Mutual Fund Management:- Risk Adjusted Returns- Treynor Ratio and Jensen's Alpha
Автор: Asst.Professor Gavaskar
Загружено: 2021-03-19
Просмотров: 32
Описание:
Treynor Ratio is developed by Jack.L.Treynor.
This Ratio is similar to the Sharpe Ratio in that it also measures the Excess Returns provided by an Instrument over a Risk Free Rate.
But Unlike Sharpe Ratio, Which uses Total Risk (Standard Deviation),
Treynor Ratio uses Systematic Risk (Market Risk), Represented by Beta.
Treynor Ratio is also known as Reward-to-Volatility Ratio , Since Beta is the Measurement of a Security’s Sensitivity to Market Movements.
Higher the Treynor Ratio, Better it is.
Formula:-
Treynor Ratio = (Return on Security – Risk Free Return)
Beta of Security
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