by admin | Jul 16, 2009 | GIPS, risk, Standard Deviation
Continuing our discussion on some of the key findings from the feedback to the proposed changes to GIPS(r) …Recall that the Executive Committee proposed a new recommendation, 0.B.2, that compliant firms provide their existing clients with a copy of their...
by admin | Jul 15, 2009 | risk, Sharpe ratio
In our newsletter I’ve commented on the perceived problem with negative Sharpe ratios: that the results appear to be counter intuitive. When excess returns are positive, if the portfolio did a better job of managing risk, it will show a higher Sharpe ratio;...
by admin | Jul 14, 2009 | GIPS
I spent a few hours reviewing the 100+ comment letters that were submitted in response to the proposed changes to the GIPS standards, and want to give you an indication of what folks wrote, at least on a few key issues. I don’t envy the CFA Institute staff who...
by admin | Jul 13, 2009 | attribution, fixed income attribution
This week is dedicated exclusively to fixed income attribution. Okay, maybe not everything about the week will be dedicated to fixed income attribution, but we will have a webinar every day on this topic.For some time we’ve said that “attribution is the...
by admin | Jul 10, 2009 | Investment Performance Guy, News
Back on June 22nd I commented about a discussion I had with a colleague regarding the use of the term “volatility” for standard deviation and whether or not “variability” was more accurate.I sent a note to Bill Sharpe, who in his 1966 Journal...
