Treynor Ratio ·
Excess Return per Unit of Beta
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.com · Treynor (1965) · (R_p − R_f) / β_p
Beta
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Beat
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Beat
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Diversified fund · σ ≈ β·σ_m
Concentrated · σ ≫ β·σ_m
Treynor line (slope = ratio)
Sharpe line (in σ-space)
Risk-free anchor R_f
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.com · Treynor Ratio