Jack L. Treynor
| Jack L. Treynor | |
|---|---|
 | |
| Born | February 21, 1930 Council Bluffs, Iowa |
| Died | May 11, 2016 Drexel Hill, PA |
| Nationality | American |
| Alma mater | Harvard University |
| Occupation | Editor, Author |
| Years active | CFA Journal editor (1969 - 1980) |
| Known for | CAPM |
| Notable work | Toward a Theory of the Market Value of Risky Assets |
| Awards | James R. Vertin Award (1997) |
Jack L. Treynor (born February 21, 1930; died May 11, 2016) was noted as one of the discovers, along with William Sharpe, John Lintner, and Jan Mossin, of the Capital Asset Pricing Model (CAPM).[1] Treynor is considered one of the founders of quantitative research analysis.[2] The Treynor ratio is a product of Treynor’s research.[note 1]
Career
Treynor was born on February 21, 1930 in Council Bluffs, Iowa. He received a bachelor's degree in math from Haverford College, Pennsylvania, in 1951. After serving in the US Army for two years, Treynor received an MBA from Harvard Business School in 1955.[2]
In 1962 Treynor produced an unpublished paper, Toward a Theory of the Market Value of Risky Assets, that served as a foundation of the CAPM. Although this paper was circulated among finance economists, it remained unpublished until 1999.[2]
Treynor’s employment history included a stint with the consulting firm Arthur D. Little Inc. and a later (1966 to 1969) position at Merrill Lynch, where he was tasked with creating a quantitative research group. Treynor then became editor (1969 to 1980) of the Chartered Financial Analysts Journal.[2]
Treynor was conferred with the 1997 James Vertin award, presented periodically to recognize individuals who have produced a body of research notable for its relevance and enduring value to investment professionals.[3]
In 2014 the Q group introduced the Treynor Prize to recognize superior academic working papers with potential applications in the fields of investment management and financial markets.[4]
Papers
The following papers are presented in chronological order. Additional papers are available in the "In Memorium" link below.
| Year | Study |
|---|---|
| 1961 | Market Value, Time, and Risk[5] |
| 1962 | Jack Treynor's 'Toward a Theory of Market Value of Risky Assets'[6] |
| 1966 | Can Mutual Funds Outguess the Market?[7] |
| 1968 | Using Portfolio Composition to Estimate Risk[8] |
| 1973 | How to use Security Analysis to Improve Portfolio Selection [9] |
| 1976 | An Investor's Guide to the Index Fund Controversy[10] |
| 2003 | Time Diversification[11] |
| 2005 | Why Market-Valuation-Indifferent Indexing Works[12] |
Books
- Jack L. Treynor, Patrick J. Regan, and William W. Priest (1976). The Financial Reality of Pension Funding Under ERISA. Dow Jones-Irwin. pp. 149. ISBN 978-0870941245.
- Jack L. Treynor (October 19,2007). Treynor on Institutional Investing. Wiley. pp. 600. ISBN 978-0470118757.
Notes
- ↑ A ratio developed by Jack Treynor that measures returns earned in excess of that which could have been earned on a riskless investment per each unit of market risk.
The Treynor ratio is calculated as:
(Average Return of the Portfolio - Average Return of the Risk-Free Rate) / Beta of the Portfolio
-from Treynor Ratio, Investopedia
References
- ↑ French, Craig W. (2003). The Treynor Capital Asset Pricing Model. Journal of Investment Management, Vol. 1, No. 2. pp. 60-72. http://www.finance.martinsewell.com/capm/French2003.pdf.
- ↑ 2.0 2.1 2.2 2.3 Dani Burger (May 12, 2016). "Jack Treynor, who pioneered modern investment theory, dies at 86". Chicago Tribune. http://www.chicagotribune.com/news/sns-wp-blm-treynor-obit-140d9380-18f2-11e6-971a-dadf9ab18869-20160513-story.html. Retrieved May 16, 2016.
- ↑ "James R. Vertin Award". CFA Institute. https://www.cfainstitute.org/learning/foundation/Pages/vertin_award.aspx. Retrieved May 16, 2016.
- ↑ Jack Treynor Prize, Q group. Retrieved May 15, 2016
- ↑ Treynor, Jack (August 8, 1961). Market Value, Time, and Risk. SSRN. http://ssrn.com/abstract=2600356.
- ↑ Treynor, Jack (Fall 1962). Jack Treynor's 'Toward a Theory of Market Value of Risky Assets'. SSRN. http://ssrn.com/abstract=628187.
- ↑ Treynor, Jack L. and Kay Mazuy (1966). Can Mutual Funds Outguess the Market?. Harvard Business Review 44. pp. 131–136. http://users.business.uconn.edu/jgolec/Treynor-Mazuy.pdf.
- ↑ Jack L. Treynor, William W. Priest, Jr., Lawrence Fisher and Catherine A. Higgins (1968). Using Portfolio Composition to Estimate Risk. Financial Analysts Journal, Vol. 24, No. 5. pp. 93-100. https://scholar.google.com/scholar?q=Using+portfolio+composition+to+estimate+risk+Treynor+Priest+jr.+Fisher+Higgins.
- ↑ Treynor, Jack L. and Fischer Black (1973). How to use Security Analysis to Improve Portfolio Selection. Journal of Business 46, No.1: JSTOR. pp. 66–86. http://brandouy.free.fr/documents/MF2012/TB.pdf.
- ↑ Good, Walter Rexford; Ferguson, Robert; Treynor, Jack L. (November 1, 1976). An Investor's Guide to the Index Fund Controversy. Financial Analysts Journal: SSRN. http://ssrn.com/abstract=2353672.
- ↑ Treynor, Jack (2003). Time Diversification. Journal of Investment Management, Vol. 1, No. 3, Third Quarter 2003. http://www.q-group.org/wp-content/uploads/2014/01/Treynor.pdf.
- ↑ Treynor, Jack (2005). Why Market-Valuation-Indifferent Indexing Works. Financial Analysts Journal Vol. 61, No. 5,. pp. 65-69. https://www.researchaffiliates.com/Production%20content%20library/FAJ_Sep_Oct_2005_Why_Market-Valuation-Indifferent_Indexing_Works.pdf.
External links
- In Memorium, CFA Institute
- Masters of Finance: Jack Treynor, youtube video.
- Author page, SSRN
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