Treynor performance measure

(redirected from Treynor Indices)

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.
Farlex Financial Dictionary. © 2012 Farlex, Inc. All Rights Reserved

Treynor performance measure

A gauge of risk-adjusted portfolio performance. The measure is calculated by dividing the portfolio beta (a measure of market, or systematic risk) into the average difference between the portfolio's returns and returns on a risk-free asset. A higher number represents better performance by the portfolio manager. Compare Sharpe performance measure.
Wall Street Words: An A to Z Guide to Investment Terms for Today's Investor by David L. Scott. Copyright © 2003 by Houghton Mifflin Company. Published by Houghton Mifflin Company. All rights reserved. All rights reserved.
References in periodicals archive ?
In emerging markets there is a positive association between DEA ranking and the rankings obtained under the standard measures: Sharpe, Sortino and Treynor indices. The strongest association is observed with the Treynor index.
In this section, we compare the ranking of the markets in these four DEA models with the ranking obtained in the Sharpe, Sortino and Treynor indices. The rankings are compared using the Spearman rank correlation coefficient.
In the case of developed markets the correlation between the DEA rankings and the rankings obtained with Sharpe, Sortino and Treynor indices is positive only in the DEA models specified under the downside framework (models D1 and D4).
After entering the data, a planner would first notice that the beta, alpha, mean returns, and the Sharpe and Treynor indices of Tobias' original portfolio exceed the benchmark.
Then the Sharpe ratios and Treynor indices were computed.