Treynor index: related pages
Alpha (Jensen's alpha, portfolio alpha)
The alpha of a security or fund is its out-performance over the risk adjusted return, with risk measured by beta.
Abnormal return
The excess of actual return over the level of return that would be expected given the riskiness of a portfolio.
Risk premium
The difference between the rate of return on a security (or a market or an investment) and the risk free rate of return.
Sortino ratio
A risk adjusted measure of portfolio performance that only penalises downside risk.
Copyright Graeme Pietersz © 2005-2019
