## Sharpe and treynor index

The Sharpe ratio and the Treynor ratio both measure the risk-adjusted rate of return on a portfolio or a stock, but they use different benchmarks. What Is the Difference Between a Sharpe Ratio The Sharpe Ratio (or Sharpe Index) is commonly used to gauge the performance of an investment by adjusting for its risk., which adjusts return with the standard deviation of the portfolio, the Treynor Ratio uses the Portfolio Beta, which is a measure of systematic risk. Treynor Ratio vs Sharpe Ratio Sharpe ratio is a metric, similar to the Treynor ratio, used to analyze the performance of different portfolios, taking into account the risk involved. The main difference between the Sharpe ratio and the Treynor ratio is that unlike the use of systematic risk used in the case of Treynor ratio, the total risk or Treynor Index: A measure of risk-adjusted performance of an investment portfolio. The Treynor Index measures a portfolio's excess return per unit of risk, using beta as the risk measure; the

## financial literature: The Sharpe (1966) ratio and the Treynor and Black (1973) “ appraisal ratio” both use the Capital Market Line as the risk-return referential,

The following definitions for Sharpe and Treynor Ratios are from ZOONOVA. Sharpe Ratio. a measure that indicates the average return minus the risk-free return However, some of these measuring instru- ments such as Sharpe Index and Scholz & Wilkens (2006) propose that both Sharpe Index and Treynor Ratio can 22 Jul 2019 Keywords: Jensen Ratio, Mutual Funds, Risk and Return,. Sharpe and Treynor Ratios. I. INTRODUCTION. The investor's resources were 8 Jun 2012 Like the Sharpe ratio, the Treynor ratio is an assessment of the fund's historical risk/reward profile. The Treynor ratio is best used to compare tutorial 11 solutions portfolio management ii [readings: ch25] q1 discuss the key features of the following portfolio performance measures: sharpe ratio treynor. Sharpe (1966) introduces the reward-to-variability ratio, more commonly referred to as the Sharpe index, Sharpe measure, or Sharpe ratio. For con- sistency of financial literature: The Sharpe (1966) ratio and the Treynor and Black (1973) “ appraisal ratio” both use the Capital Market Line as the risk-return referential,

### Treynor Ratio vs Sharpe Ratio Sharpe ratio is a metric, similar to the Treynor ratio, used to analyze the performance of different portfolios, taking into account the risk involved. The main difference between the Sharpe ratio and the Treynor ratio is that unlike the use of systematic risk used in the case of Treynor ratio, the total risk or

Basic performance measures such as the Sharpe ratio and the Treynor ratio are regularly applied to assess the performance of mutual funds.1 It is therefore Keywords: Sharpe Ratio, Treynor's Index, Mutual Funds. Introduction. The Indian common asset industry has made some amazing progress from its origin in financial literature: The Sharpe (1966) ratio and the Treynor and Black (1973) “ appraisal ratio” both use the Capital Market Line as the risk-return referential, 10 Mar 2019 The Sharpe Ratio, Conditional Sharpe Ratio, Conditional Treynor Ratio, Treynor Ratio, Jensen's Alpha, Appraisal Ratio, Sortino and Van der

### 22 Jul 2019 Keywords: Jensen Ratio, Mutual Funds, Risk and Return,. Sharpe and Treynor Ratios. I. INTRODUCTION. The investor's resources were

Treynor Ratio vs Sharpe Ratio Sharpe ratio is a metric, similar to the Treynor ratio, used to analyze the performance of different portfolios, taking into account the risk involved. The main difference between the Sharpe ratio and the Treynor ratio is that unlike the use of systematic risk used in the case of Treynor ratio, the total risk or Treynor Index: A measure of risk-adjusted performance of an investment portfolio. The Treynor Index measures a portfolio's excess return per unit of risk, using beta as the risk measure; the

## The Sharpe ratio and the Treynor ratio both measure the risk-adjusted rate of return on a portfolio or a stock, but they use different benchmarks. What Is the Difference Between a Sharpe Ratio

Treynor Ratio. Like the Sharpe Ratio, the Treynor Ratio is a risk-adjusted measure. However whereas the Sharpe Ratio measures excess return of the investment over risk free return per unit of total risk; the Treynor ratio measures the excess return per unit of risk in relation to the market, i.e. per unit of systematic risk. While Sharpe ratio is applicable to all portfolios, Treynor is applicable to well-diversified portfolios. While Sharpe is used to measure historical performance, Treynor is a more forward-looking performance measure. Thus, both these performance measures work in different ways towards better representation of the performance.

tutorial 11 solutions portfolio management ii [readings: ch25] q1 discuss the key features of the following portfolio performance measures: sharpe ratio treynor.