by admin | Jan 30, 2012 | GIPS, Global Investment Performance Standards, Standard Deviation
I participated in a panel discussion last week for the New York Society of Security Analysts (NYSSA). Questions arose regarding the use of standard deviation with GIPS(R) (Global Investment Performance Standards). I used my standard graphic, which distinguishes...
by admin | Jan 27, 2012 | GIPS, Global Investment Performance Standards
We, that is, TSG, are (or should it be, is?) wrestling with a situation where a client may not be consistent in their pre-2011 adoption of “stub periods” for their GIPS(R) (Global Investment Performance Standards) composites (recall that until 1 January...
by admin | Jan 25, 2012 | GIPS, Global Investment Performance Standards, risk, Sharpe ratio, Standard Deviation
The Global Investment Performance Standards (GIPS(R)) now require compliant firms to include the 3-year, annualized standard deviation for the composite and its benchmark. And while this was a somewhat controversial move, it’s here, so we live with it. But, why...
by admin | Jan 20, 2012 | GIPS, Global Investment Performance Standards, trust
I recently listened to Stephen Covey (the son of Stephen Covey of the “7 Habits” fame) speak on trust. It truly resonated with me, and I’ll share just a bit here and more in an upcoming newsletter.Our industry has suffered from a loss of trust. A...
by admin | Jan 19, 2012 | GIPS, Global Investment Performance Standards, risk, Standard Deviation
Confusion abounds when it comes to standard deviation. Some of the issues include:Equal-weighted or asset-weighted?Divide by “n” or “n-1”?Is it a measure of variability, volatility, or dispersion?Is it a measure of risk?What’s the best...
by admin | Jan 17, 2012 | GIPS, Global Investment Performance Standards, M-squared, Modigliani, risk
I have been invited to join the CFA Institute’s Jonathan Boersma and Neuberger Berman’s Leah Modigliani to speak on the subject of risk, at an evening event at the NYSSA (New York Society of Security Analysts). The program takes place at 6...