Treynor Ratio

Treynor Ratio

Treynor Ratio Definition

treynor ratioSometimes referred to the in the hedge fund industry as the return vs. volatility ratio the Treynor Ratio is a measure of the excess return per unit or risk, where the excess return is defined as the difference between the portfolio's return and the risk-free rate of return over the same period.

Definition Courtesy of HedgeCo

Treynor Ratio Calculation:


(Average Portfolio Return - Average Risk Return of Risk Free Instrument ) / Beta of the Portfolio


Here is a white paper on the Treynor Ratio.

Read dozens of additional articles like this within the guide to Hedge Fund Terms.

- Richard

Subscribe To this Blog via Email Or RSS

Top 5 Related Articles:

1. Credit Default Swaps
2. Master-Feeder Fund Structure
3. Hedge Fund High Water Mark Definition
4. Hedge Fund Trends Video
5. Active Premium

Permanent Link: Treynor Ratio

Tags: Treynor Ratio, Treynor Ratio Definition, Treynor ratio, Treynor Ratio Calculation, Treynor Ratio Explanation

No comments:

Post a Comment

Note: Only a member of this blog may post a comment.