by admin | Sep 14, 2009 | cash flows, GIPS, time-weighting
I’m reviewing a client’s calculation process and learned that they previously employed a mid-day approach: note that they calculate returns daily but simply assumed that the flows occurred mid-day. I have never liked mid-day for cash flows. Why? As you may...
by admin | Sep 11, 2009 | Investment Performance Guy, News
I think it’s fitting, on this eighth anniversary of 9/11, to pause and reflect on that horrible day. There are a few events in our lives that we recall a lot of details about: some are especially wonderful, such as births and weddings, while others are tragic...
by admin | Sep 10, 2009 | Investment Performance Guy, News
I just launched a poll on Linkedin: Will the DJIA close above 10,000 by December 31. Please join in!
by admin | Sep 10, 2009 | time-weighting
I understand that there is no universally agreed upon definition of what science is, and that’s probably a good thing. But I suspect most people believe that science results in facts. We sometimes hear something being “art and not science, suggesting that...
by admin | Sep 8, 2009 | attribution, fixed income attribution
From an equity perspective most practitioners are familiar with the allocation, selection, and interaction effects, while from a fixed income perspective they’re familiar with the treasury (aka duration or yield curve management), spread, income, parallel,...
