Comment calculer le Treynor ratio TR rendement beta

Calcule Treynor ratio TR = (Rp-Rf)/β rapport excess return sur systematic risk beta CAPM. Performance fund managers risk-adjusted. Jack Treynor 1965 Harvard Business Review paper. France HEC Paris + ESSEC + INSEAD + Sorbonne Paris Dauphine.

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Comment calculer le Treynor ratio: indice performance risk-adjusted rapport excess return sur systematic risk beta CAPM. TR = (R_p - R_f) / β. Sharpe analogue. Jack Treynor 1965 Harvard Business Review. CAPM Sharpe 1964 Nobel 1990. France finance recherche: HEC Paris Jouy-en-Josas 1881 grande école business top Europe; ESSEC Cergy 1907; EDHEC Lille 1906; SciencesPo Paris 1872; ENSAE Palaiseau 1942 grande école statistique économétrique top quant; Université Paris Dauphine 1968 top économie management; INSEAD Fontainebleau 1957 international MBA; ESCP Business School Paris 1819 oldest business school world; Sorbonne Université Paris 1257. France banques: BNP Paribas Paris 2000 200000 worldwide largest French bank; Crédit Agricole Paris 1894 142000; Société Générale Paris 1864 130000; Crédit Mutuel Strasbourg Lyon 1882 80000; BPCE Banque Populaire Caisse Épargne Paris 2009 105000; La Banque Postale Paris 2006. France asset management: Amundi Paris 2010 5000 employees €2T AUM largest European Crédit Agricole subsidiary acquired Pioneer 2017; BNP Paribas Asset Management Paris €600B AUM; AXA Investment Managers Paris €840B AUM; Société Générale Asset Management Paris;

Natixis Investment Managers Paris 5500 €1.2T AUM Coalición Affiliated Investment Managers; Carmignac Paris 1989 €40B AUM private value investing Edouard Carmignac; Comgest Paris 1985 €30B AUM growth investing; Tikehau Capital Paris 2004 alternative private equity. France pension funds: AGIRC-ARRCO Paris 1947 retraites; ERAFP Établissement Retraite Additionnelle Fonction Publique Paris 2005; FRR Fonds Réserve Retraites Paris 2001 €25B. France hedge funds: limited; Capital Fund Management Paris 1991 quant; Lyxor Asset Management Paris 1998 alternative subsidiary SocGen.

Formule Treynor

TR = (Rp - Rf)/β. France: HEC Paris 1881; ESSEC Cergy 1907; SciencesPo 1872; ENSAE Palaiseau 1942; INSEAD Fontainebleau 1957.

Histoire et contexte

Jack Treynor 1962 + 1965 HBR. CAPM Sharpe 1964 + Lintner 1965 + Mossin 1966. Markowitz 1952 MPT. France finance grandes écoles: HEC Paris Jouy-en-Josas 1881 fondée Chambre Commerce Paris grande école business top Europe accredited AACSB EQUIS AMBA worldwide ranking top Europe MBA; ESSEC Cergy 1907 fondée Institut Économie Sociale; EDHEC Lille 1906 fondée + Nice; SciencesPo Paris 1872 fondée École Libre Sciences Politiques; ENSAE École Nationale Statistique Administration Économique Palaiseau 1942 grande école statistique économétrique top quantitative finance Banque France; Université Paris Dauphine 1968 fondée top économie management gestion; INSEAD Fontainebleau Singapore 1957 fondée Georges Doriot international MBA top non-US; ESCP Business School Paris 1819 fondée oldest business school world Charles Comte; ENS École Normale Supérieure Paris 1794; Polytechnique Palaiseau 1794; Mines Paris 1783; CentraleSupélec Paris-Saclay 2015. France économistes Nobel: Maurice Allais (France 1911-2010) Polytechnique Paris Nobel Économie 1988 théorie économique; Jean Tirole (France 1953-) Toulouse School Economics Nobel Économie 2014 industrial organization regulation; Esther Duflo (France 1972-) MIT Nobel Économie 2019 pauvreté randomized trials; Gérard Debreu (France-USA 1921-2004) UCLA Berkeley Nobel Économie 1983 Walrasian général equilibrium; Augustin Cournot (France 1801-1877) Lyon Sorbonne oligopoly pioneer 1838;

Léon Walras (France 1834-1910) Lausanne général equilibrium 1874 marginalist revolution; Vilfredo Pareto (Italie 1848-1923) EPFL Lausanne Cours Économie Politique 1896 Pareto distribution. France banques: BNP Paribas Paris 2000 fusion BNP + Paribas + Fortis Belgium 200000 employees worldwide largest French bank; Crédit Agricole Paris 1894 fondée originally agricultural cooperative 142000 employees + Italy CA Italia + LCL Le Crédit Lyonnais subsidiary; Société Générale Paris 1864 fondée 130000 employees; Crédit Mutuel Strasbourg Lyon 1882 80000 cooperative; BPCE Banque Populaire Caisse Épargne Paris 2009 fusion 105000 + Natixis subsidiary; La Banque Postale Paris 2006 founded; HSBC France Paris subsidiary; Goldman Sachs Paris office investment banking. France asset management mutual funds: Amundi Paris 2010 fondata fusion Société Générale + Crédit Agricole 5000 employees €2T AUM largest European acquired Pioneer Investments 2017; BNP Paribas Asset Management Paris €600B AUM; AXA Investment Managers Paris €840B AUM AXA insurance subsidiary; Société Générale Asset Management Paris; Natixis Investment Managers Paris 5500 employees €1.2T AUM Coalición Affiliated Investment Managers Loomis Sayles Harris Mirae; Carmignac Paris 1989 fondata Edouard Carmignac €40B AUM private value investing Carmignac Patrimoine; Comgest Paris 1985 fondata €30B AUM growth investing emerging markets;

Tikehau Capital Paris 2004 fondata Mathieu Chabran Antoine Flamarion alternative private equity €40B AUM; Edmond de Rothschild Group Geneva Paris private banking; Rothschild & Co Paris 1838 investment banking advisory; Lazard Frères Paris NYC 1848 investment banking advisory M&A; CIC Crédit Industriel Commercial Paris 1859. France pension funds: AGIRC-ARRCO Paris 1947 fondé retraites complémentaires obligatoires salariés; ERAFP Établissement Retraite Additionnelle Fonction Publique Paris 2005 fonctionnaires; FRR Fonds Réserve Retraites Paris 2001 €25B Caisse Dépôts Consignations subsidiary; CDC Caisse Dépôts Consignations Paris 1816 historic state institution; CNAV Caisse Nationale Assurance Vieillesse Paris pensions; Préfon retraite cadres. France hedge funds limited: Capital Fund Management Paris 1991 quantitative; Lyxor Asset Management Paris 1998 alternative subsidiary SocGen acquired Amundi 2021. France régulation: AMF Autorité Marchés Financiers Paris 2003 fondée fusion COB + CMF securities regulator 500 employees; ACPR Autorité Contrôle Prudentiel Résolution Paris 2010 banking insurance regulator; Banque France Paris 1800 fondée central bank monetary policy ECB Eurosystem; CNIL Commission Nationale Informatique Libertés Paris 1978; INSEE Paris 1946 5500 statistics; CEPREMAP Paris 1967.

Tableau valeurs Treynor

  • TR = (Rp - Rf)/β
  • R_f France OAT 12m: 3.0-3.3% 2024
  • R_f France OAT 10y: 3.0-3.3% 2024
  • Treynor 1965 HBR
  • Sharpe 1964 Nobel 1990
  • France HEC Paris 1881: top business
  • France ESSEC Cergy 1907
  • France SciencesPo Paris 1872
  • France ENSAE Palaiseau 1942: quant
  • France INSEAD Fontainebleau 1957: international MBA
  • France Paris Dauphine 1968
  • France ESCP Paris 1819: oldest business
  • France BNP Paribas 2000: 200000 worldwide
  • France Crédit Agricole 1894: 142000
  • France Société Générale 1864: 130000
  • France Amundi 2010: €2T AUM largest European
  • France BNP Paribas AM: €600B AUM
  • France AXA IM: €840B AUM
  • France Natixis IM: €1.2T AUM
  • France Carmignac 1989: €40B value
  • France Tikehau 2004: €40B alternative
  • France AGIRC-ARRCO 1947: retraites
  • France FRR 2001: €25B retraites
  • France AMF Paris 2003: securities regulator
  • France Banque France 1800: central bank
  • France Allais Polytechnique: Nobel Éco 1988
  • France Tirole Toulouse: Nobel Éco 2014
  • France Duflo MIT: Nobel Éco 2019

Exemples numériques

Exemple 1 - CAC 40. R_p=10%, R_f=3%, β=1.0. TR=7. France: Amundi Paris 2010 €2T; BNP Paribas Asset Management €600B.

Exemple 2 - Aggressive growth. R_p=15%, β=1.5. TR=8. France tech: Capgemini Paris 1967 350000 IT consulting; Atos Paris 1997 110000.

Exemple 3 - Defensive utility. R_p=7%, β=0.6. TR=6.67. France: EDF Paris 1946 165000; Engie Paris 2008; TotalEnergies Paris 1924 100000.

Exemple 4 - Underperforming. R_p=2%, β=0.8. TR=-1.25 negative.

Exemple 5 - Hedge fund. R_p=25%, β=1.8. TR=12.2 excellent. France: Carmignac Paris 1989 €40B value; Capital Fund Management Paris 1991 quant.

Applications pratiques

  1. Fund managers: France Amundi Paris 2010 €2T + Carmignac 1989 €40B + Comgest 1985 €30B + Tikehau 2004 €40B alternative.
  2. Asset management: BNP Paribas AM €600B + AXA IM €840B + Natixis IM €1.2T + Société Générale AM.
  3. Pension funds: AGIRC-ARRCO Paris 1947 + FRR Paris 2001 €25B + ERAFP Paris 2005 + CDC Paris 1816.
  4. Hedge funds limited: Capital Fund Management Paris 1991 + Lyxor Paris 1998 acquired Amundi.
  5. Private banking: Edmond de Rothschild Geneva Paris + Rothschild & Co Paris 1838 + Lazard Frères Paris 1848 + Indosuez Wealth Management Crédit Agricole.
  6. Investment banking: BNP Paribas Paris 2000 + Société Générale Paris 1864 + Lazard Frères 1848 + Rothschild 1838 + Goldman Sachs Paris office.
  7. ETF benchmarking: Lyxor Asset Management Paris 1998 + Amundi ETF Paris.
  8. Robo-advisors: France Yomoni Paris 2015 + Nalo Paris 2017 + Birdee Paris.
  9. Insurance investment: AXA Paris 1816 200000 + Allianz France subsidiary + Generali France subsidiary + Crédit Agricole Assurances.
  10. Universités finance: HEC Paris 1881 + ESSEC Cergy 1907 + INSEAD Fontainebleau 1957 + ENSAE Palaiseau 1942 + Paris Dauphine 1968.

Mis à jour en juillet 2026

Questions fréquentes

Qu est-ce que Treynor ratio?

Indice performance risk-adjusted: TR = (R_p-R_f)/β. Analogue Sharpe utilise beta. Jack Treynor 1965 Harvard Business Review. CAPM Sharpe 1964 Nobel 1990. France: HEC Paris 1881; ESSEC Cergy 1907; INSEAD Fontainebleau 1957; ENSAE Palaiseau 1942 quant; Paris Dauphine 1968; Banque France Paris 1800; AMF Paris 2003.

Comment calculer Treynor?

TR = (Rp-Rf)/β. France: OAT 12m 3.0-3.3% R_f. Exemple R_p=10% β=1 TR=7. France: BNP Paribas Paris 2000 200000; Amundi Paris 2010 €2T AUM largest European; HEC Paris 1881.

Qui a défini Treynor?

Jack Treynor (USA 1930-2016) MIT 1962 unpublished + 1965 Harvard Business Review. CAPM Sharpe Stanford 1964 + Lintner Harvard 1965 + Mossin Norway 1966. Markowitz 1952 MPT. Nobel 1990 Sharpe Markowitz Miller. France économistes Nobel: Allais Polytechnique 1988; Tirole Toulouse 2014; Duflo MIT 2019; Debreu UCLA 1983.

Différence Treynor vs Sharpe?

Treynor beta systematic; Sharpe sigma total. Treynor portfolios diversifiés. France: HEC Paris 1881 + ESSEC Cergy 1907 + ESCP Paris 1819 oldest business school world + INSEAD Fontainebleau 1957 + ENSAE Palaiseau 1942 quant.

Qu est-ce que beta CAPM?

β CAPM sensibilité marché. β=1 indice; β>1 volatile; β<1 défensif. France CAC 40: TotalEnergies β~0.9; LVMH β~1.1; L'Oréal β~0.9; EDF β~0.7; ArcelorMittal β~1.5. France: AMF Paris 2003; Banque France Paris 1800; Euronext Paris 1801.

Quel taux risk-free?

R_f OAT 12 mois. France OAT 12m 3.0-3.3% 2024 AFT Paris 2001; OAT 10y 3.0-3.3%. France: AFT Agence France Trésor Paris 2001; Banque France Paris 1800; Euronext Paris 1801; AMF Paris 2003 securities.

Applications Treynor?

Applications: fund managers France Amundi Paris 2010 €2T + Carmignac 1989 €40B + Comgest 1985 €30B + Tikehau 2004 €40B; asset management BNP Paribas AM €600B + AXA IM €840B + Natixis IM €1.2T; pension funds AGIRC-ARRCO 1947 + FRR €25B 2001; private banking Rothschild Paris 1838 + Lazard Frères 1848 + Edmond de Rothschild; insurance AXA Paris 1816 200000.

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