Jack L. Treynor
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). Treynor is considered one of the founders of quantitative research analysis. The Treynor ratio is a product of Treynor’s research.[note 1]
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.
In 1962 Treynor produced an unpublished paper, Toward a Theory of the Market Value of Risky Assets, that served as a foundation of the CAPM. Although this paper was circulated among finance economists, it remained unpublished until 1999.
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.
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.
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.
The following papers are presented in chronological order. Additional papers are available in the "In Memorium" link below.
|1961||Market Value, Time, and Risk|
|1962||Jack Treynor's 'Toward a Theory of Market Value of Risky Assets'|
|1966||Can Mutual Funds Outguess the Market?|
|1968||Using Portfolio Composition to Estimate Risk|
|1973||How to use Security Analysis to Improve Portfolio Selection |
|1976||An Investor's Guide to the Index Fund Controversy|
|2005||Why Market-Valuation-Indifferent Indexing Works|
- 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.
- 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
- 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.
- 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.