SI TECH Treynor Ratio

300608 Stock   13.20  0.08  0.61%   
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SI TECH Information Technology has current Treynor Ratio of 1.46. The Treynor is the reward-to-volatility ratio that expresses the excess return to the beta of the equity or portfolio. It is similar to the Sharpe ratio, but instead of using volatility in the denominator, it uses the beta of equity or portfolio. Therefore, the Treynor Ratio is calculated as [(Portfolio return - Risk-free return)/Beta].

Treynor Ratio

 = 

ER[a] - RFR

BETA

 = 
1.46
ER[a] = Expected return on investing in SI TECH
BETA = Beta coefficient between SI TECH and the market
RFR = Risk Free Rate of return. Typically T-Bill Rate

SI TECH Treynor Ratio Peers Comparison

1.011.46-1.341.800.43100%

300608 Treynor Ratio Relative To Other Indicators

SI TECH Information Technology is rated third in treynor ratio category among its peers. It is currently under evaluation in maximum drawdown category among its peers reporting about  24.97  of Maximum Drawdown per Treynor Ratio. The ratio of Maximum Drawdown to Treynor Ratio for SI TECH Information Technology is roughly  24.97 
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This ratio was developed by Jack Treynor to measure how well an investment has compensated its investors given its level of risk. The Treynor ratio relies on beta, which measures an investment sensitivity to market movements, to gauge risk. The premise underlying the Treynor ratio is that systematic risk--the kind of risk that is inherent to the entire market (represented by beta)--should be penalized because it cannot be diversified away.
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