Treynor Ratio Calculator

Calculate the Treynor Ratio to measure risk-adjusted returns using systematic risk (beta) instead of total volatility.

✓ Systematic Risk Focus ✓ Beta Analysis ✓ Market Comparison

Treynor Ratio Calculator

Input Method

Return Data

Annual portfolio return

Treasury bill or bond rate

Systematic risk measure

Analysis Options

For comparison analysis

Treynor Ratio Formula

Systematic risk-adjusted return calculation

Formula:

Treynor Ratio = (Return - Risk-Free Rate) / Beta
Measures excess return per unit of systematic risk

Quick Examples

Conservative Portfolio
8% return, 0.8 beta
Aggressive Growth
15% return, 1.5 beta
Historical Data
Use sample return series

Beta Interpretation

β > 1.0: More volatile than market
β = 1.0: Same volatility as market
β < 1.0: Less volatile than market
β = 0: No correlation with market

Interpretation Guide

📈 Higher is Better: More return per unit of systematic risk
📊 Compare Similar: Use for similar beta investments
⚖️ vs Sharpe: Treynor uses beta, Sharpe uses total risk
📉 Market Timing: Better for diversified portfolios
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Understanding Treynor Ratio

The Treynor Ratio measures risk-adjusted returns using systematic risk (beta) instead of total volatility, making it ideal for well-diversified portfolios.

  • Systematic Risk: Uses beta instead of standard deviation
  • Market Correlation: Focuses on market-related risk
  • Diversified Portfolios: Best for portfolios with minimal unsystematic risk
  • Excess Return: Measures return above risk-free rate

Applications

Portfolio Comparison

Compare diversified portfolios with different beta levels.

Fund Selection

Choose funds based on systematic risk-adjusted performance.

Performance Attribution

Analyze manager skill in generating market-adjusted returns.

Risk Management

Focus on systematic risk that cannot be diversified away.