YRmisc (version 0.1.6)

pt.treynor: Treynor ratio

Description

The Treynor ratio is an analog to the sharp ratio, with standard deviation replaced by the asset beta to benchmark.

Usage

pt.treynor(ar,br,n,rf)

Arguments

ar

:a vector of a risk asset return

br

:a vector of benchmark return

n

:number of years of asset return, used to calculate annualized return

rf

:risk free rate

Examples

# NOT RUN {
rtn <- runif(24, -1, 1)
brtn <- runif(24,-1,1)
pt.treynor(rtn,brtn,2,0.024)
# }