elcfa Wrote: ------------------------------------------------------- > bpdulog > > Just a small side comment: M^2 gives the same > insight as Sharpe ratio, so you can explain the > same thing by using Sharpe ratio (your portfolio’s > SF > market portfolio’s SF), and Sharpe ratio is > much more used/available than M2. I know it’s widely used, but I think showing an 80 year old lady a chart plotted with return data is easier than trying to explain the Sharpe ratio.
M2 will give the same result as Sharpe ratio. The difference between the two is that the M2 ratio will show the excess return of what the portfolio would have earned if it had taken on the same degree of risk as the overall market.