Treynor performance index invented by jack treynor is

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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.
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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. 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 Outputs T - Portfolio's risk premium return per unit of risk
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