pt.treynor {YRmisc} | R Documentation |
Treynor ratio
Description
The Treynor ratio is an analog to the sharp ratio, with standard deviation replaced by the asset beta to benchmark.
Usage
pt.treynor(ar,br,n,rf)
Arguments
ar |
:a vector of a risk asset return |
br |
:a vector of benchmark return |
n |
:number of years of asset return, used to calculate annualized return |
rf |
:risk free rate |
Examples
rtn <- runif(24, -1, 1)
brtn <- runif(24,-1,1)
pt.treynor(rtn,brtn,2,0.024)
[Package YRmisc version 0.1.6 Index]