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 toolsThe Home Depot Inc has current Treynor Ratio of 2.2. 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].
|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 T-Bill Rate|
Treynor Ratio Comparison
The Home Depot Inc is rated # 2 in treynor ratio category among related companies. It is rated below average in maximum drawdown category among related companies reporting about 0.9 of Maximum Drawdown per Treynor Ratio. The ratio of Treynor Ratio to Maximum Drawdown for The Home Depot Inc is roughly 1.11
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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