Treynor Index

Treynor Index

A measure of the excess return per unit of risk, where excess return is defined as the difference between the portfolio's return and the risk-free rate of return over the same evaluation period and where the unit of risk is the portfolio's beta. Named after Jack Treynor.

Treynor Performance Measure

A measurement of return on a portfolio in excess of what a riskless investment would have earned per unit of risk. 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. It is important to note that the Treynor performance measure does not account for the effect, if any, of active portfolio management. It is simply a measurement of actual returns. It is also called the return to volatility ratio.
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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).
Treynor index: 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.
Rank the following funds based on the Treynor Index (highest to lowest):