Vanguard Index Treynor Ratio

VIVIX -- USA Fund  

USD 45.65  0.42  0.93%

Vanguard Index treynor-ratio technical analysis lookup allows you to check this and other technical indicators for Vanguard Index Trust Vanguard V or any other equities. You can select from a set of available technical 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
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Vanguard Index Trust Vanguard V has current Treynor Ratio of 4.13. 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].
Treynor Ratio 
 = 
ER[a] - RFR 
BETA 
 = 
4.13
ER[a] =   Expected return on investing in Vanguard Index
BETA =   Beta coefficient between Vanguard Index and the market
RFR =   Risk Free Rate of return. Typically T-Bill Rate

Treynor Ratio Comparison

Vanguard Index Trust Vanguard V is presently regarded as number one fund in treynor ratio among similar funds. It is currently under evaluation in maximum drawdown among similar funds reporting about  1.14  of Maximum Drawdown per Treynor Ratio. The ratio of Maximum Drawdown to Treynor Ratio for Vanguard Index Trust Vanguard V is roughly  1.14 
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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