%0 Journal Article %A Angelo Lobosco %T Style/Risk-Adjusted Performance %D 1999 %R 10.3905/jpm.1999.319709 %J The Journal of Portfolio Management %P 65-68 %V 25 %N 3 %X The M-squared risk-adjusted performance measure, developed by Leah Modigliani and Franco Modigliani, calibrates all similar funds against the same broad market index; this is a desirable property. There may be times, however, when a “style mandate” may place to a fund at a distinct advantage (or disadvantage) relative to other funds. In such cases, the author shows that the M-squared methodology can be combined with Sharpe style analysis to produce a “style/risk-adjusted performance” measure. This measure is more difficult to calculate, but when there are strong style effects it can provide a useful additional perspective on performance. %U https://jpm.pm-research.com/content/iijpormgmt/25/3/65.full.pdf