First Trust Treynor Ratio
| FNK ETF | | | USD 59.79 0.14 0.23% |
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
First Trust carries a Treynor Ratio of 0.4119, consistent with 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 |
| = | 0.4119 | |
| 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
Among sector peers, First Trust's Treynor Ratio of 0.4119 is above the -0.15 group average. The range runs from -6.2391 (First Trust Small) to 2.9 (First Trust Japan). First Trust has earned more 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.
The Maximum Drawdown-to-Treynor Ratio ratio for First Trust sits near
8.76 , with Treynor Ratio at
0.41 and Maximum Drawdown at
3.61 . This indicates Maximum Drawdown substantially exceeds Treynor Ratio for First Trust.
Methodology, Assumptions & Data Sources
First Trust has a current Treynor Ratio reading of 0.4119. First Trust's Treynor Ratio is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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