Treynor Ratio Calculator

Your details

Choose whether to type your portfolio return as a percentage, or let the calculator derive it from start and end portfolio values.
The total percentage return of your portfolio over the measurement period (e.g. 10 for 10%). Use annualised returns when comparing multiple portfolios.
%
The return on a risk-free asset over the same period. Commonly the annualised yield of a 10-year US Treasury bond. Use the same time horizon as your portfolio return.
%
Your portfolio's sensitivity to market movements. A beta of 1.0 means the portfolio moves in line with the market. Greater than 1 means more volatile, less than 1 means less volatile. Beta must not be zero.
Optional. The return of the market index (e.g. S&P 500) over the same period. Used to calculate Jensen's Alpha alongside the Treynor Ratio for a fuller picture.
%
Treynor RatioExcellent
5.9091

Excess return per unit of systematic (beta) risk. Higher is better.

Derived portfolio return0.1%
Excess return0.07%
Jensen's Alpha0.02%
CAPM expected return0.08%
5.9091
Negative<0Below average0-0.05Average0.05-0.1Good0.1-0.2Excellent0.2+

Treynor Ratio of 5.9091 - solid risk-adjusted return relative to systematic market risk.

  • Your portfolio earned 6.50% above the risk-free rate of 3.50%.
  • With a beta of 1.10, your portfolio is more volatile than the broad market, amplifying both gains and losses.
  • Jensen's Alpha is +1.55%, meaning your portfolio outperformed the CAPM-predicted return for its level of market risk.
  • The Treynor Ratio is most meaningful when comparing two well-diversified portfolios that differ only in their market-risk exposure.

Next stepCompare this ratio against a relevant benchmark or peer funds over the same period. A single Treynor Ratio number is most useful in context, not in isolation.

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