Clarion Partners Treynor Ratio

CPRTX Fund  USD 11.61  0.00  0.00%   
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Clarion Partners Real has current Treynor Ratio of 1.2. 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] - RFR

BETA

 = 
1.2
ER[a] = Expected return on investing in Clarion Partners
BETA = Beta coefficient between Clarion Partners and the market
RFR = Risk Free Rate of return. Typically T-Bill Rate

Clarion Partners Treynor Ratio Peers Comparison

Clarion Treynor Ratio Relative To Other Indicators

Clarion Partners Real is the top fund in treynor ratio among similar funds. It is currently under evaluation in maximum drawdown among similar funds reporting about  0.72  of Maximum Drawdown per Treynor Ratio. The ratio of Treynor Ratio to Maximum Drawdown for Clarion Partners Real is roughly  1.39 
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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