M^2 Modigliani

[southeuro]

Hi David, am a bit confused about the Modigliani, and its use.

I see elsewhere that the formula is given as RFR + (sharpe ratio) * (volatility of market) --(1)

But you use it in the way to calculate the return in answer to your questions -- (2) https://forum.bionicturtle.com/threads/p2-t8-17-modigliani-squared-m-2-and-t-squared-measures.5562/

When we are asked what the M^2 is in the exam, should we understand that it's asking us to calculate the M^2 ratio, as in (1) or should we interpret it as it's asking us to calculate the average return of the portfolio while matching market volatility?

Thanks for clarifying.

 

[lianne]

Hi David, am a bit confused about the Modigliani, and its use.

I see elsewhere that the formula is given as RFR + (sharpe ratio) * (volatility of market) --(1)

But you use it in the way to calculate the return in answer to your questions -- (2) https://forum.bionicturtle.com/threads/p2-t8-17-modigliani-squared-m-2-and-t-squared-measures.5562/

When we are asked what the M^2 is in the exam, should we understand that it's asking us to calculate the M^2 ratio, as in (1) or should we interpret it as it's asking us to calculate the average return of the portfolio while matching market volatility?

Thanks for clarifying.