by admin | Feb 24, 2012 | rates of return, Returns, risk
Yesterday, TSG held a luncheon in NYC, where Jed Schneider, CIPM, FRM reviewed some of the findings from our recent Performance Attribution survey. As with all of these research projects, some very interesting insights can be drawn. And since this...
by admin | Feb 3, 2012 | M-squared, Modigliani, risk, risk-adjusted return, Sharpe ratio
In TSG’s January newsletter, I expanded upon a recent blog post where I introduced a couple graphics in an attempt to “make sense out of” negative Sharpe ratios. Two pillars of the investment performance community, Carl Bacon and Steve Campisi,...
by admin | Jan 25, 2012 | GIPS, Global Investment Performance Standards, risk, Sharpe ratio, Standard Deviation
The Global Investment Performance Standards (GIPS(R)) now require compliant firms to include the 3-year, annualized standard deviation for the composite and its benchmark. And while this was a somewhat controversial move, it’s here, so we live with it. But, why...
by admin | Jan 19, 2012 | GIPS, Global Investment Performance Standards, risk, Standard Deviation
Confusion abounds when it comes to standard deviation. Some of the issues include:Equal-weighted or asset-weighted?Divide by “n” or “n-1”?Is it a measure of variability, volatility, or dispersion?Is it a measure of risk?What’s the best...
by admin | Jan 18, 2012 | risk, risk management
In yesterday’s WSJ we saw yet another article regarding MF Global Holdings and its former CEO, Jon Corzine (“MF Probe Targets Back-Office Unit”) . This time we learn that just about everyone in the company has been interviewed by federal prosecutors,...
by admin | Jan 17, 2012 | GIPS, Global Investment Performance Standards, M-squared, Modigliani, risk
I have been invited to join the CFA Institute’s Jonathan Boersma and Neuberger Berman’s Leah Modigliani to speak on the subject of risk, at an evening event at the NYSSA (New York Society of Security Analysts). The program takes place at 6...
