An Analytical Confidence Interval for the Treynor Index: Formula, Conditions and Properties
推导了特雷诺指数的分析置信区间公式，给出了该指数统计显著不为零的充要条件，并通过实例和模拟帮助分析师选择研究期数，适合需要评估投资组合绩效的金融从业者。
The Treynor index, a well‐known, widely‐used measure of portfolio performance, is the ratio of the mean excess rate of return of the portfolio to the portfolio's beta. We derive an analytical formula that is designed to yield rigorous confidence intervals on the index. Necessary and sufficient conditions for the Treynor index to be statistically different from zero, are provided. We illustrate our approach with detailed examples and include simulations to help analysts choose the number of periods to study. Finally, some interesting properties of the interval and some sensitivity results are provided.