Statistical ratios | Investment indicators | Financial ratios

Treynor ratio

The Treynor reward to volatility model (sometimes called the reward-to-volatility ratio or Treynor measure), named after Jack L. Treynor, is a measurement of the returns earned in excess of that which could have been earned on an investment that has no diversifiable risk (e.g., Treasury bills or a completely diversified portfolio), per unit of market risk assumed. The Treynor ratio relates excess return over the risk-free rate to the additional risk taken; however, systematic risk is used instead of total risk. The higher the Treynor ratio, the better the performance of the portfolio under analysis. (Wikipedia).

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Jensen's alpha | Capital asset pricing model | Beta (finance) | Upside potential ratio | Modigliani risk-adjusted performance | V2 ratio | Modern portfolio theory | Omega ratio | Sortino ratio | Sharpe ratio