Home Depot Treynor Ratio 
HD  USA Stock  USD 193.12 1.12 0.58% 
Symbol 
Home Depot 
 =  0.0668 
ER[a]  =  Expected return on investing in Home Depot 
BETA  =  Beta coefficient between Home Depot and the market 
RFR  =  Risk Free Rate of return. Typically TBill Rate 
Treynor Ratio Comparison
The Home Depot is rated # 3 in treynor ratio category among related companies. It is rated # 5 in maximum drawdown category among related companies reporting about 69.57 of Maximum Drawdown per Treynor Ratio. The ratio of Maximum Drawdown to Treynor Ratio for The Home Depot is roughly 69.57
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 riskthe kind of risk that is inherent to the entire market (represented by beta)should be penalized because it cannot be diversified away.Treynor Ratio  ...

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Risk Adjusted Performance  0.0321  
Market Risk Adjusted Performance  0.0768  
Mean Deviation  0.7773  
Semi Deviation  1.04  
Downside Deviation  1.12  
Coefficient Of Variation  2297.36  
Standard Deviation  1.01  
Variance  1.01  
Information Ratio  0.0425  
Jensen Alpha  0.0383  
Total Risk Alpha  0.0474  
Sortino Ratio  0.0382  
Treynor Ratio  0.0668  
Maximum Drawdown  4.65  
Value At Risk  (1.40)  
Potential Upside  1.64  
Downside Variance  1.25  
Semi Variance  1.08  
Expected Short fall  (0.76)  
Skewness  (0.35)  
Kurtosis  0.4136 
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