Sharpe and treynor ratio

[jvx1975]

Dear friends
Can someone tell me when i have to use the sharpe ratio or the treynor ratio. Can i use both with individual securities and portofolio ?
Thank you

 

[S2000magician]

The Sharpe ratio is appropriate when you have a security or portfolio whose returns aren’t highly skewed, so that standard deviation of returns is an appropriate risk measure.
The Treynor ratio is appropriate for well-diversified portfolios from which non-systematic risk has been largely eliminated, leaving only systematic risk for which beta is an appropriate risk measure.

 

[Oscar]

Hi,
Sharpe Ratio considers the excess return of a portfolio or security (excess return = realized return - risk-free return) in relation to the total risk (systematic ans unsystematic risk) expressed by the standard deviation of the portfolio or security.
Treynor Ratio instead considers the excess return of a portfolio or security in relation to the market risk (only systematic risk) expressed by the β-Factor of the portfolio or security.
Regards,
Oscar

 

[Harrogath]

’Oscar’ wrote:
Hi,
Sharpe Ratio considers the excess return of a portfolio or security (excess return = realized return (Expected Returns) - risk-free return) in relation to the total risk (systematic ans unsystematic risk) expressed by the standard deviation of the portfolio or security.
Treynor Ratio instead considers the excess return of a portfolio or security in relation to the market risk (only systematic risk) expressed by the β-Factor of the portfolio or security.
Regards,
Oscar