Treynor performance measure

(redirected from Treynor Ratios)

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.

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.
References in periodicals archive ?
As scientific literature discloses, the main ratios are standard deviation, alpha, beta, Sharpe and Treynor ratios.
Scientists provide us with the main performance methods of mutual fund evaluation like standard deviation, alpha, beta, Sharpe and Treynor ratios.
To gauge the performance of these portfolios, we employ three types of measures: 1) risk-adjusted returns, 2) average six-month buy-and-hold returns, and 3) Sharp and Treynor ratios.
All the betas, Sharpe Ratios, and Treynor Ratios are obtained based on weekly returns.
We synthesise the risk adjusted performance of the different indices in Table 4 as measured by the Sharpe and Treynor ratios with respect to a world market portfolio illustrated by the MSCI World Index.
This result is confirmed by the different performance measures, namely the Sharpe and Treynor ratios as well as the cumulative and BH returns.
Plotting the Treynor ratios of a series of portfolios (including the market portfolio) on a graph allows investors to ascertain whether each portfolio is located above or below the Security Market Line (SML), which is a line that links the risk-free asset with the market portfolio and has a beta of 1.
It is also quite apparent from the Treynor ratios computed that with the exception of Coconut Fixed Income Fund, all other bond funds had negative Treynor ratios for the 3- and 5-year periods.
Portfolio Sharpe and Treynor Ratios Treynor Ratio MSCI EM Diversified Currency/ Sharpe MSCI World Financials MIV Class Ratio Index Index responsAbility EUR 0.
In order to evaluate both the performance and risk character of microfinance investment funds we shall use three risk measures, the standard deviation of returns of a portfolio, the historical portfolio beta coefficient and the R-squared of a portfolio as well as three performance measures largely adopted in the financial literature--so called Jensen's alpha, the Sharpe ratio and the Treynor ratio.
Table 2 showed the average fund having positive Sharpe and Treynor ratios during both holding periods, implying returns exceeding guaranteed interest rates.
The calculation of the Sharpe and Treynor ratios assumed a risk-free rate of zero to simplify the calculations.