Treynor Square Ratio Calculator
Treynor Square Ratio Calculator
Treynor Square Ratio Calculator helps calculating the Treynor Square Ratio.
What is Treynor Square Ratio?
The Treynor Square ratio is the difference between expected return of market portfolio, and the expected return of portfolio with the same beta (1) as the market portfolio.
The portfolio with the same beta includes the risky portfolio (P) and the risk free rate, with the following proportion:
βM |
βp |
1 |
βp |
The Formula of Treynor Square Ratio
Treynor Square ratio = |
|
where:
E(rM*) is an expected return of portfolio with the same risk as the market portfolio
E(rM) is an expected return of Market portfolio
Interperating Treynor Square Ratio
A high treynor Square ratio means that the investment is better.