The Generalised Treynor Ratio

Georges Hübner: This paper presents a generalisation of the Treynor ratio in a multi-index setup.

Author(s):

Georges Hubner

Department of Management, University of LiègeAssociate Professor, EDHEC Business School

The solution proposed in this paper is the simplest measure that keeps Treynor's original interpretation of the ratio of abnormal excess return (Jensen's alpha) to systematic risk exposure (the beta) and preserves the same key geometric and analytical properties as the original single index measure. The Generalised Treynor ratio is defined as the abnormal return of a portfolio per unit of weighted-average systematic risk, the weight of each risk loading being the value of the corresponding risk premium. The empirical illustration uses a sample of funds with different styles. It tends to show that this new portfolio performance measure, although it yields more dispersed values than Jensen's alphas, is more robust to a change in asset pricing specification or a change in benchmark.

Pdf
The Generalised Treynor Ratio...
Type: Working paper
Date: le 01/01/2003
Research Cluster : Finance

See Also

Immersion at Station F for start-up challenge finalists !
News
- 13-10-2021
Devised for students with start-up projects on the Pre-Master and Master 1 years of the...
Financing your MBA - are you eligible for a scholarship?
News
- 12-10-2021
How to finance your Global MBA abroad is a critical question you need to think about...
Apprenticeship program: a perfect combination of academic knowledge and professional experience
News
- 12-10-2021
Yiqing Ma joined EDHEC Apprenticeship Track in 2019. She shares insights into the...
CRÉDIT AGRICOLE NORD DE FRANCE, AMUNDI AND CRÉDIT AGRICOLE CIB, PARTNERS OF EDHEC BUSINESS SCHOOL’S MSC IN CLIMATE CHANGE & SUSTAINABLE FINANCE
News
- 08-10-2021
Three major players in the Crédit Agricole Group operating in the banking and finance...