Treasury Today Country Profiles in association with Citi

Treynor 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.

Reader Comments 

Please login or register to submit your own comment