by admin | Nov 2, 2009 | GIPS, risk
Our monthly newsletter went out last week, and we immediately received inquiries and comments about one of the topics: risk. I extended my recent blog remarks on this subject to shed further light on it, but there’s still confusion and a need for greater...
by admin | Oct 23, 2009 | risk
One of our clients asked us to calculate a variety of risk statistics for them this week and in the course of the assignment we were asked some intriguing questions, a couple of which I’ll share with you today. Annualizing Beta: can we annualize beta? I...
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 | Sep 25, 2009 | GIPS, risk, Sharpe ratio, Standard Deviation
Okay, so the decision has been made: effective January 2011, GIPS compliant firms must report a 36-month annualized standard deviation, on an annual basis (that is, for all years starting with 2011). Further clarity is in order. First, is standard deviation risk?...
by admin | Sep 23, 2009 | risk
“When will they ever learn, when will they ever learn.” Okay, so words from an anti-war song perhaps aren’t the most fitting, but what the heck is going on? Moody’s is being accused of continuing to inflate ratings, this time by a former...
by admin | Sep 18, 2009 | risk, value at risk
President Obama spoke this week regarding the improving mood on Wall Street and offered that “Those on Wall Street cannot resume taking risks without regard for consequences, and expect that next time, American taxpayers will be there to break their fall.” I’m...
