R: calculate Treynor Ratio of excess return over CAPM beta

TreynorRatio {PerformanceAnalytics}

R Documentation

calculate Treynor Ratio of excess return over CAPM beta

Description

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).

Usage

TreynorRatio(Ra, Rb, Rf = 0, scale = NA)

Arguments

`Ra`	an xts, 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)

Details

Equation:

frac{overline{(R_{a}-R_{f})}}{β_{a,b}}

Value

Treynor ratio

Author(s)

Peter Carl

References

http://en.wikipedia.org/wiki/Treynor_ratio

Examples

data(managers)
TreynorRatio(managers[,1,drop=FALSE], managers[,8,drop=FALSE], Rf=.035/12) 
TreynorRatio(managers[,1,drop=FALSE], managers[,8,drop=FALSE], Rf = managers[,10,drop=FALSE]) 
TreynorRatio(managers[,1:6], managers[,8,drop=FALSE], Rf=.035/12) 
TreynorRatio(managers[,1:6], managers[,8,drop=FALSE], Rf = managers[,10,drop=FALSE])
TreynorRatio(managers[,1:6], managers[,8:7,drop=FALSE], Rf=.035/12) 
TreynorRatio(managers[,1:6], managers[,8:7,drop=FALSE], Rf = managers[,10,drop=FALSE])

[Package PerformanceAnalytics version 0.9.9-5 Index]