| GLPAX Fund | | | USD 37.94 0.28 0.74% |
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Goldman Sachs Mlp has current Treynor Ratio of 0.3593. 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 |
| = | 0.3593 | |
| ER[a] | = | Expected return on investing in Goldman Sachs |
| BETA | = | Beta coefficient between Goldman Sachs and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Goldman Sachs Treynor Ratio Peers Comparison
Goldman Treynor Ratio Relative To Other Indicators
Goldman Sachs Mlp is one of the top funds in treynor ratio among similar funds. It is currently under evaluation in maximum drawdown among similar funds reporting about
8.85 of Maximum Drawdown per Treynor Ratio. The ratio of Maximum Drawdown to Treynor Ratio for Goldman Sachs Mlp is roughly
8.85 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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