IShares MSCI Treynor Ratio
| SDG ETF | | | USD 91.21 1.70 1.90% |
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 IShares MSCI's current Treynor Ratio with peer comparisons and related risk metrics.
Current Treynor Ratio Value
A Treynor Ratio of 0.0915 for IShares MSCI signals positive return per unit of systematic risk. IShares MSCI has been compensated for its market exposure, though the margin is modest.
Treynor Ratio | = | ER[a] - RFRBETA |
| = | 0.0915 | |
| ER[a] | = | Expected return on investing in IShares MSCI |
| BETA | = | Beta coefficient between IShares MSCI and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Treynor Ratio Peers Comparison
The peer group averages 0.08 for Treynor Ratio, with IShares MSCI at 0.0915 falling above that level. Readings span -0.1551 (WisdomTree Europe SmallCap) to 0.225 (VanEck Natural Resources). IShares MSCI 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 IShares MSCI 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.
IShares MSCI records a Treynor Ratio of
0.09 and a Maximum Drawdown of
5.08 , yielding roughly
55.57 units of Maximum Drawdown per Treynor Ratio. This indicates Maximum Drawdown substantially exceeds Treynor Ratio for IShares MSCI.
Methodology, Assumptions & Data Sources
The current Treynor Ratio for IShares MSCI is 0.0915. The Treynor Ratio for IShares MSCI 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 output reflects the selected calculation window — changing the horizon will produce different readings. This ETF metric is provided for analytical reference.
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