Treynor RatioView Financial Glossary Index
The Treynor Ratio measures how much an investment returned given the amount of risk the investment assumed. A higher Treynor Ratio indicates that the portfolio is an advisable investment.
The Treynor ratio is named after Jack Treynor.
Treynor Ratio = (Average Annualized Total Monthly Returns - Risk Free Return Rate) / (Beta)
Note: We use the 1 month treasury rate as the risk free return rate.