Treynor Performance IndexTreynor Performance Index, invented by Jack Treynor is also known as Treynor Composite Performance Measure or Treynor ratio. It is a measure of reward (or excess return) per unit of risk. Treynor Performance Index = (Average Returns of Portfolio - Average Risk Free Rate) / Beta The formula uses the portfolio's Beta as the unit of risk. Reward (or excess returns) is measured as the difference between the portfolio's return and the risk-free rate of return over a period. The higher the Treynor Performance Index, the better the portfolio's performance.
Treynor Performance Index Spreadsheet
TreynorPerformanceIndex WorksheetThe TreynorPerformanceIndex worksheet calculates the average annual returns of a portfolio over a 5 year period. It then uses the specified Average Annual Risk free rate and Beta to calculate the Treynor Performance Index.
TreynorMultiplePorfolios WorksheetThe TreynorMultiplePorfolios worksheet calculates the Treynor Performance Index for up to 5 portfolios.
- Rp - Average rate of return for a portfolio during a period
- Rf - Average rate of return on a risk free investment during a period
- Beta B - Porfolio's relative volatility
- T - Portfolio's risk premium return per unit of risk
Download Free Treynor Performance Index spreadsheet - v1.0System Requirements
Microsoft® Windows 7, Windows 8 or Windows 10
Windows Server 2003, 2008, 2012 or 2016
512 MB RAM
5 MB of Hard Disk space
Excel 2007, 2010, 2013 or 2016
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FreeTreynorPerformanceIndex.zip (Zip Format - 91 KB)
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- Full source code
- Portfolio Risk, Jensen Alpha and Sharpe Ratio