ratio.treynor {rportfolio} | R Documentation |
Calculates the Treynor ratio of a particular portfolio
ratio.treynor(R1, Rf = 0)
R1 |
Returns of the portfolio |
Rf |
Returns of the benchmark portfolio |
The Treynor ratio, also known as the reward-to-volatility ratio, is a performance metric for determining how much excess return was generated for each unit of risk taken on by a portfolio.
This function can be used to calculate the Treynor ratio of a portfolio.
ratio.treynor(funds$ret1)