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Applied Economics Letters Volume 22, 2015 - Issue 4
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Original Articles

M-Squared and ranking issues for risky assets

G. Glenn BaigentDepartment of Finance, College of Management, LIU – Post, Brookville, NY11548, USA E-mail: [email protected]
Pages 247-250 | Published online: 08 Aug 2014
 
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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.

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