Portfolio Treynor Ratio Calculator

A higher value indicates more entered excess return per unit of beta, but only within a like-for-like comparison. Different benchmarks, estimation windows, return frequencies, currencies, fees, or leverage can change both the numerator and beta. It also says nothing directly about idiosyncratic volatility, drawdown severity, liquidity, or whether future returns will resemble the supplied history.

The Treynor ratio divides excess return by beta, so zero beta makes the ratio undefined rather than exceptionally good. A beta near zero can also make the result unstable and extremely sensitive to estimation error. Review the benchmark and beta calculation instead of interpreting a very large ratio mechanically, especially for hedged, market-neutral, or option-based portfolios.

Treynor uses systematic market beta as its risk denominator, while Sortino uses downside deviation relative to a selected target return. They answer different questions. Treynor is benchmark and market-sensitivity focused; Sortino is downside-outcome focused. Use matched periods and documented conventions, and do not rank portfolios across the two ratios as though their denominators represented the same risk.