Treynor ratio, portfolio i's return, risk free rate portfolio i's beta
[edit] Limitations ...
Treynor Ratio
A ratio developed by Jack Treynor that measures returns earned in excess of that which could have been earned on a riskless investment per each unit of market risk.
The Treynor ratio is calculated as: ...
Treynor Ratio and Sharpe Ratio
The Treynor Ratio and the Sharpe ratio (Sharpe index) where created to measure the returns earned that were in excess of what could have been earned on a risk free investment such as t-bills. In othe ...
Sharpe ratio is often used along with Treynor ratios and Jensen's alpha, to rank the performance of portfolio.
FOREX: ...
The Treynor measure is calculated by large companies sometimes. Therefore, you will probably only be able to compare the Treynor ratios if they have already been calculated.
Nevertheless, Alpha is still widely used to evaluate mutual fund and portfolio manager performance, often in conjunction with the Sharpe ratio and the Treynor ratio.
See also
Alpha (investment)
Operating Alpha ...
 See also: Investment, Portfolio, Risk, Stock, Ratio
  
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