by admin | Jun 26, 2009 | risk
I gave a talk on Wednesday for a software vendor on the topic risk-adjusted performance measures and began, as I often do, by mentioning Peter Dietz’s statements regarding this subject in his 1966 thesis. He pointed out how risk and return should be linked, but...
by admin | Jun 22, 2009 | risk
I just got a note from a colleague in response to this month’s newsletter (/images/stories/PDF/newsletters/jun09nl.pdf) suggesting that my use of the term “volatility” for standard deviation is incorrect, and that “variability” is more...
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...
by admin | Jun 5, 2009 | GIPS, risk
Earlier this week I mentioned that I have finally sent my comments in re. GIPS 2010. Well, I find myself slightly modifying my view about the planned requirement for a 3-year annualized standard deviation … okay, maybe more than slightly.I’m working on a...
