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Treynor ratio calculator

The Treynor ratio measures excess return per unit of systematic (market) risk. It divides the portfolio's return above the risk-free rate by its beta — unlike the Sharpe ratio, which uses total volatility. Higher is better, and it is ideal for ranking well-diversified portfolios whose only real risk is market exposure.

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Enter Portfolio return (Rp), Risk-free rate (Rf), Portfolio beta (β), Portfolio σ (optional, for Sharpe) and the Treynor ratio calculator works out Treynor ratio (pp), Excess return, Sharpe ratio (if σ given) straight away.

How to use it

  1. Enter your values: Portfolio return (Rp), Risk-free rate (Rf), Portfolio beta (β), Portfolio σ (optional, for Sharpe).
  2. Read the result instantly: Treynor ratio (pp), Excess return, Sharpe ratio (if σ given).

Frequently asked questions

How does the Treynor ratio calculator work?

It takes Portfolio return (Rp), Risk-free rate (Rf), Portfolio beta (β) and Portfolio σ (optional, for Sharpe) and derives Treynor ratio (pp), Excess return and Sharpe ratio (if σ given) from them. The calculation is live as you type, so the result updates on every change.

Which values does the calculator ask for?

4 values: Portfolio return (Rp) (%), Risk-free rate (Rf) (%), Portfolio beta (β) and Portfolio σ (optional, for Sharpe) (%). Nothing else is required — no account, no file upload.

Which units should I enter the values in?

Enter Portfolio return (Rp) %, Risk-free rate (Rf) % and Portfolio σ (optional, for Sharpe) %.

When would I actually use this?

Comparing two investments that pay at different times, deciding whether a project clears its cost of capital, and sanity-checking a valuation someone else produced.

What is the most common mistake?

Trusting a valuation without asking what share of it comes from the terminal value. Past 70%, the answer is an assumption about the distant future dressed up as a calculation.

How accurate is it, and what are the limits?

Educational tool, not investment advice. Beta cannot be zero.

What is the difference between the Treynor ratio calculator and the Sharpe ratio calculator?

This one returns Treynor ratio (pp) and Excess return; the Sharpe ratio calculator returns Sharpe ratio and Volatility (annualised). That is the whole difference — open the one whose figure you need.

Is there a tool for the next step?

Sortino ratio calculator is the closest one after this: A risk-adjusted return that only penalises downside volatility: (return − minimum acceptable return) ÷ downside deviation. Unlike Sharpe, it ignores upside swings, so it rewards investments that grow steadily without deep drawdowns. Enter summary figures or paste a returns series to derive the downside deviation.

What else is worth having open alongside it?

Risk/reward ratio calculator and Fund expense ratio cost calculator — they come up in the same task often enough to be worth a second tab.

Where do the figures come from, and how current are they?

Discounting, IRR and payback are defined identically everywhere, so the arithmetic is not in dispute — the assumptions you feed it are. Change the discount rate by a point and re-read the answer.

Further reading

All guides →
ExplainerThe Sortino Denominator Nobody Agrees OnOn one twelve-month series the Sortino ratio is 7.7518 or 3.8759 depending only on whether the squared shortfalls are divided by all twelve months or by the three below target. The two conventions differ by exactly the square root of twelve over three, and they can rank two funds in opposite orders.ExplainerWhat a 1 Percent Fee Costs Over 30 YearsA one-point difference in annual charges turns $75,063 into $57,435 on the same $10,000. The fee costs more than the sum invested — here is why compounding does that.ExplainerRisk/Reward Ratio Explained: The Win Rate Each Ratio RequiresA 1:3 ratio does not make you right more often — it lets you be wrong three times out of four and still break even. Here is the inversion, a table of ratio against required win rate, and what costs do to both.ExplainerThe Sharpe Ratio, and What It Quietly AssumesSharpe = (return − risk-free) ÷ standard deviation, so it prices return per unit of volatility — and volatility is symmetric. Two funds can share a Sharpe of 0.4939 while their Sortino ratios are 8.59 and 0.74. Annualising by √12 assumes independent returns: at an autocorrelation of 0.2 the published figure is 20 percent too high.GuideWhere to Set a Stop-Loss and a Take-ProfitThe stop goes where your idea is wrong, not where your comfort runs out — and then the position size adapts to it. Here is the volatility argument, the sizing arithmetic, and the win rate each reward multiple demands.ExplainerHow Wrong Is Nominal Minus Inflation? Exactly One Year's Inflation WrongThe subtraction is not an approximation of the Fisher relation — it is the exact answer multiplied by (1 + i). At 8 percent nominal and 3 percent inflation the real return is 4.8544 percent, the shortcut says 5, and the error is exactly 3 percent of the answer. Always.