by admin | Jul 29, 2009 | IRR, money-weighting
I recently stumbled upon an article that I found quite interesting: “What Does an IRR (or Two) Mean?,” by David Johnstone (Journal of Economic Education, Winter 2008). David is the National Australia Bank Professor of Finance at the University of Sydney...
by admin | Jul 22, 2009 | IRR, money-weighting
Our friend, Stefan Illmer of Credit Suisse, has launched a new group on Linkedin: Friends of MWR & IRR, and John Simpson and I are two of its early members. We are very pleased that Stefan has done this, as it’s another way to provide increased attention to...
by admin | Jul 2, 2009 | IRR, money-weighting
We were recently contacted by a client who had a scenario where the IRR produced multiple solutions. This isn’t rare, but also isn’t that common an occurrence in investing. Multiple solutions can arise when we have a series of in- and outflows. There is no...
by admin | Jun 19, 2009 | GIPS, money-weighting, Standard Deviation, time-weighting
As often happens when I read, I stumble upon quotes which I will want to employ in my speaking and writing. Here are just a few from Michael Lewis’ Moneyball, along with commentary:- The meetings, from their point of view, are all about minimizing risk (p. 27):...
by admin | Jun 18, 2009 | attribution, money-weighting, Reporting, time-weighting
One area that often comes up in discussions is client reporting. There are no standards on this topic, although some guidance has been offered.Reporting is made complex for a few reasons. First, at times the client dictates what they want, in which case the...
by admin | Jun 11, 2009 | money-weighting, Returns, risk, Standard Deviation, time-weighting
Continuing our discussion of Michael Lewis’ Moneyball, I think there’s a HUGE parallel between baseball statistics and what we do in investment performance measurement. Both deal with measuring performance: the performance of baseball players / the...
