## Term Glossary

### Treynor Ratio

Treynor ratio attempts to measure return on investment per unit or market risk expressed by the asset beta: $$TR = \frac{E(r)-r_f}{\beta}$$

$r$
asset return
$E(r)$
asset expected return
$r_f$
risk free rate of return
$\beta$
market beta of asset returns

An intraday version of the ratio could be reduced further to: $$TR_{intraday} = \frac{E(r)}{\beta}$$ The key premise behind the Treynor ratio is that market (systematic) risk represented by beta, could not be diversified away and should be penalized.

###### Function Reference
portfolio_treynorRatio, position_treynorRatio