--- title: "Treynor and Omega | RupeeCase Terminal" description: "Treynor, Omega at 6% and Weeks ahead of benchmark on the Risk tab: what each one measures and how the app works it out from weekly returns." source_url: "https://www.rupeecase.com/learn/terminal/treynor-omega-weeks-ahead" --- ## Watch: Treynor and Omega Treynor and Omega sit in Risk figures, in Advanced.Treynor, Omega and weeks ahead: three more ways to read risk? 5 chapters, 0:59, with voice and music 1. [Chapter 1Where it is0:08](/instiv2/media/tut4/treynor-omega-weeks-ahead-where-phone-dark-v4-va2.mp4) 2. [Chapter 2What it means0:29](/instiv2/media/tut4/treynor-omega-weeks-ahead-meaning-phone-dark-v4-va2.mp4) 3. [Chapter 3Worked example0:06](/instiv2/media/tut4/treynor-omega-weeks-ahead-example-phone-dark-v4-va2.mp4) 4. [Chapter 4How to read it0:06](/instiv2/media/tut4/treynor-omega-weeks-ahead-reading-phone-dark-v4-va2.mp4) 5. [Chapter 5Watch out0:10](/instiv2/media/tut4/treynor-omega-weeks-ahead-watch-phone-dark-v4-va2.mp4) Screens from the RupeeCase app on sample data. Strategy figures are model, back tested, as of the date on screen. Formula and example numbers are illustrative. Mark as watched 4In this screen ## Every button the video points at. A still from each chapter with its buttons and fields numbered. Pick a number to zoom in on it; hover the still for a close up; Esc shows the whole screen again. Sample data, no order is placed. **1**Where it is**2**What it means ### Chapter 1: Where it is 1 Show the whole screen 1. 1**Risk adjusted**Treynor and Omega sit in Risk figures, in Advanced. Shown in the video, not on this still ### Chapter 2: What it means 12 Show the whole screen 1. 1**Per unit of beta**Treynor: growth per year above 6 percent, per unit of beta. Shown in the video, not on this still 2. 2**Past a 6% hurdle**Omega: returns past a 6 percent hurdle over the shortfalls. Shown in the video, not on this still 3. 3**How often ahead** Weeks ahead: how often it beat the benchmark. Shown in the video, not on this still ## Where it is ScreenRisk tab, Risk figures and Market linkAdvanced The Risk tab, in Advanced: Treynor and Omega at 6% in the Risk figures card, Risk adjusted group; Weeks ahead of benchmark in the Market link card. Index in this video: [Allcap](/strategies/allcap) (strategy page). ## What it means Treynor is growth per year above the 6 percent risk free rate, per unit of beta: the return for the market risk taken. It prints as a plain decimal, so 0.39 means 39 percentage points per unit of beta. Omega at 6% adds up every week's return above the 6 percent hurdle and divides by the shortfalls below it; above 1, the gains past the hurdle outweighed the shortfalls. Weeks ahead of benchmark is the share of common weeks in which the strategy returned more than its benchmark: the win rate of performance measurement. ## The formula Treynor and Omega both measure return past a 6 percent hurdle; weeks ahead counts how often the strategy beat its benchmark. As computed in the RupeeCase app`Treynor = (growth per year - 6%) / beta, shown when beta > 0 Omega at 6% = sum of (r - 6%/52) above 0 / sum of (6%/52 - r) above 0, weekly r Weeks ahead = weeks the strategy beat the benchmark / common weeks` ## Worked example Example only * Growth 18% a year, beta 1.2: (18 - 6) / 1.2 = 10 points, Treynor 0.10 * Returns past the hurdle add to 30 points, shortfalls to 20: Omega 1.5 * Ahead in 30 of 52 weeks: 58% ## How to read it * Treynor compares strategies of similar beta; a beta near 0 makes it jump. * Omega above 1: the gains past the hurdle outweighed the shortfalls. * Weeks ahead above 50%: it beat the benchmark in more weeks than not. ## Watch out * Treynor shows as a decimal while other yearly figures show percent. * Weeks ahead counts weeks, not by how much: a few large weeks can decide the return. * This recording reads month end history, so the label reads Months ahead. ## Transcript Tap Sound on for voice and music. These are the captions of the video, chapter by chapter. 1. 0:00**Where it is.** Treynor and Omega sit in Risk figures, in Advanced. 2. 0:08**What it means.** Treynor: growth per year above 6 percent, per unit of beta. 3. 0:36**Worked example.** Worked example, example only: Growth 18% a year, beta 1.2: (18 - 6) / 1.2 = 10 points, Treynor 0.10. Returns past the hurdle add to 30 points, shortfalls to 20: Omega 1.5. Ahead in 30 of 52 weeks: 58%. 4. 0:42**How to read it.** How to read it: Treynor compares strategies of similar beta; a beta near 0 makes it jump. Omega above 1: the gains past the hurdle outweighed the shortfalls. Weeks ahead above 50%: it beat the benchmark in more weeks than not. 5. 0:49**Watch out.** Watch out: Treynor shows as a decimal while other yearly figures show percent. Weeks ahead counts weeks, not by how much: a few large weeks can decide the return. This recording reads month end history, so the label reads Months ahead. ## Terms in this tutorial * [Treynor](/learn/glossary#treynor)Return above a risk free rate for each unit of market sensitivity (beta). * [Omega at 6%](/learn/glossary#omega-at-6)The weekly gains above a 6 percent a year hurdle added up, divided by the weekly shortfalls below it added up. * [Weeks ahead of benchmark](/learn/glossary#weeks-ahead-of-benchmark)The share of weeks in which the strategy returned more than its benchmark. * [beta](/learn/glossary#beta)Sensitivity of a portfolio to the market. * [Sharpe ratio](/learn/glossary#sharpe-ratio)Return above a risk free rate for each unit of volatility. ## Learn it in depth * [Module 2.3: Risk Metrics That Matter8 min read, free](/learn/path-2/module-2-3-risk-metrics-that-matter) * [Module 4.4: Performance Measurement9 min read, free](/learn/path-4/module-4-4-performance-measurement) * [Module 4.1: Modern Portfolio Theory, What Actually Matters11 min read, free](/learn/path-4/module-4-1-modern-portfolio-theory) TKeep watching ## Next tutorial. [1:11Next tutorial, Make it yours and AdvancedRank table: how does a dynamic allocation share out its money?The Research Lab's dynamic allocation: rank groups of universes, the rank table that gives each rank its share, fixed sleeves and the 100 percent total.Watch next](/learn/terminal/rank-table-dynamic-allocation) ### Related tutorials * [1:21Make it yours and Advanced, AdvancedAdvanced risk figures: Sortino, Calmar, VaR, beta and more1:21 video, AdvancedWatched](/learn/terminal/advanced-risk-figures) * [0:54Read a strategy, AdvancedSharpe and volatility: how bumpy was the ride?0:54 video, AdvancedWatched](/learn/terminal/sharpe-and-volatility) * [0:56Find and compare, AdvancedCorrelation: how closely did two lines move together?0:56 video, AdvancedWatched](/learn/terminal/correlation-and-diversification) [All 67 terminal tutorials](/learn/terminal/) Try it in Practice ## See it on your own screen. Practice mode runs the whole terminal without real orders, so you can open any strategy and find every screen from this tutorial for yourself. [Sign up for RupeeCase](https://invest.rupeecase.com/signup)[Glossary](/learn/glossary) Explore next ## Keep learning the terminal. * [TutorialCustomise: how do I set what each page shows?1:26 video, Basic](/learn/terminal/customise) * [TutorialNumbers: how do lakh, crore, Short and Full change a figure?1:00 video, Basic](/learn/terminal/numbers-lakh-crore) * [TutorialReturn distribution: what do skew and kurtosis say?1:04 video, Advanced](/learn/terminal/shape-of-weekly-returns) * [TutorialExit rank and strength filters: when does a sleeve sell?1:18 video, Advanced](/learn/terminal/exit-rank-and-strength-filters) Community ## Join my WhatsApp group. Scan the code, fillFill one short form, and join my WhatsApp group. Slides, sources, factsheets and the rebalance logs live there, and members join a daily Google Meet with me. 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