川納指標

出自 MBA智库百科(https://wiki.mbalib.com/)

川納指標(Treynor’s index)

　　川納指標是指評估證券投資組合績效的表現的一種指標。

　　其中R_p為證券組合p的實際報酬率,R_f為無風險報酬率，β_p為證券p的貝他值(Beta),

　　β_p=

　　川納指標可以為正或負(為負的狀況很少)。

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.