First Trust Treynor Ratio
| FJAN ETF | | | USD 54.21 -0.12 -0.22% |
The Treynor Ratio measures excess return per unit of systematic risk (beta) rather than total risk. It is calculated as (Portfolio Return - Risk-Free Rate) / Beta, isolating how well the asset compensates investors for market exposure that cannot be diversified away. Below is First Trust's current Treynor Ratio with peer comparisons and related risk metrics.
Current Treynor Ratio Value
At 0.1239, First Trust's Treynor Ratio indicates positive return per unit of systematic risk. First Trust has been compensated for its market exposure, though the margin is modest.
Treynor Ratio | = | ER[a] - RFRBETA |
| = | 0.1239 | |
| ER[a] | = | Expected return on investing in First Trust |
| BETA | = | Beta coefficient between First Trust and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Treynor Ratio Peers Comparison
The peer group averages 0.14 for Treynor Ratio, with First Trust at 0.1239 falling below that level. Readings span 0.1173 (First Trust Exchange Traded) to 0.3163 (FT Cboe Vest). First Trust has earned less return per unit of systematic risk than the peer average.
Treynor Ratio Relative To Other Indicators
The chart below plots Treynor Ratio against Maximum Drawdown for First Trust and its peers. Each point represents one equity — position along the horizontal axis shows Treynor Ratio while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
First Trust shows nearly
20.98 of Maximum Drawdown per unit of Treynor Ratio (
0.12 versus
2.60 ). This indicates Maximum Drawdown substantially exceeds Treynor Ratio for First Trust.
Methodology, Assumptions & Data Sources
The current Treynor Ratio for First Trust is 0.1239. The Treynor Ratio for First Trust is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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