Fundamental Income Treynor Ratio
| NETL Etf | | | USD 24.73 0.06 0.24% |
The Treynor Ratio profile for Fundamental Income Net is based on historical price and volume observations. Normalization methods and data feeds may affect reported values. Fundamental Income has a market cap of 3.46 B, operating margin of 8.35%, current ratio of 2.73.
Correlation Analysis can help frame allocation decisions. Tracking Fundamental Income Net in a portfolio provides context for performance attribution. The relative size of each holding follows the selected allocation framework. Broader economic conditions can influence Fundamental Income Net's etf valuation — related indicators include
signals in population.
Fundamental Income Net has current Treynor Ratio of 0.2534. The Treynor is the reward-to-volatility ratio that expresses the excess return to the beta of the equity or portfolio. It is similar to the Sharpe ratio, but instead of using volatility in the denominator, it uses the beta of equity or portfolio. Therefore, the Treynor Ratio is calculated as [(Portfolio return - Risk-free return)/Beta].
Treynor Ratio | = | ER[a] - RFRBETA |
| = | 0.2534 | |
| ER[a] | = | Expected return on investing in Fundamental Income |
| BETA | = | Beta coefficient between Fundamental Income and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Treynor Ratio Peers Comparison
Treynor Ratio Relative To Other Indicators
Fundamental Income Net carries a
third ranking for treynor ratio within its ETF group. It is currently under evaluation for maximum drawdown within its ETF group where Maximum Drawdown runs almost
22.40 per Treynor Ratio. Fundamental Income Net's Maximum Drawdown registers at
22.40 relative to Treynor Ratio
This ratio was developed by Jack Treynor to measure how well an investment has compensated its investors given its level of risk. The Treynor ratio relies on beta, which measures an investment sensitivity to market movements, to gauge risk. The premise underlying the Treynor ratio is that systematic risk--the kind of risk that is inherent to the entire market (represented by beta)--should be penalized because it cannot be diversified away.
Compare Fundamental Income to Peers
Other Technical Indicators