Forbes – How to get a Treynor Ratio – A summary of the Treynor Ratio. Because the Treynor ratio uses systematic risk instead of total risk, it will not reveal risks in an investors portfolio if it lacks diversity. It is calculated by taking the portfolio's rate of return, subtracting the return on the riskless investment (usually a Treasury bond), and dividing by the portfolio's beta. Treynor ratio for fund A= (30-8)/1.5=14.67% Treynor ratio for fund B= (25-8)/1.1= 15.45% The results are in sync with the Sharpe ratio results. It differs from Sharpe ratio because it uses beta instead of standard deviation in the denominator. Thus, both these performance measures work in different ways towards better representation of the performance. The Treynor ratio is a measure designed on an idea similar to the Sharpe ratio, but it uses a different measure of risk, i.e. There are several different terms used in the Treynor ratio, and some of them can seem confusing. Treynor ratio is a measure of returns earned in excess of the risk-free return at a given level of market risk. Contrairement au ratio de Sharpe, il analyse donc la performance risque d’un portefeuille en se basant sur sur le Bêta du marché et non sur sa volatilité. It is calculated by finding the difference between the portfolio return and the risk-free rate and dividing it by the beta coefficient of the portfolio. Treynor Ratio = (0.0455 – 0.0175) / 0.60 = 0.028 / 0.60 = 0.0467. But in the denominator, it uses the systematic risk instead of the total risk. Treynor ratio . Treynor ratio is a measure of investment return in excess of the risk-free rate earned per unit of systematic risk. The Treynor ratio, also commonly known as the reward-to-volatility ratio, is a measure that quantifies return per unit of risk. 3 February 17, 2013 The article, “The Sharpe Ratio and the Information Ratio”, by Deborah Kidd is about the original risk-adjusted performance measure and they are Sharpe ratio and the Information Ratio. Formula for calculating Treynor Ratio. Synonym: Treynor Measure It is similar to the Sharpe Ratio except instead of total risk, it is the return per unit of market-related risk. That said however, it is not often provided in most rating services. Therefore, this portfolio’s Treynor Ratio is 0.0467 or 4.67%. The Treynor ratio, sometimes called the reward to volatility ratio, is a risk assessment formula that measures the volatility in the market to calculate the value of an investment adjusted risk. The Treynor Ratio is a portfolio performance measure that adjusts for systematic risk. The Treynor Ratio is one formula that can measure a mutual fund’s performance. As such, this is better suited to investors who hold diversified portfolios. This Index is a ratio of return generated by the fund over and above risk free rate of return (generally taken to be the return on securities backed by the government, as there is no credit risk associated), during a given period and systematic risk associated with it (beta). The Treynor ratio is similar to the Sharpe ratio. While Sharpe ratio is applicable to all portfolios, Treynor is applicable to well-diversified portfolios. Treynor Ratio is a risk-adjusted-return measure for historical portfolio evaluation named after Jack Treynor. The Treynor index or Treynor ratio, also referred to as the reward-to-volatility ratio, is an investment measurement index invented by Jack Treynor that indicates how much an investment that involves some level of risk has earned over a risk-less investment per unit of market risk (given in the following calculation as the beta coefficient):. Ratio de Treynor : mode de calcul. The Treynor is the reward-to-volatility ratio that expresses the excess return to the beta of the equity or portfolio. While Sharpe is used to measure historical performance, Treynor is a more forward-looking performance measure. The Treynor reward to volatility model (sometimes called the reward-to-volatility ratio or Treynor measure), named after Jack L. 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 bills or a completely diversified portfolio), per unit of market risk assumed. 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