by admin | Jan 28, 2014 | Investment Performance Guy, News
This year’s Performance Measurement, Attribution & Risk (PMAR) conferences, like last year’s, will have a theme. It started as “Casino Royale,” but has been broadened to “Secret Agents,” or more specifically, “Secret...
by admin | Jan 24, 2014 | Investment Performance Guy, News
At the core of performance measurement is the rate of return. While we are often distracted by attribution, risk, and the Global Investment Performance Standards (GIPS(R)), the ROR is fundamental. And so, there are some key points we should agree on.1. Use...
by admin | Jan 22, 2014 | Investment Performance Guy, News
Most of those who calculate rates of return have settled on either the end-of-day or start-of-day treatment for cash flows. Some time ago I arrived at the belief that a mixed treatment is better:Inflows: start-of-dayOutflows: end-of-day.While in bed one night, it hit...
by admin | Jan 21, 2014 | Investment Performance Guy, News
Contribution, aka “absolute attribution,” is a commonly used measure of performance. It’s simply the return of whatever we’re evaluating (securities, sectors, etc.) times its weight. We sum these values up, and they should equal the...
by admin | Jan 14, 2014 | Investment Performance Guy, News
To see a World in a Grain of Sand, And a Heaven in a Wild Flower, Hold Infinity in the palm of your hand, And Eternity in an hourWilliam Blake I believe there are two major things that performance measurement professionals need to know about attribution.#1...