Annaly Capital Treynor Ratio

NLY-PF Preferred Stock  USD 25.30  0.02  0.08%   
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Annaly Capital Management has current Treynor Ratio of 1.89. 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


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

Annaly Capital Treynor Ratio Peers Comparison

Annaly Treynor Ratio Relative To Other Indicators

Annaly Capital Management is considered to be number one stock in treynor ratio category among its peers. It is currently under evaluation in maximum drawdown category among its peers reporting about  0.73  of Maximum Drawdown per Treynor Ratio. The ratio of Treynor Ratio to Maximum Drawdown for Annaly Capital Management is roughly  1.36 
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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