Free Treynor Ratio Calculator
Treynor ratio measures return per unit of market risk, not total risk. The right metric when you're adding a strategy to an already-diversified portfolio. Upload a CSV and see Treynor alongside Sharpe, Sortino, and 70+ other metrics.
What is the Treynor ratio?
Treynor measures excess return per unit of market beta — how much premium your portfolio earns for each unit of systematic (S&P 500) risk it takes. (Return − risk-free) divided by beta. Higher is better. Useful for diversified portfolios where total volatility overstates real risk. Only meaningful when beta is meaningfully positive.
Treynor = (Rₚ − Rf) / β · systematic-risk-adjusted returnWant the deeper math? Learn the math behind Treynor ratio →
What Is the Treynor Ratio?
The Treynor ratio — sometimes called the reward-to-volatility ratio — measures a portfolio's excess return per unit of systematic (beta) risk. Jack Treynor introduced it in his 1965 Harvard Business Review article How to Rate Management of Investment Funds, predating the Sharpe ratio by a year, with a crucial conceptual difference: Treynor divides by beta, Sharpe divides by total volatility.
Treynor = (Rportfolio − Rrisk-free) / βportfolio
Annualized excess return divided by portfolio beta
The two measures answer subtly different questions. Sharpe asks: "How much excess return did I get per unit of total volatility?" Treynor asks: "How much excess return did I get per unit of non-diversifiable volatility?"
The practical implication: if you're evaluating a sub-portfolio that will sit inside a broader diversified holding, diversifiable risk washes out and only systematic risk matters. In that context, Treynor is the correct metric. If you're evaluating a standalone portfolio, Sharpe is correct because total volatility still matters to you.
When Treynor Beats Sharpe (and Vice Versa)
| Situation | Better Metric | Why |
|---|---|---|
| Adding a strategy to a diversified portfolio | Treynor | Only systematic risk survives diversification; diversifiable risk is irrelevant at the margin |
| Standalone concentrated portfolio (5 stocks) | Sharpe | Idiosyncratic risk is real and unavoidable — penalize it |
| Comparing two hedge funds for your overall allocation | Treynor | The funds will be combined with other holdings |
| Evaluating your complete net-worth portfolio | Sharpe | Total volatility is what you actually feel |
| Cross-benchmark comparison (e.g., stock vs crypto portfolio) | Neither — use alpha | Different benchmarks yield non-comparable Sharpe and Treynor values |
| Near-zero-beta portfolio (market-neutral) | Sharpe | Treynor's denominator approaches zero and produces misleading results |
Foliolytic computes all three (Sharpe, Sortino, Treynor) side by side so you never need to choose in the abstract — you see them together and pick the one that fits your use case.
Rough Benchmarks for Treynor Ratio
| Treynor vs SPY | Interpretation |
|---|---|
| < 0 | Lost money relative to risk-free rate |
| 0 – 0.05 | Underperformed on a beta-adjusted basis |
| 0.05 – 0.10 | Market-like performance |
| 0.10 – 0.15 | Strong — meaningful outperformance per unit of market risk |
| 0.15 – 0.20 | Excellent |
| > 0.20 sustained | Exceptional, rare outside specialized strategies |
For crypto portfolios measured against BTC, Treynor values run smaller in absolute terms because crypto betas vs BTC are often above 1 and crypto betas vs SPY are frequently 2-3. Always compare Treynor within the same asset class and benchmark — not across.
What Treynor Ratio Do the Major Benchmarks Have Right Now?
As of July 2026, the S&P 500's 3-year Treynor ratio is 15.2% (0.152 in decimal form) and its 5-year is 9.3%, computed against the 13-week Treasury bill. Gold's apparent 117% Treynor is a division artifact, not a miracle: its beta versus the S&P is just 0.14–0.19, below the 0.2 floor where Treynor stops being meaningful — which is exactly why this table carries a reliability column.
| Asset (vs SPY) | 3Y Treynor | 5Y Treynor | 5Y Beta | Treynor Reliable? |
|---|---|---|---|---|
| SPY (S&P 500) | 15.2% | 9.3% | 1.00 | Yes — the benchmark itself |
| QQQ (Nasdaq-100) | 16.3% | 9.1% | 1.24 | Yes |
| VT (Total World) | 15.5% | 7.7% | 0.91 | Yes |
| IWM (Russell 2000) | 10.8% | 3.6% | 1.11 | Yes |
| BTC (Bitcoin) | 32.3% | 11.0% | 1.07 | Caution — R² only 0.14 |
| ETH (Ethereum) | −2.5% | −3.0% | 1.52 | Caution — R² only 0.16 |
| GLD (Gold) | 116.8% | 99.9% | 0.14 | No — β below 0.2 |
| AGG (US Bonds) | −11.9% | −54.3% | 0.07 | No — β below 0.2 |
Treynor = annualized excess return over the 13-week U.S. Treasury bill yield, divided by beta versus SPY, computed by Foliolytic from daily total returns (dividends reinvested) in its own price database over windows ending July 22, 2026. Expressed in percentage points: 15.2% = 0.152 in the decimal convention used in the table above. See methodology. Figures refresh when this page is next updated.
The flagged rows are the real lesson. Gold's 116.8% Treynor would make it the best risk-adjusted asset in history — it isn't; dividing by a 0.14 beta simply inflates whatever the numerator happens to be, and AGG's −52.8% is the same artifact pointing the other way. Meanwhile SPY's 3-year figure of 0.136 lands in the "strong" band of the rough-benchmark table above, a reminder that the 2023–2026 bull run has flattered every trailing 3-year metric.
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Open the AnalyzerFrequently Asked Questions
What is the Treynor ratio?
The Treynor ratio measures a portfolio's excess return per unit of systematic (beta) risk. Formula: Treynor = (R_portfolio − R_risk-free) / β. Unlike Sharpe, which divides by total volatility, Treynor divides only by the portion of risk that comes from market exposure. This makes it the cleaner metric when comparing portfolios that have different levels of market correlation.
Treynor vs Sharpe — when should I use each?
Use Sharpe for well-diversified portfolios or when evaluating a portfolio in isolation. Use Treynor when comparing portfolios that will be added to an existing well-diversified holding — because in that context, only systematic (beta) risk matters; diversifiable risk washes out. For a sub-portfolio or single strategy you're plugging into a bigger allocation, Treynor is the right metric. For your total portfolio, Sharpe is the right metric.
What is a good Treynor ratio?
Treynor ratios depend on the benchmark and time period. Rough guide for US equity portfolios over multi-year periods: below 0.05 is weak, 0.05-0.10 is market-like, 0.10-0.15 is strong, above 0.15 sustained is excellent. For crypto portfolios vs BTC, Treynor is typically smaller in absolute terms because crypto betas are often huge. Always compare Treynor within the same asset class and benchmark, never across.
What happens if my portfolio has zero or negative beta?
Treynor ratio breaks down with near-zero beta (division by near-zero produces absurdly large values) and becomes misleading with negative beta. In those cases, use Sharpe instead — Sharpe's denominator (total volatility) is always positive and well-behaved. Foliolytic automatically flags portfolios with beta below 0.2 and suggests Sharpe as the more reliable metric for that portfolio.
What is the S&P 500's Treynor ratio right now?
As of July 2026, SPY's Treynor ratio is 15.2% (0.152) over the trailing 3 years and 9.3% (0.093) over 5 years — computed by Foliolytic as annualized excess return over the 13-week Treasury bill yield, divided by beta, from daily total returns ending July 22, 2026. Since SPY's beta against itself is 1.0, its Treynor simply equals its annualized excess return, making it the natural yardstick for any US equity portfolio's Treynor.
Does Treynor account for diversifiable risk?
No, and that's the point. Treynor assumes diversifiable (idiosyncratic) risk is already eliminated — either because the portfolio itself is diversified or because it's a component of a broader diversified holding. If you're evaluating a concentrated portfolio (say, 3 stocks), Treynor will flatter you by ignoring all the stock-specific risk you're carrying. Sharpe will correctly penalize it. For concentrated portfolios, Sharpe is the more honest metric.