川纳指标

出自 MBA智库百科(https://wiki.mbalib.com/)

川纳指标(Treynor’s index)

　　川纳指标是指评估证券投资组合绩效的表现的一种指标。

　　其中R_p为证券组合p的实际报酬率,R_f为无风险报酬率，β_p为证券p的贝他值(Beta),

　　β_p=

　　川纳指标可以为正或负(为负的状况很少)。

Treynor ratio is a simple extension of Sharpe Ratio. On the formula，it uses Beta as denominator，which solves a limitation of sharpe ratio that the latter uses total risk as a measure of risk when only systematic risk is priced.

Neither sharpe ratio nor Treynor ratio provided infomation about economic significance of differences in performance.