by admin | Mar 10, 2011 | benchmarks, GIPS, Global Investment Performance Standards
I recently conducted a GIPS(R) (Global Investment Performance Standards) verification for a client who uses the S&P 500 as the benchmark for a hedge fund. But given that the hedge fund isn’t constrained to S&P 500-like securities but can invest in all...
by admin | Dec 8, 2010 | benchmarks
I recently discussed why we multiply our returns (plus one) when we compound. And I’ve written about the challenge with dealing with fees. But today I want to discuss handling “hurdle rates” in our indexes. Let’s say that your mandate is to...
by admin | Nov 30, 2010 | benchmarks, CIPM expert, Investment Performance Guy, Laurence Siegel, Pravin Manglani, Sandy Rattray, Standard and Poor's 500
Earlier this week, my boss, David Spaulding surmised on his blog about the possibility that the mere existence of indexes may be a reason for “above average” performance, as changes in index constituents often results in trading in the newly added stocks,...
by admin | Oct 11, 2010 | benchmarks, GIPS, Global Investment Performance Standards
We conduct a lot of GIPS(R) (Global Investment Performance Standards) verifications, and often see managers use the S&P 500 as the benchmark for their composite. But this is often the wrong one to use. For GIPS purposes the index should tie into the...
by admin | Apr 29, 2010 | benchmarks
We got a call recently from someone asking how often they should rebalance their benchmark. Apparently someone within their firm is pushing for daily, but this individual was concerned with the amount of effort that would be involved. My response was that they should...
by admin | Dec 17, 2009 | attribution, benchmarks, performance attribution
A client asked me how they should handle the following situation: the benchmark their client assigned to them is a blend of two indexes, one of which values only monthly (the other, daily). They calculate performance attribution daily and smooth the one index’s...
