M-Squared: A Double-take on Three Approaches to a Primary Risk Measure
$25
The author has chosen to take-on myths and mysteries of M-squared. Starting from a position of doubt in the essential theory of leveraging a portfolio up or down to match its risk to the benchmark, this author, through thought, reflection and research has completely reversed his original attitude.
Author: David Spaulding, CIPM, The Spaulding Group
The author has chosen to take-on myths and mysteries of M-squared. Starting from a position of doubt in the essential theory of leveraging a portfolio up or down to match its risk to the benchmark, this author, through thought, reflection and research has completely reversed his original attitude. This article describes the method, shows how to calculate it, and concludes that the Modiglianis, both grandfather and granddaughter, have led us to the best way to view risk.
M-Squared: A Double-take on Three Approaches to a Primary Risk Measure.
Related products
-
A Jigsaw Puzzle of Basic Risk-adjusted Performance Measures
$25 -
A Case for Fixed Income Holdings-Based Attribution: Techniques for Achieving Cleaner Results
$25 -
A Brinson Model Alternative: an Equity Attribution Model with Orthogonal Risk Attributions
$25 -
A Closer Look at Performance Persistence of Mutual Funds
$25