The Macroaxis Technical Indicators lookup allows users to check a given indicator for any equity or select from a set of available indicators by clicking on the link to the right. Please note, not all equities are covered by this module due to inconsistencies in global equity categorizations and data normalization technicques. Please check also
Equity Screeners to view more equity screening tools
Citigroup Inc has current Treynor Ratio of 0.6875. The Treynor is 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].
Citigroup | Treynor Ratio | = | ER[a] - RFR BETA |
| = | 0.6875 | |
ER[a] | = | Expected return on investing in Citigroup |
BETA | = | Beta coefficient between Citigroup and the market |
RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Treynor Ratio Comparison
Citigroup Inc is rated
second in treynor ratio category among related companies. It is rated
fourth in maximum drawdown category among related companies reporting about
10.18 of Maximum Drawdown per Treynor Ratio. The ratio of Maximum Drawdown to Treynor Ratio for Citigroup Inc is roughly
10.18 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.