American Funds Treynor Ratio

CCHTX Fund  USD 21.71  0.10  0.46%   
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American Funds 2045 has current Treynor Ratio of 0.1094. 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

BETA

 = 
0.1094
ER[a] = Expected return on investing in American Funds
BETA = Beta coefficient between American Funds and the market
RFR = Risk Free Rate of return. Typically T-Bill Rate

American Funds Treynor Ratio Peers Comparison

American Treynor Ratio Relative To Other Indicators

American Funds 2045 is second largest fund in treynor ratio among similar funds. It is currently under evaluation in maximum drawdown among similar funds reporting about  25.66  of Maximum Drawdown per Treynor Ratio. The ratio of Maximum Drawdown to Treynor Ratio for American Funds 2045 is roughly  25.66 
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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