Treynor Ratio

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Excess return per unit of systematic (market) risk, β. Useful when only market risk is being compensated.

Details

• category: Risk-Adjusted Performance
• formula: Treynor = (R_p - R_f) / β
• formula latex: \text{Treynor} = \dfrac{R_p - R_f}{\beta}
• related terms: treynor-ratio, beta, capm

Formula

Treynor = (R_p - R_f) / β