TreynorPerformanceIndex[1]

# Treynor performance index invented by jack treynor is

• Notes
• 5

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

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.

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

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
This is the end of the preview. Sign up to access the rest of the document.

{[ snackBarMessage ]}

### What students are saying

• 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.

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

• 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.

Dana University of Pennsylvania ‘17, Course Hero Intern

• 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.

Jill Tulane University ‘16, Course Hero Intern