Steve Mayo Legend  Posts: 414 Joined: 10/11/2012 Location: Austin, TX  User Profile | Does anyone have any experience with the Modigliani ratio? First calculate "Excess Return" of the portfolio over the market's return for each period, say monthly. Excess Return = sum of (port month return - market monthly return) M2 = Sharpe x STDev of (Port Monthly Returns - Market Monthly Returns) M2 is basically the risk-adjusted return of a portfolio relative to the market. It is similar to Sharpe and would rank a series of ports the same way but rather than some abstract number, it is measured in units of percent return so it is more understandable. | |
