TreynorPerformanceIndex[1]

Treynor performance index invented by jack treynor is

Info icon This preview shows pages 4–5. Sign up to view the full content.

View Full Document Right Arrow Icon
Treynor Performance Index, invented by Jack Treynor is also known as Treynor Composite Performance Measure or Treynor ratio. It is a measure of reward (or excess return) per unit of risk. Treynor Performance Index = (Average Returns of Portfolio - Average Risk Free Rate) / Beta The formula uses the portfolio's Beta as the unit of risk. Reward (or excess returns) is measured as the difference between the portfolio's return and the risk-free rate of return over a period. The higher the Treynor Performance Index, the better the portfolio's performance. 1.2 Treynor Performance Index Spreadsheet 1.2.1 TreynorPerformanceIndex Worksheet The TreynorPerformanceIndex worksheet calculates the average annual returns of a portfolio over a 5 year period. It then uses the specified Average Annual Risk free rate and Beta to calculate the Treynor Performance Index.
Image of page 4

Info icon This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
Pg 1-2 Treynor Performance Index Version 1.0 1.2.2 TreynorMultiplePorfolios Worksheet The TreynorMultiplePorfolios worksheet calculates the Treynor Performance Index for up to 5 portfolios. 1.2.2.1 Inputs Rp - Average rate of return for a portfolio during a period Rf - Average rate of return on a risk free investment during a period Beta B - Porfolio's relative volatility 1.2.2.2 Outputs T - Portfolio's risk premium return per unit of risk
Image of page 5
This is the end of the preview. Sign up to access the rest of the document.

{[ snackBarMessage ]}

What students are saying

  • Left Quote Icon

    As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

    Student Picture

    Kiran Temple University Fox School of Business ‘17, Course Hero Intern

  • Left Quote Icon

    I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

    Student Picture

    Dana University of Pennsylvania ‘17, Course Hero Intern

  • Left Quote Icon

    The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

    Student Picture

    Jill Tulane University ‘16, Course Hero Intern