by admin | Sep 4, 2009 | risk
You might begin by asking “who said risk is hard?” Well, for starters, I did! And why would I say such a horrid thing? Let’s begin with a simple question: what is risk? That is, how would YOU define risk? The answers tend to vary, but include...
by admin | Jul 30, 2009 | risk
In 2004 Alan Greenspan offered the following: “When confronted with uncertainty, especially Knightian uncertainty, human beings invariably attempt to disengage from medium to long-term commitments in favor of safety and liquidity.” I stumbled upon this...
by admin | Jul 28, 2009 | risk, value at risk
This past week I spent a day dealing with the single topic of Value at Risk (VaR). This was in a class I’m taking in my doctoral program. Our professor, Aron Gottesman, did a fantastic job showing how VaR isn’t nearly has challenging as one might think. As...
by admin | Jul 24, 2009 | GIPS, risk, Standard Deviation
Standard deviation is a commonly used statistic, well known by many long before they enter the world of performance measurement, which serves multiple purposes and thus engenders confusion.The GIPS 2010 draft proposed a requirement that a 36-month annualized standard...
by admin | Jul 23, 2009 | Dietz, M-squared, Modigliani, risk, risk-adjusted return, time-weighting
While I doubt that they were aware of it, when Franco and Leah Modigliani developed their risk-adjusted return measure, M-squared, they were extending an idea first promulgated by Peter Dietz in his 1966 thesis, from which we obtained the notion of time-weighting and...
by admin | Jul 17, 2009 | risk
Last night I had the privilege to participate in a panel discussion, organized by Rutgers University Professor Jim Bicksler, at the Dow Jones facility in Princeton, NJ, titled “Investment Principles Revisited.” You’re no doubt not surprised that the...
