by David Spaulding | Feb 14, 2017 | dispersion, GIPS, Global Investment Performance Standards, Investment Performance Guy, Standard Deviation
The GIPS(R) standards require compliant firms to include a measure of dispersion for each year in which they have six or more accounts present for the full 12 months. But, which return should they use, gross-of-fee or net-of-fee? What about for the 36-month, ex...
by David Spaulding | Feb 9, 2017 | GIPS supplemental information, GIPS, Global Investment Performance Standards, guidance statement, Investment Performance Guy, performance measurement
I finally got around to writing up my comments to the draft guidance on supplemental information for GIPS(R) (Global Investment Performance Standards). Since the idea of supplemental information pertains to just about all firms that claim compliance with the...
by David Spaulding | Feb 1, 2017 | performance measurement, GIPS, Global Investment Performance Standards, Investment Performance Guy, performance attribution, rate of return, rates of return, Returns, risk, risk measurement
Hidden Figures: the movie My wife and I recently saw the movie “Hidden Figures,” which is about the contributions that three black women made to the U.S. space program, starting in the early 1960s. It takes place in Virginia, which at that time was...
by David Spaulding | Jan 23, 2017 | performance attribution, Investment Performance Guy
The need to acknowledge the existence of errors in performance attribution I found the above graphic today on Facebook, from the “I Love Mathematics” group. If you haven’t figured it out, yet, I love mathematics. It occurred to me that a similar...
by David Spaulding | Jan 18, 2017 | GIPS, GIPS verification, Global Investment Performance Standards, Investment Performance Guy, verification
The Global Investment Performance Standards (GIPS(R)) are, to a large extent, quite flexible. For this post, I’ll address one particular aspect: compliance. It’s voluntary. You don’t have to “pass a test” to claim compliance: just...
