Novartis Treynor Ratio

NVS Stock  USD 95.88  0.61  0.64%   
Novartis treynor-ratio technical analysis lookup allows you to check this and other technical indicators for Novartis AG ADR or any other equities. You can select from a set of available technical indicators by clicking on the link to the right. Please note, not all equities are covered by this module due to inconsistencies in global equity categorizations and data normalization technicques. Please check also Equity Screeners to view more equity screening tools
  
Novartis AG ADR has current Treynor Ratio of 0.0442. 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] - RFR

BETA

 = 
0.0442
ER[a] = Expected return on investing in Novartis
BETA = Beta coefficient between Novartis and the market
RFR = Risk Free Rate of return. Typically T-Bill Rate

Novartis Treynor Ratio Peers Comparison

Novartis Treynor Ratio Relative To Other Indicators

Novartis AG ADR is regarded fifth in treynor ratio category among related companies. It is currently under evaluation in maximum drawdown category among related companies reporting about  175.40  of Maximum Drawdown per Treynor Ratio. The ratio of Maximum Drawdown to Treynor Ratio for Novartis AG ADR is roughly  175.40 
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.
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