| CEFD Etf | | | USD 20.10 0.11 0.55% |
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ETRACS Monthly Pay has current Treynor Ratio of 0.1043. The Treynor is the reward-to-volatility ratio that expresses the excess return to the beta of the equity or portfolio. It is similar to the Sharpe ratio, but instead of using volatility in the denominator, it uses the beta of equity or portfolio. Therefore, the Treynor Ratio is calculated as [(Portfolio return - Risk-free return)/Beta].
Treynor Ratio | = | ER[a] - RFRBETA |
| = | 0.1043 | |
| ER[a] | = | Expected return on investing in ETRACS Monthly |
| BETA | = | Beta coefficient between ETRACS Monthly and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
ETRACS Monthly Treynor Ratio Peers Comparison
ETRACS Treynor Ratio Relative To Other Indicators
ETRACS Monthly Pay is the top ETF in treynor ratio as compared to similar ETFs. It is currently under evaluation in downside variance as compared to similar ETFs reporting about
7.98 of Downside Variance per Treynor Ratio. The ratio of Downside Variance to Treynor Ratio for ETRACS Monthly Pay is roughly
7.98 This ratio was developed by Jack Treynor to measure how well an investment has compensated its investors given its level of risk. The Treynor ratio relies on beta, which measures an investment sensitivity to market movements, to gauge risk. The premise underlying the Treynor ratio is that systematic risk--the kind of risk that is inherent to the entire market (represented by beta)--should be penalized because it cannot be diversified away.
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