Treynor Ratio

Treynor Ratio

The Treynor Ratio differs from the Sharpe Ratio insofar as the beta to the Market Benchmark is used as a measure of risk rather than the standard deviation of the manager series.

    Treynor Ratio = (AnnRtn(r1, ..., rn) - AnnRtn(c1, ..., cn)) / (beta of manager to market)

where:

    r1, ..., rn = manager return series

 
 

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