Treynor performance measure

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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 ?
Unlike the Sharpe Index, Treynor (1965) introduced Treynor Ratio which calculates systematic return per unit risk.
The Treynor Ratio (Index) introduced by Jack Treynor in 1965 measures portfolio performance using the beta coefficient, which measures the systematic risk, instead of the standard deviation which measures the total risk.
H., 2007)tested 46 Islamic mutual funds and calculated their Sharpe Ratio, Treynor ratio, Jensen Alpha and ANOVA.
The Treynor ratio is a measure designed on an idea similar to the Sharpe ratio, but it uses a different measure of risk, i.e.
For the purpose of our analysis of the mutual fund management performances, taking both the profitability and risks into account, some common tools are used, such as the Sharpe ratio, Treynor ratio and the Sortino ratio.
Sharpe Ratio and Treynor Ratio is the average weekly excess portfolio returns divided by the standard deviation of weekly returns and estimated market beta, respectively.
The second performance measure is the Treynor ratio (9) which also measures the excess return per unit of risk.
Islamic Funds is better performance than Conventional funds because the Treynor Ratio of Islamic Fund is higher than Conventional Treynor Ratio.
These composite portfolio performance measures are the Sharpe ratio, the Treynor ratio, the Jensen's alpha measure, and the information ratio.
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. In the rest of this section we will report our results with respect to these indicators.
The analysis has been made on the basis of mean return, beta risk, co-efficient of determination, Sharpe ratio, Treynor ratio and Jensen Alpha.