什么是川纳指标
- 培训职业
- 2025-05-06 15:53:08
川纳指标是指评估证券投资组合绩效的表现的一种指标。
川纳指标的公式
其中Rp为证券组合p的实际报酬率,Rf为无风险报酬率，βp为证券p的贝他值(Beta),
βp=
川纳指标可以为正或负(为负的状况很少)。
Treynor ratio is a simple extension of Sharpe Ratio. On the formula，it uses Beta as denominator，which solves a limitation of sharpe ratio that the latter uses total risk as a measure of risk when only systematic risk is priced.
Neither sharpe ratio nor Treynor ratio provided infomation about economic significance of differences in performance.
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