by admin | Dec 16, 2009 | attribution
One of the controversial topics in performance attribution has to do with interaction. This effect exists in several models, but we’ll limit our discussion to its presence in the Brinson-Fachler model. Recall that there are three effects in all: allocation,...
by admin | Dec 15, 2009 | attribution, GIPS, Global Investment Performance Standards, Returns, risk
One question that occasionally surfaces is how big a performance department should be. There is no simple answer and it’s difficult to decide by simply doing a comparison with other firms. Some key points: all firms are different. Okay, maybe a bit of hyperbole,...
by admin | Nov 28, 2009 | attribution, GIPS, Returns, risk
I guess it’s not surprising that as a blogger, I occasionally wonder around looking at other blogs … I regularly visit about a dozen and am always looking for new ones to add to my list. Today I’ve visited several new sites and have picked up a few...
by admin | Nov 19, 2009 | attribution, fixed income attribution
TSG, Inc. is hosting its 3rd annual Trends in Attribution Conference. This year’s program is at the Heldrich Hotel in New Brunswick, NJ. Our turnout is much better than one might have expected, given the economy … we have more folks here this year than in...
by admin | Nov 18, 2009 | attribution, fixed income attribution
At last week’s Performance Measurement Forum meeting in Rome we briefly discussed the issue of “pricing effects.” That is, the effect that can arise when your portfolio’s prices don’t match what’s in the index. Recall that we...
by admin | Nov 7, 2009 | attribution, fixed income attribution
In spite of this year’s market downturn, TSG’s upcoming Trends in Attribution Symposium (TIA) will have a very good turnout. We’re obviously quite pleased by this. With roughly two weeks to go there’s still time to be a part of this event....
