by admin | Nov 27, 2009 | Returns, time-weighting
I stumbled upon a website today that provided the following brief explanation about returns: “To evaluate the performance of a portfolio manager, you measure average portfolio returns. A rate of return (ROR) is a percentage that reflects the appreciation or...
by admin | Nov 23, 2009 | Returns
I’m in Toronto for a couple days teaching a performance class for a client. And, as often happens, a thought occurred that seemed interesting. Peter Dietz introduced the “original Dietz formula” in 1966, which treats cash flows as occurring...
by admin | Nov 3, 2009 | attribution, GIPS, Returns, risk
Through this blog I recently received a question that wasn’t related to a specific post. I opted not to respond because (a) I didn’t know who it was from (it was sent anonymously) and (b) it didn’t fit what it was tied to. I will be happy to respond...
by admin | Oct 1, 2009 | GIPS, Returns, risk, time-weighting
Methodology, like sex, is better demonstrated than discussed – E.E. Leamer I’m reading Measurement, Design and Analysis by Pedhazur & Schmelkin for a course I’m taking and am finding it quite interesting. While we often address topics such as how...
by admin | Aug 12, 2009 | GIPS, Returns
John Simpson and I are conducting a GIPS(R) verification and I’m reminded of Ronald Reagan’s advice to trust, but verify.On multiple occasions we’ve encountered situations where the returns are incorrect, as produced by the software. Sometimes...
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...
