| DFCF Etf | | | USD 41.73 0.01 0.02% |
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Dimensional ETF Trust has current Treynor Ratio of 0.5907. 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 |
| = | 0.5907 | |
| ER[a] | = | Expected return on investing in Dimensional ETF |
| BETA | = | Beta coefficient between Dimensional ETF and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Dimensional ETF Treynor Ratio Peers Comparison
Dimensional Treynor Ratio Relative To Other Indicators
Dimensional ETF Trust is one of the top ETFs in treynor ratio as compared to similar ETFs. It is currently under evaluation in potential upside as compared to similar ETFs reporting about
0.68 of Potential Upside per Treynor Ratio. The ratio of Treynor Ratio to Potential Upside for Dimensional ETF Trust is roughly
1.47 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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