by admin | May 16, 2012 | Investment Performance Guy, News
I got an email this week from someone who wanted to know the difference between Modified Dietz and Modified BAI. Briefly:They are both approximations to the true, time-weighted rate of returnThey are both based on the concept of linking money-weighted returns to...
by admin | May 15, 2012 | discretion, GIPS, Global Investment Performance Standards, nondiscretion
Recall that GIPS(R) (Global Investment Performance Standards) has a fundamental rule that states “all actual, fee paying, discretionary portfolios must be included in at least one composite.” Much of this is pretty simple:”actual”: a real...
by admin | May 11, 2012 | benchmarks, market index
Note that the title of this post includes “market index,” not “benchmark.” The reason? Benchmark can mean more than market indexes; for example, it includes absolute benchmarks, such as LIBOR or LIBOR + 1. These ARE appropriate for...
by admin | May 10, 2012 | Investment Performance Guy, News
After several months of design, preparation, planning, review, etc., TSG’s new website has been officially launched!Many thanks to Patrick Fowler and Chris Spaulding for heading up this effort: it looks great!As you might expect, with the new site a number...
by admin | May 9, 2012 | AIMR-PPS, GIPS, Global Investment Performance Standards, gross of fees, net of fees
A colleague recently brought to my attention wording that appears in the 1993 edition of the Performance Presentation Standards, published by AIMR (Association for Investment Management and Research; the former name of the CFA Institute). On page 25, under a section...
