川纳指标(Treynor’s index)
什么是川纳指标
川纳指标是指评估证券投资管理绩效的状况的一种指标。
川纳指标的公式
其中Rp为证券组合p的事实报酬率,Rf为无风险报酬率，βp为证券p的贝他值(Beta),
βp=
川纳指标可以为正或负(为负的情况很少)。
Treynor ratio is a simple extension of Sharpe Ratio. On the formula，it uses Beta as denominator，which solves a limitation of sharpe ratio that the latter uses total risk as a measure of risk when only systematic risk is priced.
Neither sharpe ratio nor Treynor ratio provided infomation about economic significance of differences in performance.