by admin | Sep 22, 2010 | GIPS, Global Investment Performance Standards, money-weighting, time-weighting
If you’re a frequent reader of my blog and/or our firm’s newsletter, you know of my passion for money-weighting, especially when it comes to subportfolio returns.I’m teaching classes this week for a client and when we discussed subportfolio returns...
by admin | Sep 21, 2010 | Investment Performance Guy, News
A problem surfaced over the past couple years that has long been lingering within the world of performance measurement and risk: the potential for “negative Sharpe ratios.” While I had heard of a problem, I hadn’t seen it first hand until about two...
by admin | Sep 20, 2010 | Investment Performance Guy, News
I’ve been having a discussion with a colleague on the topic of index data. I suspect that many asset managers don’t give these statistics much thought, simply taking in whatever values they’re given by their data providers. But should they? Many...
by admin | Sep 17, 2010 | risk management
I have become used to some of Nassim Taleb’s seemingly outlandish remarks, and so was not terribly surprised when reading Fooled by Randomness: The Hidden Role of Chance in Life and in the Markets that he would make such a statement. To try to at least start to...
by admin | Sep 16, 2010 | GIPS, Global Investment Performance Standards
I conducted a GIPS(R) (Global Investment Performance Standards) verification for a new client earlier this year, who had previously used a different verifier. During the course of the review, I discovered a number of items that prohibited me from issuing a...