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| Author: | Morey, M. Morey, R. |
| Title: | An analytical confidence interval for the Treynor index: formula, conditions and properties |
| Journal: | Journal of Business Finance and Accounting
2000 : JAN/MAR, VOL. 27:1/2, p. 127-154 |
| Index terms: | ACCOUNTING PROPERTY FINANCE |
| Language: | eng |
| Abstract: | The Treynor index, a well-known, widely-used measure of portfolio performance, is the ratio of the mean excess rate of return of the portfolio to the portfolio's beta. The authors derive an analytical formula that is designed to yield rigorous confidence intervals on the index. Necessary and sufficient conditions for the Treynor index to be statistically different from zero, are provided. |
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