by admin | Apr 23, 2012 | Investment Performance Guy, News
I am adjusting the title of a post that William McKibbin had last week, titled “Are Mathematicians Creative.” Given that my undergrad degree (from Temple University) is in math, and that math is clearly a huge part of performance and risk measurement,...
by admin | Apr 21, 2012 | Investment Performance Guy, News
Reminder! This coming Monday, April 23rd at 11:00 am (EST), Jed Schneider, CIPM, FRM will discuss highlights from TSG’s recent performance attribution survey. He will present findings, and compare the results with previous years’ surveys. You...
by admin | Apr 20, 2012 | GIPS, Global Investment Performance Standards
In doing GIPS(R) (Global Investment Performance Standards) verifications under the new version, I’ve witnessed a few firms who insert “N/A” for years prior to 2011, when they chose not to report the 3-year annualized standard deviation. Not showing...
by admin | Apr 19, 2012 | GIPS, Global Investment Performance Standards
Several years ago, TSG published the first guide on the presentation standards. At that time we still had the AIMR-PPS(R), and GIPS(R) was just getting started. Well, the book sold out pretty quickly, and we had plans to revise it, but hadn’t made much...
by admin | Apr 18, 2012 | performance attribution, residuals
One thing I will discuss at this year’s TSG PMAR (Performance Measurement, Attribution & Risk) conferences is the impact of benchmark changes to the attribution residual. While we recognize that the holdings-based model suffers from residuals when...
