Modigliani-Modigliani Measure Calculator

✖Return on Adjusted Portfolio is adjusted to show the total risk as compared to the overall market.ⓘ Return on Adjusted Portfolio [R_ap]			+10% -10%
✖Return on Market Portfolio represents the excess return of the market portfolio over the risk-free rate.ⓘ Return on Market Portfolio [R_mkt]			+10% -10%

✖Modigliani-Modigliani measure, also known as the M2 measure shows the return on an investment adjusted for risk in comparison to a benchmark.ⓘ Modigliani-Modigliani Measure [M₂]

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Formula

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Modigliani-Modigliani Measure

Formula

`"M"_{"2"} = "R"_{"ap"}-"R"_{"mkt"}`

Example

`"20.1"="25"-"4.9"`

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Modigliani-Modigliani Measure Solution

STEP 0: Pre-Calculation Summary

Formula Used

Modigliani-Modigliani measure = Return on Adjusted Portfolio-Return on Market Portfolio
M₂ = R_ap-R_mkt
This formula uses 3 Variables

Variables Used

Modigliani-Modigliani measure - Modigliani-Modigliani measure, also known as the M2 measure shows the return on an investment adjusted for risk in comparison to a benchmark.
Return on Adjusted Portfolio - Return on Adjusted Portfolio is adjusted to show the total risk as compared to the overall market.
Return on Market Portfolio - Return on Market Portfolio represents the excess return of the market portfolio over the risk-free rate.

STEP 1: Convert Input(s) to Base Unit

Return on Adjusted Portfolio: 25 --> No Conversion Required
Return on Market Portfolio: 4.9 --> No Conversion Required

STEP 2: Evaluate Formula

Substituting Input Values in Formula

M₂ = R_ap-R_mkt --> 25-4.9

Evaluating ... ...

M₂ = 20.1

STEP 3: Convert Result to Output's Unit

20.1 --> No Conversion Required

FINAL ANSWER

20.1 <-- Modigliani-Modigliani measure

(Calculation completed in 00.004 seconds)

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Created by Keerthika Bathula

Indian Institute of Technology, Indian School of mines, Dhanbad (IIT ISM Dhanbad), Dhanbad

Keerthika Bathula has created this Calculator and 50+ more calculators!

Verified by Vishnu K

BMS College of Engineering (BMSCE), Bangalore

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Go Risk Adjusted Return on Capital = (Revenue-Expenses-Expected Loss+Income From Capital)/Capital Cost

Sortino Ratio

Go Sortino Ratio = (Expected Portfolio Return-Risk Free Rate)/Standard Deviation of Downside

Maximum Drawdown

Go Maximum Drawdown = ((Trough Value-Peak Value)/Peak Value)*100

Modigliani-Modigliani Measure

Go Modigliani-Modigliani measure = Return on Adjusted Portfolio-Return on Market Portfolio

Interest Rate Risk

Go Interest Rate Risk = (Original Price-New Price)/New Price

Sterling Ratio

Go Sterling Ratio = (Compound Annual Growth Rate/(Average Maximum Drawdown-10))*-1

Risk Tolerance

Go Risk Tolerance = (Public Equity Exposure*0.35)/Monthly Gross Income

Market Risk Premium

Go Market Risk Premium = Expected Equity Market Rate-Risk Free Rate

Basis Risk

Go Basis Risk = Future Price of Contract-Spot Price of Hedged Asset

Credit Value at Risk

Go Credit Value at Risk = Worst Credit Loss-Expected Credit Loss

Economic Capital

Go Economic Capital = Earnings at Risk/Required Rate of Return

Calmar Ratio

Go Calmar Ratio = (Average Rate of Return/Maximum Drawdown)*-1

Upside/Downside Ratio

Go Upside/Downside Ratio = Advancing Issues/Declining Issues

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Probability of Default Regression Model

Go Probability of Default = 1/(1+exp(-Linear Combination))

Default Risk Premium

Go Default Risk Premium = Interest Rate-Risk Free Rate

Pain Ratio

Go Pain Ratio = Effective Return/Pain Index

Risk Exposure

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Risk Determination

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Loss Given Default

Go Loss Given Default = 1-Recovery Rate

Modigliani-Modigliani Measure Formula

Modigliani-Modigliani measure = Return on Adjusted Portfolio-Return on Market Portfolio
M₂ = R_ap-R_mkt

What is Modigliani-Modigliani Measure?

The Modigliani-Modigliani measure, also known as the M2 measure, is used to derive the risk-adjusted return of an investment. It shows the return on an investment adjusted for risk in comparison to a benchmark. It is shown as units of percentage return.

How to Calculate Modigliani-Modigliani Measure?

Modigliani-Modigliani Measure calculator uses Modigliani-Modigliani measure = Return on Adjusted Portfolio-Return on Market Portfolio to calculate the Modigliani-Modigliani measure, The Modigliani-Modigliani Measure is used to characterise how well a portfolio's return rewards an investor for the amount of risk taken, relative to that of some benchmark portfolio and to the risk-free rate. Modigliani-Modigliani measure is denoted by M₂ symbol.

How to calculate Modigliani-Modigliani Measure using this online calculator? To use this online calculator for Modigliani-Modigliani Measure, enter Return on Adjusted Portfolio (R_ap) & Return on Market Portfolio (R_mkt) and hit the calculate button. Here is how the Modigliani-Modigliani Measure calculation can be explained with given input values -> 20.1 = 25-4.9.

FAQ

What is Modigliani-Modigliani Measure?

The Modigliani-Modigliani Measure is used to characterise how well a portfolio's return rewards an investor for the amount of risk taken, relative to that of some benchmark portfolio and to the risk-free rate and is represented as M₂ = R_ap-R_mkt or Modigliani-Modigliani measure = Return on Adjusted Portfolio-Return on Market Portfolio. Return on Adjusted Portfolio is adjusted to show the total risk as compared to the overall market & Return on Market Portfolio represents the excess return of the market portfolio over the risk-free rate.

How to calculate Modigliani-Modigliani Measure?

The Modigliani-Modigliani Measure is used to characterise how well a portfolio's return rewards an investor for the amount of risk taken, relative to that of some benchmark portfolio and to the risk-free rate is calculated using Modigliani-Modigliani measure = Return on Adjusted Portfolio-Return on Market Portfolio. To calculate Modigliani-Modigliani Measure, you need Return on Adjusted Portfolio (R_ap) & Return on Market Portfolio (R_mkt). With our tool, you need to enter the respective value for Return on Adjusted Portfolio & Return on Market Portfolio and hit the calculate button. You can also select the units (if any) for Input(s) and the Output as well.

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