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Treynor Ratio Calculator

Calculate risk-adjusted returns using Treynor ratio.

Portfolio Return (%) *

Risk-Free Rate (%) *

Beta *

Results

Treynor Ratio:

Excess Return:

Risk Premium per Beta:

Rating:

Portfolio Comparison

Portfolio	Return %	Beta	Treynor Ratio	Ranking	Actions

Understanding Treynor Ratio

Formula

Treynor Ratio = (Portfolio Return - Risk-Free Rate) / Beta

Components

Portfolio Return: The average annual return of the portfolio
Risk-Free Rate: Return on risk-free assets (e.g., Treasury bills)
Beta: Measure of portfolio's systematic risk relative to market

Interpretation

Higher is Better: Higher Treynor ratios indicate better risk-adjusted performance
Positive Values: Portfolio outperformed risk-free rate
Negative Values: Portfolio underperformed risk-free rate
Comparison Tool: Best used to compare portfolios with similar systematic risk

vs Sharpe Ratio

Treynor: Uses beta (systematic risk only)
Sharpe: Uses standard deviation (total risk)
Use Treynor: For well-diversified portfolios

Example Calculations

Growth Portfolio

Portfolio Return: 15%
Risk-Free Rate: 3%
Beta: 1.5
Treynor Ratio: 8.0

Balanced Portfolio

Portfolio Return: 10%
Risk-Free Rate: 3%
Beta: 0.8
Treynor Ratio: 8.75

Conservative Portfolio

Portfolio Return: 7%
Risk-Free Rate: 3%
Beta: 0.4
Treynor Ratio: 10.0

Analysis

Despite lower absolute returns, the conservative portfolio has the highest Treynor ratio, indicating superior risk-adjusted performance per unit of systematic risk.

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