Treynor ratio

been invested or should be invested. Evaluation of risk-adjusted returns enable the investor to have a clearer view of the market expectations. Treynor Portfolio Performance Measure (reward to volatility ratio) This performance measure was developed in 1965 by Jack Treynor to evaluate funds based on what is known as Treynor’s Index. Treynor’s Index is the ratio of return from a fund over and above the risk-free rate of return for a given period and the systematic associated risk. With this…

on any security or portfolio. The formula for calculation is: The result is -4.03%, which indicates that our portfolio is less diversified and our portfolio is underperforming compare to the return of risk free assets. 3.2.1.1 Sharpe Ratio This measure is based on capital market line, it considers the total risk of the portfolio being…

i. Abstract The objective of this paper is to construct and analyse the Fama and French three-factor model for the UK market. We will then be comparing the three-factor model to the slightly modified; Fama-French and Carhart’s four-factor model. The purpose of this paper is to find evidence, if any, of the validity of these multifactor models in the UK market. Previous research suggests that the search for a more convincing asset pricing model remains (Gregory, Tharyan and Christidis, 2011).…

beginning of the period, the price of Computers, Inc. divided by the industry index was 0.39; by the end of the period, the ratio had increased to 0.50. As the ratio increased over the period, it appears that Computers, Inc. outperformed other firms in its industry. The overall trend, therefore, indicates relative strength, although some fluctuation existed during the period, with the ratio falling to a low point of 0.33 on day 19. 18. Five day moving averages: Days 1 – 5: (19.63 + 20 + 20.5 +…

The NPV is: NPV = –$53,386,912 + ($6,700,000/.1123) NPV = $6,251,949 23. We can use the debt-equity ratio to calculate the weights of equity and debt. The weight of debt in the capital structure is: XB = .85 / 1.85 = .4595, or 45.95% And the weight of equity is: XS = 1 – .4595 = .5405, or 54.05% Now we can calculate the weighted average flotation…