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-day Outflows: end-of-day. While in bed one...
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 hour William Blake I believe there are two major things that performance measurement professionals need to know about attribution. #1...
by admin | Jan 9, 2014 | Investment Performance Guy, News
You may recall the commutative property of math- ematics, which essentially speaks of changing the order in which we do the math. This property holds for addition and multiplication; for example: You’ll may also remember that it doesn’t hold for all...
