,
           s1.sym,
           wct.MovingINFORATIO(
                                  s1.pr,
                                  s2.pr,
                                  12,
                                  'True',
                                  36,
                                  ROW_NUMBER() OVER (PARTITION BY s1.SYM ORDER BY 
                                            s1.sym, s1.eom ASC),
                                  1,
                                  'True'
                              ) as INFO
    FROM #s s1
        JOIN #s s2
            ON s1.eom = s2.eom
    WHERE s1.sym <> 'BMK'
          AND s2.sym = 'BMK'
) d
PIVOT
(
    sum(INFO)
    for sym in (AAA, BBB, CCC)
) as P;

This produces the following result.