ratio.treynor {rportfolio}

Treynor Ratio

Description

Calculates the Treynor ratio of a particular portfolio

Usage

ratio.treynor(R1, Rf = 0)

Arguments

R1

Returns of the portfolio

Rf

Returns of the benchmark portfolio

Details

The Treynor ratio, also known as the reward-to-volatility ratio, is a performance metric for determining how much excess return was generated for each unit of risk taken on by a portfolio.

Value

This function can be used to calculate the Treynor ratio of a portfolio.

Examples

ratio.treynor(funds$ret1)