Citigroup Treynor Ratio

Citigroup Inc has current Treynor Ratio of 0.1229. The Treynor is 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].
Citigroup 
Treynor Ratio 
 = 
ER[a] - RFR 
BETA 
 = 
0.1229
ER[a] =   Expected return on investing in Citigroup
BETA =   Beta coefficient between Citigroup and the market
RFR =   Risk Free Rate of return. Typically T-Bill Rate

Treynor Ratio Comparison

Citigroup Inc is rated below average in treynor ratio category among related companies. It is rated fifth in maximum drawdown category among related companies reporting about  44.84  of Maximum Drawdown per Treynor Ratio. The ratio of Maximum Drawdown to Treynor Ratio for Citigroup Inc is roughly  44.84 
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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Citigroup Inc., a diversified financial services holding company, offer various financial solutions and services for consumers, corporations, governments, and institutions worldwide. more
NameCitigroup Inc
InstrumentUSA Stock
RegionNorth America
ExchangeNew York Stock Exchange
CIK Number00831001.0
ISINUS1729674242
CUSIP172967424
Analyst Consensus
Piotroski F Score
Macroaxis Advice
Bond Rating