川纳指标

  	      	      	    	    	      	    
川纳指标(Treynor’s index) 
 
目录
 
 
1 什么是川纳指标
 
2 川纳指标的公式
 
 
 
 什么是川纳指标 
 
　　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.