by David Spaulding | May 6, 2018 | PMAR, GIPS, GIPS 20/20, Global Investment Performance Standards, Investment Performance Guy, Journal of Performance Measurement, pension funds, performance attribution, performance calculations, performance measurement, Performance measurement conference, risk
A thought occurred to me while I was driving to Bethesda, Maryland today (I will be doing a GIPS® verification here tomorrow). Chances are, most performance measurement professionals, even those who’ve attended one or more PMAR (Performance Measurement...
by David Spaulding | Feb 1, 2017 | performance measurement, GIPS, Global Investment Performance Standards, Investment Performance Guy, performance attribution, rate of return, rates of return, Returns, risk, risk measurement
Hidden Figures: the movie My wife and I recently saw the movie “Hidden Figures,” which is about the contributions that three black women made to the U.S. space program, starting in the early 1960s. It takes place in Virginia, which at that time was still a...
by David Spaulding | Jan 23, 2017 | performance attribution, Investment Performance Guy
The need to acknowledge the existence of errors in performance attribution I found the above graphic today on Facebook, from the “I Love Mathematics” group. If you haven’t figured it out, yet, I love mathematics. It occurred to me that a similar...
by David Spaulding | Jul 14, 2016 | performance measurement, Global Investment Performance Standards, Investment Performance, Investment Performance Guy, performance attribution, return measurement, Training
Almost ten years ago, 25 investment professionals gathered in New Brunswick, NJ for an intensive week of performance measurement training at the first ever Performance Measurement Boot Camp. And while demand for this class has never gone away, we just didn’t...
by David Spaulding | Aug 11, 2014 | arithmetic attribution, attribution, attribution linking, benchmarks, geometric attribution, Investment Performance Guy, News, performance attribution, residuals
Not for multi-periods, but for single periods, geometric attribution has residuals! In a recent post about multi-period attribution, I mentioned that while it’s true that arithmetic attribution is “linking challenged,” resulting in residuals that...
by admin | Apr 9, 2013 | bond mathematics, Campisi model, CIPM, CIPM Exam Tips & Tricks, CIPM expert, duration, fixed income attribution, performance attribution
A common question I get is what is the purpose of the “index portfolio” used in the Campisi fixed income attribution model.Before answering, let me first give an outline of the steps in calculating attribution in the Campisi framework.Step 1: ...
