treynorratio

The Sharpe ratio and the Treynor ratio both measure the risk-adjusted rate of return on a portfolio or a stock, but they use different benchmarks.

Treynor, is a measurement of the returns earned in excess of that which could have been earned on an investment that has no diversifiable risk (e.g., Treasury ...

The Treynor Ratio is a portfolio performance measure that adjusts for systematic - undiversifiable - risk. In contrast to the Sharpe Ratio, which adjusts ...

It is a performance ratio that helps in determining how much surplus return was generated for every risk unit a portfolio takes.

2024年1月5日 — Treynor Ratio can be explained as a number that measures the excess returns the firm could have earned by some of its investments with no ...

The Treynor Ratio is a measure of a portfolio's excess return per unit of systematic risk, or the market volatility of the portfolio.

In essence, the Treynor ratio is a risk-adjusted measurement of return based on systematic risk. It indicates how much return an investment, such as a portfolio ...

The Treynor ratio is useful in evaluating the suitability of any investment opportunity. For instance, if a portfolio returns 10% and the risk-free rate is 4%, ...

Definition: Treynor ratio shows the risk adjusted performance of the fund. Here the denominator is the beta of the portfolio. Thus, it takes into account ...

2007年11月30日 — 在比較的時候，Treynor ratio愈高愈好。 Treynor ratio有個缺點。因為它風險評量的部位是採用Beta值，而Beta值代表的是系統性風險(或說是市場風險)。假如 ...