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Treynor Ratio

A ratio developed by Jack Treynor that measures returns earned in excess of that which could have been earned on a riskless investment per each unit of market risk.

The Calculation

When Treynor Ratio Uses Net or Gross Returns

On the Account Analytics report, you can control whether this calculation uses net or gross with Show Returns As (Net or Gross).

When you run composites, the Composite Statistics report reports only on gross returns. For more information, see Composite Statistics.