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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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
Modified Treynor index was less than one in the case of Franklin India Prima Scheme revealing that the scheme did not out-perform the market in all the years under the study as against out-performances by other sample schemes.
The paper applies three popular measures of performance such as Jensen index, Treynor index and Sharpe index.
The strongest association is observed with the Treynor index.
We observe that in emerging markets DEA ranking is highly positively correlated with the rankings under the Treynor index.