by admin | Jan 12, 2012 | risk, Sharpe ratio
I’m teaching an in-house Fundamentals of Performance class this week in Canada, and, as usual, we touch upon the Sharpe ratio, and how negative Sharpe ratios can produce results which appear inconsistent with our expectations.To help try to communicate...
by admin | Jan 5, 2012 | GIPS, Global Investment Performance Standards, risk
I often save clippings from newspapers and magazines, to refer back to at a future date. I just discovered one from the August 12, 2011 issue of the WSJ: it’s from their “op ed” section, titled “S&P 500 and the ‘Regulator’s...
by admin | Oct 31, 2011 | risk
This past Saturday, my wife and I were driving to a wedding in Hope, NJ, which is about 75 minutes from our home. As you may have heard, New Jersey, as much of the Northeast, received a rare and rather nasty snowstorm. We didn’t know what we were in for.After...
by TSG | Oct 15, 2011 | compliance, GIPS compliance, performance measurement, Performance Perspectives Newsletter, risk
VOLUME 9 – ISSUE 2 October 2011 Download PDF...
by admin | Oct 3, 2011 | risk
When Herb Chain (of Deloitte), Matt Forstenhausler (of E&Y), and I used to regularly teach AIMR-PPS(R) and then GIPS(R) courses (first for AIMR, then for the CFA Institute), one thing we could be sure of: Herb would reference former U.S. Supreme Court...
by admin | Sep 19, 2011 | internal rate of return, IRR, risk, time-weighting
Someone recently asked me what risk statistics should be used with the internal rate of return (IRR), (which, as any reader of this blog knows, is my preferred return measure). Sadly, I didn’t have an immediate reply.The plethora of risk statistics that are...
