A Refinement to the Treynor Ratio

Janusz Brzeszczyński (), Jerzy Gajdka, Piotr Pietraszewski and Tomasz Schabek
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Janusz Brzeszczyński: Edinburgh Napier University (ENU), Department of Accounting and Finance, Business School
Jerzy Gajdka: University of Łódź, Department of Capital Market and Investments, Faculty of Economics and Sociology
Piotr Pietraszewski: University of Łódź, Department of Capital Market and Investments, Faculty of Economics and Sociology
Tomasz Schabek: University of Łódź, Department of Capital Market and Investments, Faculty of Economics and Sociology

Journal of Asset Management, 2025, vol. 26, issue 7, No 2, 724 pages

Abstract: Abstract We propose a refinement to the Treynor Ratio, as a key risk-adjusted measure of investment performance, and we further demonstrate its usefulness based on calculations relying on a sample of different funds. The original Treynor Ratio has shortcomings that affect the correctness of rankings of funds (or other investment results), which are formed based on it. The Modified Treynor Ratio proposed in this paper produces rankings that avoid two major anomalies, which occur in case of the application of the original Treynor Ratio.

Keywords: Modified Treynor Ratio (MTR); Risk-adjusted performance measurement; Stock market; Funds performance; SRI and non-SRI funds; Risk (search for similar items in EconPapers)
JEL-codes: C18 C58 G11 G12 G15 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1057/s41260-025-00417-z

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