TreynorRatio {PerformanceAnalytics} | R Documentation |
The Treynor ratio is similar to the Sharpe Ratio, except it uses beta as the volatility measure (to divide the investment's excess return over the beta).
TreynorRatio(Ra, Rb, rf = 0, scale = 12, ...)
Ra |
a vector, matrix, data frame, timeSeries or zoo object of asset returns |
Rb |
return vector of the benchmark asset |
rf |
risk free rate, in same period as your returns |
scale |
number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4) |
... |
any other passthru parameters |
Equation:
frac{overline{(R_{a}-R_{f})}}{β_{a,b}}
Treynor ratio
Peter Carl
SharpeRatio
SortinoRatio
CAPM.beta
# First we load the data data(managers) TreynorRatio(managers[, "HAM1", drop=FALSE], managers[, "SP500.TR", drop=FALSE], rf = .04/12)