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John10

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tT
发表于 2011-7-11 19:30 | 只看该作者

M squared

correct
Hate this method....is my understanding correct here?

Sharpe - total risk (stnd dev)
Treynor - beta
Jensen - beta (SML)
M squared - total risk (CML)
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jmh530

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2#
发表于 2011-7-11 19:30 | 只看该作者
Yep you got it.

Remember though that Jensen you have to take the return of the portfolio and subtract it from that formula. (The SML line) to get the proper number.

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