by admin | Jul 30, 2009 | risk
In 2004 Alan Greenspan offered the following: “When confronted with uncertainty, especially Knightian uncertainty, human beings invariably attempt to disengage from medium to long-term commitments in favor of safety and liquidity.” I stumbled upon this...
by admin | Jul 29, 2009 | IRR, money-weighting
I recently stumbled upon an article that I found quite interesting: “What Does an IRR (or Two) Mean?,” by David Johnstone (Journal of Economic Education, Winter 2008). David is the National Australia Bank Professor of Finance at the University of Sydney...
by admin | Jul 28, 2009 | Investment Performance Guy, News
Jim Johnson, Philadelphia Eagles Defensive Coordinator, died today of cancer (see https://sports.espn.go.com/nfl/news/story?id=4362252). What, you may ask, does this have to do with performance measurement?On January 28,2005, the Home News Tribune (a NJ paper) ran a...
by admin | Jul 28, 2009 | risk, value at risk
This past week I spent a day dealing with the single topic of Value at Risk (VaR). This was in a class I’m taking in my doctoral program. Our professor, Aron Gottesman, did a fantastic job showing how VaR isn’t nearly has challenging as one might think. As...
by admin | Jul 27, 2009 | GIPS
GIPS(R) compliant firms are required to include all actual (i.e., a REAL account, not a model), fee-paying (i.e., that the account pays fees, though this may change with GIPS 2010 to mandate the inclusion of non-fee paying accounts, too), discretionary accounts into...
