Treynor Ratio Calculator
Compare portfolios by excess return per unit of beta. Educational only, not trading or investment advice.
Quick answer
The Treynor ratio measures excess return per unit of market risk: (portfolio return - risk-free rate) / portfolio beta. A higher value means more return earned for each unit of beta taken.
Treynor Ratio Calculator
Same basis as the returns.
Portfolios
Highest Treynor Ratio
—
Best Portfolio
—
Portfolios Compared
—
Treynor ratio by portfolio (% per unit of beta)
Educational only. This is not trading or investment advice, and past performance does not predict future results.
Ranking
| Rank | Portfolio | Return | Beta | Excess return | Treynor ratio |
|---|
Assumptions & method
- Treynor ratio = (Rp − rf) ÷ βp, where Rp is the portfolio return, rf the risk-free rate and βp the portfolio beta. It is shown in percentage points of excess return per 1.00 of beta.
- Portfolios are ranked from highest to lowest ratio. Rows with beta of zero or below are shown as n/a and not ranked.
- Returns and the risk-free rate are percentages on the same basis (for example annualised, same period). One risk-free rate applies to every row.
- Beta is taken as given; this tool does not estimate it. Up to 10 portfolios can be compared.
- Not included: costs, taxes, estimation error in beta, or total risk. Results are illustrative and not trading or investment advice.
Results are estimates based on the figures you enter. They are not guarantees and not financial advice.
Reward per unit of market risk
The Treynor ratio asks how much return a portfolio earned above the risk-free rate for each unit of beta, its sensitivity to the market. Because it divides by beta rather than total volatility, it focuses on systematic risk, which is the risk that remains in a well-diversified portfolio. Add a row for each portfolio, enter its return and beta, and the table ranks them by ratio. The comparison is only meaningful when the portfolios use the same period and risk-free rate, and the result is a description of past data, not a forecast.