Topical Terminology > M-squared
M-squared
For M-squared we have a term and definition in Derivatives.
M-squared (Derivatives) 
A way of measuring the performance of an investment portfolio, namely the average rate of return on a portfolio that (a) consists of investment in T-bills and the investment portfolio and (b) has the same standard deviation as the relevant benchmark portfolio. Thus, if an investment portfolios M-squared is greater (less) than the return on the benchmark portfolio, then the investment portfolios risk-adjusted return is better (worse) than that of the benchmark. (Noelle Knox, "Slice, Dice and Scrutinize: Risk Measurements Draw a Crowd," NYT, 4/5/98, p. 45.)
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