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Unlike the Sharpe Ratio, the M-Squared Ratio attempts to measure the return result as if the portfolio had taken on the same level of risk (standard deviation) as the market. This return is the expected rate of return that would be earned by the portfolio if it was levered up or down so that its standard deviation was equal to that of the benchmark. Eagle Performance implements a full geometric variant of M-squared.
Refer to the attached spreadsheet as Click the thumbnail to preview an example of the Geometric M-Squared Ratio which you can download to view offline.
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