Treynor ratio

GPTKB entity

Statements (19)
Predicate Object
gptkbp:instanceOf financial metric
gptkbp:alsoKnownAs reward-to-volatility ratio
gptkbp:appliesTo diversified portfolios
gptkbp:category investment performance measure
gptkbp:contrastsWith excess return to systematic risk
gptkbp:form (Portfolio return - Risk-free rate) / Beta
gptkbp:higherValueIndicates better risk-adjusted performance
https://www.w3.org/2000/01/rdf-schema#label Treynor ratio
gptkbp:introducedIn 1965
gptkbp:measures risk-adjusted return
gptkbp:namedAfter gptkb:Jack_Treynor
gptkbp:notRecommendedFor undiversified portfolios
gptkbp:relatedTo gptkb:Sharpe_ratio
gptkb:Jensen's_alpha
gptkbp:riskFreeRate return of a risk-free asset
gptkbp:systematicRiskMeasuredBy beta
gptkbp:usedIn portfolio management
gptkbp:bfsParent gptkb:Sharpe_ratio
gptkbp:bfsLayer 6