| FDS Stock | | | USD 491.05 3.43 0.70% |
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FactSet Research Systems has current Treynor Ratio of 0.3758. 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 |
| = | 0.3758 | |
| ER[a] | = | Expected return on investing in FactSet Research |
| BETA | = | Beta coefficient between FactSet Research and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
FactSet Research Treynor Ratio Peers Comparison
FactSet Treynor Ratio Relative To Other Indicators
FactSet Research Systems is one of the top stocks in treynor ratio category among its peers. It is currently under evaluation in maximum drawdown category among its peers reporting about
19.85 of Maximum Drawdown per Treynor Ratio. The ratio of Maximum Drawdown to Treynor Ratio for FactSet Research Systems is roughly
19.85 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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