| GLUG Etf | | | CHF 16.33 0.08 0.49% |
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LG Clean Water has current Treynor Ratio of 0.2512. 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] - RFRBETA |
| = | 0.2512 | |
| ER[a] | = | Expected return on investing in LG Clean |
| BETA | = | Beta coefficient between LG Clean and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
LG Clean Treynor Ratio Peers Comparison
GLUG Treynor Ratio Relative To Other Indicators
LG Clean Water is rated
# 5 ETF in treynor ratio as compared to similar ETFs. It is currently under evaluation in maximum drawdown as compared to similar ETFs reporting about
17.49 of Maximum Drawdown per Treynor Ratio. The ratio of Maximum Drawdown to Treynor Ratio for LG Clean Water is roughly
17.49 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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