by admin | Oct 11, 2009 | GIPS
The current issue of The Journal of Finance (October, 2009) has an article by Bollen & Pool titled “Do Hedge Fund Managers Misreport Returns? Evidence from the Pooled Distribution.” It seems that there’s “a sharp discontinuity in...
by admin | Oct 1, 2009 | GIPS, Returns, risk, time-weighting
Methodology, like sex, is better demonstrated than discussed – E.E. Leamer I’m reading Measurement, Design and Analysis by Pedhazur & Schmelkin for a course I’m taking and am finding it quite interesting. While we often address topics such as how...
by admin | Sep 30, 2009 | GIPS
Recall that effective 1 January 2010, GIPS (r) compliant firms must revalue portfolios for large cash flows. This may be an issue, a costly one, for fixed income managers who today only value bonds weekly or monthly. I specifically asked, during last week’s GIPS...
by admin | Sep 29, 2009 | GIPS
Recall that the GIPS 2010 “exposure draft” proposed a requirement that firms be prohibited from giving a GIPS (R) composite presentation to prospects below their stated minimum. While this was characterized as a change from a “recommendation,”...
by admin | Sep 28, 2009 | GIPS
One proposed change to the GIPS(r) standards that garnered a great deal of attention was to recommend that compliant firms annually send the appropriate composite presentation(s) to their existing clients. While this was merely a recommendation, many folks opposed it....
by admin | Sep 25, 2009 | GIPS, risk, Sharpe ratio, Standard Deviation
Okay, so the decision has been made: effective January 2011, GIPS compliant firms must report a 36-month annualized standard deviation, on an annual basis (that is, for all years starting with 2011). Further clarity is in order. First, is standard deviation risk?...
