Hello, I have read M-squared, Sharpe ratio…used to evaluate performance of portfolios. The Kaplan Schweser note has a diagram which illustrates the meaning of M-squared measure, it looks like this:

(Source: Kaplan Schweser Note 2020)

As far as I understand, the efficient frontier is the border of an area which includes ALL possible individual or combination of risky assets, hence any portfolio. If so, why does the diagram above show a portfolio which has the CAL higher than the CML and is outside the area bounded by the efficient frontier???

Thank you in advance!!!