by admin | Dec 8, 2011 | attribution, performance attribution
I got an email from a client recently, asking how one should treat the case where a manager has zero exposure to one of the sectors in the benchmark.If you are using one of the Brinson models and simply use the formulas as written, you’ll find that the...
by admin | Dec 5, 2011 | GIPS, Global Investment Performance Standards
One of our GIPS(R) (Global Investment Performance Standards) verification clients may be changing their name soon. What is the requirement for dealing with this?Well, technically there is nothing explicit that I have found which deals with this matter: a quick check...
by admin | Dec 1, 2011 | attribution
I got an email from someone today asking how to calculate transaction-based attribution. I addressed this during our recent Attribution Week, but will touch on it briefly here, and in greater detail in this month’s newsletter.Recall that attribution relies on...
by admin | Nov 30, 2011 | Investment Performance Guy, News
One of our clients sent us a note recently, which stated that one of their clients told them there is a “standard to report alternative investments as net-of-fee, and to combine these with gross-of-fee returns.” This “standard” apparently is...
by admin | Nov 28, 2011 | hedge funds
Last week I had a call from a client who said that the returns they calculate don’t match those provided by the hedge fund. How can this be?Hedge fund performance should be pretty easy to handle: once we have the monthly valuations, cash flows are typically...
