PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan

Treynor Ratio Calculator

Documentation

The online Treynor Ratio calculator is a powerful tool designed to help investors evaluate the performance of their investment portfolios. The Treynor Ratio, also known as the Treynor Measure, is a widely used metric for assessing the risk-adjusted return of a portfolio. It takes into account the portfolio's beta, which is a measure of the portfolio's volatility relative to the overall market, and calculates the excess return of the portfolio over the risk-free rate of return.

Beta shows how portfolio prices move compared to the market as a whole. High beta means the investment is volatile, and its value rises and falls much faster than the market. Thus, the high return may not result from the right investment decisions but from taking more risks if accompanied by a high beta.

How to Use Treynor Ratio Calculator

The online Treynor Ratio calculator allows you to easily input your portfolio positions and weights (or choose one of the built-in lazy portfolios) and select the benchmark against which you want to compare your portfolio. Then, the calculator will perform the necessary computations and present the Treynor Ratio, which indicates how well the portfolio has performed relative to its level of risk.

You can also adjust portfolio rebalance settings and the risk-free rate — a theoretical return rate with zero risks, usually based on the yield on U.S. Treasury securities.

Your portfolio is currently empty. You can import holdings, add them manually, or start with a popular portfolio.

What it affects

Treynor Ratio Settings

 

%

How to choose period

Rolling Annualized Treynor Ratio Chart

Chart placeholderClick Calculate to get results

What the Treynor Ratio Can Tell You

When comparing funds or portfolios, investors should consider not only absolute returns but also risks. A portfolio or a fund is a good investment if its returns do not come with additional risk.

Usually, a portfolio or a fund with a higher Treynor ratio is considered superior to one with a lower Treynor Ratio, other things equal, because the investor receives a higher return relative to the risk (beta) taken. That said, the Treynor ratio shouldn't be a sole indicator for making investment decisions as it does not explicitly state whether an investment is good or bad.