Treasury Today Country Profiles in association with Citi

Mar10Treynor ratio

The Treynor ratio, developed by Jack Treynor in 1965, is a measure of the return on a portfolio in excess of the return on a risk-free investment in relation to systematic risk. It is similar to the Sharpe ratio, as discussed in February’s issue, except that it uses systematic risk, or beta, as a measure of volatility, rather than standard deviation. Systematic risk, also known as un-diversifiable risk or market risk, covers risks such as interest rates and recession that affect the entire market and cannot be mitigated by diversification, only by hedging.

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