Article (Scientific journals)
The Generalized Treynor Ratio
Hübner, Georges
2005In Review of Finance, 9 (3), p. 415-435
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Abstract :
[en] This paper extends the Treynor performance ratio for a single index to the case of multiple indexes. The new measure, called the Generalized Treynor Ratio, preserves the same key geometric and analytical properties of the original Treynor Ratio. The Generalized Treynor Ratio is defined as the abnormal return of a portfolio per unit of premium-weighted average systematic risk, normalized by the premium-weighted average systematic risk of the benchmark. Numerical simulations reveal that the portfolio rankings produced with this measure are more precise and more stable than the ones provided by Jensen's alpha and the Information Ratio.
Disciplines :
Finance
Author, co-author :
Hübner, Georges  ;  Université de Liège - ULiège > HEC-Ecole de gestion : UER > Gestion financière
Language :
English
Title :
The Generalized Treynor Ratio
Publication date :
September 2005
Journal title :
Review of Finance
ISSN :
1572-3097
eISSN :
1875-824X
Publisher :
Springer Science & Business Media B.V.
Volume :
9
Issue :
3
Pages :
415-435
Peer reviewed :
Peer Reviewed verified by ORBi
Available on ORBi :
since 07 January 2010

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