In what returns adjusted to risk is concerned, they used the Sharpe Index (IS), the Treynor Index
(T), the M2 Index, Jensen's Alpha (a) and the Sortino Index (S).
: The Treynor index
measures portfolio risk with beta and calculates portfolio's market risk premium relative to its beta:
13 Fund Strategy Treynor Index
N Mean Standard Deviation Blend 0.
The variables were: the number of bad marks, Treynor index
(H4F) and the variation on the return on equity assessed by book value (h4b).
All the seven schemes covered under the study showed negative risk premium, Sharpe index and Treynor index
in all the years covered under
Two performance measures are often used to determine the risk-adjusted performance of a portfolio: the Sharpe Ratio and the Treynor Index
Similar conclusions are revealed by the analysis of the Treynor index
values in Table 4.
The paper applies three popular measures of performance such as Jensen index, Treynor index
and Sharpe index.
The Treynor Index
uses systematic risk, measured by beta, instead of total risk in calculating risk-adjusted measures.
The Treynor index
is the spread between the fund's unadjusted total return and the risk-free rate, divided by the beta of the fund.
The strongest association is observed with the Treynor index
Rank the following funds based on the Treynor Index
(highest to lowest):