Work

A Refinement to the Treynor Ratio

Year: 2025

Type: article

Abstract: We propose a refinement to the Treynor Ratio, as a key risk-adjusted measure of investment performance, and we further demonstrate its usefulness based on calculations relying on a sample of different funds. The original Treynor Ratio has shortcomings that affect the correctness of rankings of funds (or other investment results), which are formed based on it. The Modified Treynor Ratio proposed in this paper produces rankings that avoid two major anomalies, which occur in case of the application of the original Treynor Ratio.

Source: Journal of Asset Management

DOI: 10.1057/s41260-025-00417-z

Authors: Janusz Brzeszczyński, Jerzy Gajdka, Piotr Pietraszewski, Tomasz Schabek

Institutions: International University of Monaco, Edinburgh Napier University, University of Łódź

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,190

Funder: Narodowe Centrum Nauki