Treynor Performance Index

Treynor Performance Index, invented by Jack Treynor is also known as Treynor Composite Performance Measure or Treynor ratio. It is a measure of reward (or excess return) per unit of risk. Treynor Performance Index = (Average Returns of Portfolio - Average Risk Free Rate) / Beta The formula uses the portfolio's Beta as the unit of risk. Reward (or excess returns) is measured as the difference between the portfolio's return and the risk-free rate of return over a period. The higher the Treynor Performance Index, the better the portfolio's performance.



Treynor Performance Index Spreadsheet

TreynorPerformanceIndex Worksheet

The TreynorPerformanceIndex worksheet calculates the average annual returns of a portfolio over a 5 year period. It then uses the specified Average Annual Risk free rate and Beta to calculate the Treynor Performance Index.



TreynorMultiplePorfolios Worksheet

The TreynorMultiplePorfolios worksheet calculates the Treynor Performance Index for up to 5 portfolios.



Inputs
  • Rp - Average rate of return for a portfolio during a period
  • Rf - Average rate of return on a risk free investment during a period
  • Beta B - Porfolio's relative volatility
Outputs
  • T - Portfolio's risk premium return per unit of risk

Download Free Treynor Performance Index spreadsheet - v1.0

System Requirements

Microsoft® Windows 7, Windows 8 or Windows 10
Windows Server 2003, 2008, 2012 or 2016
512 MB RAM
5 MB of Hard Disk space
Excel 2007, 2010, 2013 or 2016

License

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FreeTreynorPerformanceIndex.zip (Zip Format - 91 KB)

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Benefits
  • Unlocked
  • Allows removal of copyright message in the template
  • Allows commercial use within the company
  • Allows customization of the model
  • Full source code
Limited Time Bonus
  • Portfolio Risk, Jensen Alpha and Sharpe Ratio
PDF Specifications Commercial license

Price

USD10.00 - Purchase