Is this part of the syllabus ?
what is that?
M^2 = Sharp Ratio x standard deviation of passive index - expected excess return. It’s one of the performance measure for Treynor-Black. It’s included in the non-optional reading and is tested in one of the practice problems in CFAI text. The LOS does not explicitly address this measure.
NON OPTIONAL
eltia Wrote: ------------------------------------------------------- > M^2 = Sharp Ratio x standard deviation of passive > index - expected excess return. > > It’s one of the performance measure for > Treynor-Black. It’s included in the non-optional > reading and is tested in one of the practice > problems in CFAI text. The LOS does not > explicitly address this measure. What does this mean?
It means it is not marked as “optional”, it is in the CFAI text, it is tested in the practice problem, and no LOS explicitly says either you need or not need to know.
^^ it’s an easy one for me…If I see it, it will take all of two seconds to bubble B.
planner Wrote: ------------------------------------------------------- > ^^ it’s an easy one for me…If I see it, it will > take all of two seconds to bubble B. Nice, I am going with “B” for my default guess choice as well.
bpdulog Wrote: ------------------------------------------------------- > planner Wrote: > -------------------------------------------------- > ----- > > ^^ it’s an easy one for me…If I see it, it > will > > take all of two seconds to bubble B. > > > Nice, I am going with “B” for my default guess > choice as well. Then I’ll go with a. It must remind them of Jensen’s Alpha which everyone wants (and seeks). So I should score a lot of points with it.
You should include the RFR though. Sharpe times stdev of passive index + RFR.
RFR is included in expected excess return.
i just puked a bit in my mouth opening this thread. i have no idea what this is.
eltia Wrote: ------------------------------------------------------- > M^2 = Sharp Ratio x standard deviation of passive > index - expected excess return. > > It’s one of the performance measure for > Treynor-Black. It’s included in the non-optional > reading and is tested in one of the practice > problems in CFAI text. The LOS does not > explicitly address this measure. can;t see it … do you know the page number ?
bannisja Wrote: ------------------------------------------------------- > i just puked a bit in my mouth opening this > thread. i have no idea what this is. i thought it was Modiglini Miller theorms … MM … M^2. now i see its actually a real thing 
Search for Sharp ratio in the T-B section. The M^2 is somewhere after it.
It’s equation 69-12 on P.485 of CFAI text Book 6.
isn’t this the reading where they say we’re not responsible for these equations?
Which of the following is least likely to measure the reward to variability ratio of the risky portfolio in the Treynor-Black model? A) Sharpe ratio B) Expected excess return C) Modiglini squared
B?
B is correct.