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Measure of financial risk
In finance, the Treynor reward-to-volatility model (sometimes called the reward-to-volatility ratio or Treynor measure), named after American economist
Treynor_ratio
Representation of the capital asset pricing model
assets should have a Treynor ratio less than or equal to that of the market. In consequence, if there is an asset whose Treynor ratio will be bigger than
Security_market_line
Formula for measuring financial risk
invalidate the aforementioned Ponzi scheme, as desired). Sharpe ratios, along with Treynor ratios and Jensen's alphas, are often used to rank the performance
Sharpe_ratio
Financial calculation
Modigliani risk-adjusted performance Omega ratio Sharpe ratio Sortino ratio Treynor ratio Upside potential ratio Evaluating Mutual Fund Performance Jensen
Jensen's_alpha
American economist (1930–2016)
Treynor ratio Treynor dealer model Treynor, Jack L. (1961). "Market Value, Time, and Risk". Unpublished manuscript dated 8/8/61, No. 95-209. Treynor,
Jack_L._Treynor
Measure of an investment's return vs risk
portfolio theory Omega ratio Sharpe ratio Sortino ratio Sterling ratio Treynor ratio Upside potential ratio V2 ratio Clarke, Roger G.; de Silva, Harindra; Thorley
Information_ratio
Indicator in finance
Omega ratio Sortino ratio Treynor ratio Courant Institute Study Columbia University Study Archived 21 August 2008 at the Wayback Machine Bias ratio seen
Bias_ratio
Financial term for a collection of investments
asset pricing model, arbitrage pricing theory, the Jensen Index, the Treynor ratio, the Sharpe diagonal (or index) model, the value at risk model, modern
Portfolio_(finance)
Modigliani risk-adjusted performance Roy's safety-first criterion Sharpe ratio Sortino ratio Sterling ratio Treynor ratio Upside potential ratio V2 ratio
List of financial performance measures
List_of_financial_performance_measures
Expected change in price of a stock relative to the whole market
performance measures Macro risk Pure play method Risk factor (finance) Treynor ratio WACC "High Beta Index". Corporate Finance Institute. Archived from the
Beta_(finance)
Mathematical framework for investment risk
model Mutual fund separation theorem Omega ratio Post-modern portfolio theory Sortino ratio Treynor ratio Two-moment decision models Universal portfolio
Modern_portfolio_theory
Measure of the risk-adjusted returns of some investment portfolio
all risk-adjusted return measures that are ratios (e.g., Sortino ratio, Treynor ratio, upside-potential ratio, etc.). M2 has the enormous advantage that
Modigliani risk-adjusted performance
Modigliani_risk-adjusted_performance
V2 ratio equal to the annualized excess return Omega ratio Sharpe ratio Sortino ratio Treynor ratio "A Psychologically Suitable Measure Of Investment Performance"
V2_ratio
Overview of finance and finance-related topics
ratio Sharpe ratio – Formula for measuring financial risk Treynor ratio – Measure of financial risk Jensen's alpha – Financial calculation Bias ratio –
Outline_of_finance
control groups Trend analysis Trend estimation Trend-stationary process Treynor ratio Triangular distribution Trimean Trimmed estimator Trispectrum True experiment
List_of_statistics_articles
Finance model linking expected return to systematic risk
in a variety of situations. The CAPM was introduced by economists Jack Treynor (1961, 1962), William F. Sharpe (1964), John Lintner (1965) and Jan Mossin
Capital_asset_pricing_model
Public school district in Treynor, Iowa, United States
6074°W / 41.230881; -95.6074 The Treynor Community School District is a rural public school district headquartered in Treynor, Iowa. The majority of the district
Treynor Community School District
Treynor_Community_School_District
Economic model
market index) depends on the ratio of expected alpha to its variance, scaled by the investor’s risk aversion. The Treynor–Black model is closely related
Single-index_model
American economist
CAPM was independently developed by John Lintner, Jan Mossin, and Jack Treynor. In 1968 Sharpe moved to the University of California, Irvine but stayed
William_F._Sharpe
investing such as for example Robert D. Arnott, Jeremy Siegel and Jack Treynor — all affiliated with fundamental index funds — assume somewhat irrational
Fundamentally_based_indexes
Approach to investment management focusing on allocation of risk
risk/return ratio. The theoretical analysis of combining leverage and minimizing risk amongst multiple assets in a portfolio was also examined by Jack Treynor in
Risk_parity
Privately pooled investment fund using diverse strategies to seek high returns
returns to an estimate of their risk. Common measures are the Sharpe ratio, Treynor measure and Jensen's alpha. These measures work best when returns follow
Hedge_fund
Creation of new financial instruments, technologies, and institutions
securities. The capital asset pricing model, first developed by Jack L. Treynor and William Sharpe, suggests that investors should fully diversify and
Financial_innovation
Academic discipline concerned with the exchange of money
genetic algorithms and machine learning, more generally; see below. The Treynor–Black model utilizes the outlined SIM structure in portfolio optimization;
Financial_economics
Public school district in Carson, Iowa, United States
Track & Field Day 3: Riverside completes team title quest, Konz helps Treynor take 3rd in 2A". kmaland.com. May 23, 2026. Retrieved August 28, 2026.
Riverside Community School District
Riverside_Community_School_District
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