by admin | Jun 29, 2011 | IRR, money-weighting, time-weighting
“Men have had recourse to many calculations”Ecclesiastes 7: 29What’s the interpretation of this line? Sadly, my bible doesn’t reference which return formulas the writer was referring to, but one with an open mind can conjecture that it’s...
by admin | May 9, 2011 | money-weighting, rates of return, time-weighting
Today’s animation discusses the fairly common situation, where a portfolio loses money but has a positive return.
by admin | Apr 20, 2011 | GIPS, Global Investment Performance Standards, money-weighting, time-weighting
Of late there’s been some discussion occurring regarding pension funds (and similar entities, such as endowments, foundations, and even central banks; i.e., “asset owners”) becoming compliant with the Global Investment Performance Standards (GIPS®)....
by admin | Apr 7, 2011 | arithmetic attribution, money-weighting, time-weighting
While I often speak of returns being a matter of perspective (that is, whether we’re speaking about how the manager did or how the portfolio or client did) to determine whether time- or money-weighting should be used, the same holds true with attribution. I was...
by admin | Apr 6, 2011 | money-weighting, plan sponsor, time-weighting
I recently suggested to a plan sponsor that they consider using money-weighting as well as time-weighting, pointing out that since they control the cash flows, such an analysis would provide some value. Well, today I got an email which offered the following:It appears...
by admin | Mar 4, 2011 | GIPS, Global Investment Performance Standards, money-weighting, time-weighting
I recently wrote a letter to Pensions & Investments, which was published in their February 21 issue. Titled “Flaw in time-weighting return,” it was a response to an earlier P&I article that discussed how plan sponsors need to ensure they’re...
