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Treynor Index

Definition:

A measure of the excess return per unit of risk, where excess return is defined as the difference between the portfolio's return and the risk-free rate of return over the same evaluation period and where the unit of risk is the portfolio's beta. Named after Jack Treynor.

Investing Essentials


Copyright © 2011 Campbell R. Harvey, Professor of Finance, Fuqua School of Business at Duke University

Term of the Day

Noisy Chaos

A chaotic dynamical system with either observational or system noise added. See: Chaos, Dynamical Systems, Observational Noise, System Noise.

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