Modigliani risk-adjusted performance
id:
modigliani-risk-adjusted-performance-194-9296268
title:
Modigliani risk-adjusted performance
text:
Modigliani risk-adjusted performance (also known as M2, M2, Modigliani–Modigliani measure or RAP) is a measure of the risk-adjusted returns of some investment portfolio. It measures the returns of the portfolio, adjusted for the risk of the portfolio relative to that of some benchmark (e.g., the market). We can interpret the measure as the difference between the scaled excess return of our portfolio P and that of the market, where the scaled portfolio has the same volatility as the market. It is
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wiki
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encyclopedia
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original url:
https://en.wikipedia.org/wiki/Modigliani_risk-adjusted_performance
date created:
date modified:
2023-08-14T12:41:24Z
main entity:
{"identifier":"Q3798208","url":"https://www.wikidata.org/entity/Q3798208"}
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13
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