by admin | Mar 13, 2014 | Investment Performance Guy, News
We received an inquiry recently regarding the appropriateness to rebalance a benchmark when the portfolio has a 10% flow. I discussed this with my colleagues, and we were all a bit surprised by the question. Now, perhaps there are loads of firms that do this, and...
by admin | Mar 12, 2014 | Investment Performance Guy, News
When we conduct GIPS(R) verifications, it is not uncommon to see a footnote appear on a presentation where the number of accounts in the composite are five or fewer. The Global Investment Performance Standards do not require firms to disclose the number of accounts or...
by admin | Mar 7, 2014 | Investment Performance Guy, News
I delivered a talk earlier this week for the CFA Society of St. Louis on performance attribution. One of the attendees asked “what’s the point?” I.e., why should an asset manager be doing performance attribution? My initial response was “every...
by admin | Mar 5, 2014 | Investment Performance Guy, News
Although not common, I still occasionally run into situations like the following: a period is selected to report performance that extends beyond (at the start, end, or both) the actual period a portfolio or asset was being managed or held, and yet a return is...
by admin | Feb 27, 2014 | Investment Performance Guy, News
A Linkedin colleague sent me a note about the idea of calculating returns across weekends. There really is no need to do this, except when the month-end date occurs on the weekend and you’re accruing for income. The following paints four cases: In Case #1, we...
