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Treynor Ratio
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In this video we compare the Treynor Ratio, and its use of the Beta risk measure, with its partner in crime, the Sharpe Ratio, which uses overall portfolio volatility. We show where you should prefer one to the other and explain their use of different risk measures.
After doing that, we run through a Treynor ratio calculation.
Sharpe Ratio:
Beta Calculation:
R-Squared:
After doing that, we run through a Treynor ratio calculation.
Sharpe Ratio:
Beta Calculation:
R-Squared:
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