by admin | Jul 23, 2009 | Dietz, M-squared, Modigliani, risk, risk-adjusted return, time-weighting
While I doubt that they were aware of it, when Franco and Leah Modigliani developed their risk-adjusted return measure, M-squared, they were extending an idea first promulgated by Peter Dietz in his 1966 thesis, from which we obtained the notion of time-weighting and...
