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The Treynor Ratio is

(expected return - risk free rate) / beta.

Beta is dimensionless and cannot be annualized - the figure is the same whether you use daily, monthly or yearly returns.

The expected return and the risk free rate only need to be annualized. If they're based on daily returns, then raise them to the power (1+daily interest rate)^252 (assuming 252 trading days in one year).

See the link below for an example of a spreadsheet which calculates the Treynor Ratio

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Related Questions

How do you evaluate portfolio on the basis of Treynor ratio?

The Treynor Ratio should only be used to compare investments within the same sector (i.e. so they have the same benchmark). A higher Treynor Ratio is better. Check out the related link for an Excel spreadsheet and more information.


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Albert Treynor died on October 24, 1948, in Jackson, California, USA of short illness.


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