InsidersTradesSigma
Performance & Risk Metrics
A risk-adjusted performance metric that measures excess return per unit of systematic risk (beta), used to evaluate whether a portfolio manager or insider trading signal generates alpha relative to market exposure.
The Treynor Ratio divides the excess return (portfolio return minus risk-free rate) by beta, isolating the return attributable to systematic market risk rather than diversifiable risk. In insider trading and quant scoring platforms, this metric helps distinguish between managers or signals that outperform due to superior security selection versus those that simply take on higher market beta. A higher Treynor Ratio indicates better risk-adjusted performance on a market-sensitivity basis.
In insider transaction scoring, the Treynor Ratio can assess whether insider buying or executive trading activity within a blackout window or following regulatory filings demonstrates genuine conviction about relative value or merely reflects systematic market exposure. When combined with signal persistence metrics and conviction score clustering, it contextualizes alpha generation within the quant framework, helping separate true edge from market beta harvesting.
Formula