A Refinement to the Treynor Ratio
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.
Authors
- Janusz Brzeszczyński (ORCID: https://orcid.org/0000-0003-0975-8814)
- Piotr Pietraszewski (ORCID: https://orcid.org/0000-0002-0589-0327)
- Jerzy Gajdka (ORCID: https://orcid.org/0000-0003-1870-3129)
- Tomasz Schabek (ORCID: https://orcid.org/0000-0002-4362-8864)
Institutions
- International University of Monaco (MC)
- Edinburgh Napier University (GB)
- Capital Group (United States) (US)
Publication Details
- Journal
- Journal of Asset Management
- Published
- 2025-11-24
- DOI
- https://doi.org/10.1057/s41260-025-00417-z
- Primary Topic
- Financial Reporting and Valuation Research
- Type
- article
- Field-Weighted Citation Impact
- 0.00
Funders
- Narodowe Centrum Nauki