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标题: M squared [打印本页]

作者: John10 时间: 2011-7-11 19:30 标题: M squared

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

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

作者: jmh530 时间: 2011-7-11 19:30

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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