Benchmark Comparison Metrics

Treynor Ratio

The Treynor ratio compares the excess returns with the investment's beta, representing systematic risk.

$\text{Treynor Ratio} = \frac{R_p - R_f}{\beta_p}$

where $R_p$ is the portfolio return, $R_f$ is the risk-free rate, and $\beta_p$ is the beta of the portfolio.

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