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<p>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.</p>

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A Refinement to the Treynor Ratio

  • 期刊论文

  • 出版模式：

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  • 发表日期：

    2025年11月24日

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  • Janusz Brzeszczyński,
  • Jerzy Gajdka,
  • Piotr Pietraszewski,
  • Tomasz Schabek

摘要

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.