M-Squared and ranking issues for risky assets

G. Glenn Baigent

Applied Economics Letters, 2015, vol. 22, issue 4, 247-250

Abstract: Adjusting returns for risk is essential and the methodology employed should be universally representative. M-Squared is an attempt to provide a risk-adjusted measure of performance, but it has two serious shortcomings: the absence of a benchmark return and the use of leverage. Analytical and empirical observations highlight these issues. Jensen's alpha does not contain these problems.

Date: 2015
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DOI: 10.1080/13504851.2014.937027

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