by admin | Jun 18, 2010 | risk
Bernd Fischer of Investment Data Services delivered a terrific presentation this week at the European meeting of the Performance Measurement Forum in London. Liquidity risk has been a rather difficult concept for me to get my arms around; granted, I haven’t...
by admin | Apr 13, 2010 | beta, risk
Fama & French’s famous paper, “The Cross Section of Expected Stock Returns” (The Journal of Finance, June 1972), is credited with the “Beta is Dead” suggestion, as a result of the empirical evidence to discredit the Capital Asset...
by admin | Mar 30, 2010 | GIPS, Global Investment Performance Standards, risk
At a recent presentation on the new version of the Global Investment Performance Standards (GIPS(R) 2010), I was asked if the asset-weighted standard deviation would be permitted for the new requirement to report a three year, annualized standard deviation. Once again...
by admin | Mar 15, 2010 | GIPS, Global Investment Performance Standards, risk, risk management
We spend a great deal of time debating the value of various risk measures, arguing, for example, whether it’s appropriate for the Global Investment Performance Standards (GIPS(R)) to require the disclosure of the 3-year annualized standard deviation or whether...
by admin | Mar 8, 2010 | GIPS, Global Investment Performance Standards, risk
Money Management Letter offered the following regarding the revised Global Investment Performance Standards (GIPS(R)) which will go into effect next January: “The CFA Institute has placed a heavy emphasis on risk disclosure in its revised Global Investment...
by admin | Feb 27, 2010 | risk
You may be familiar with the abbreviation, WWJD (What Would Jesus Do?). On a recent episode of NCIS (another abbreviation…this must be abbreviation day! NCIS is a TV show: Naval Criminal Investigation Services) someone used WWGD, which I thought might mean...
