by admin | Dec 28, 2009 | GIPS, Global Investment Performance Standards, risk, risk-adjusted return, Sharpe ratio, Standard Deviation
Standard deviation is a much misunderstood measure, in spite of its common use. First, is it a risk measure? It depends on who you ask. It’s evident that Nobel Laureate Bill Sharpe considers it to be one, since it serves this purpose in his eponymous...
by admin | Dec 15, 2009 | attribution, GIPS, Global Investment Performance Standards, Returns, risk
One question that occasionally surfaces is how big a performance department should be. There is no simple answer and it’s difficult to decide by simply doing a comparison with other firms. Some key points: all firms are different. Okay, maybe a bit of hyperbole,...
by admin | Dec 14, 2009 | risk, value at risk
I subscribe to a few Google Alerts, so that I’m aware when interesting stories are posted. One is for Value at Risk, and yesterday there was a link to a book by Philippe Jorion with the headline as noted above. “The new benchmark for managing financial...
by admin | Dec 12, 2009 | risk
As I recently mentioned, occasionally I go exploring to look at other blogs. And I came across Steve Hsu’s blog. And although Steve is a physics professor at the University of Oregon, he feels comfortable to opine on the investment industry. (Recall that Jose...
by admin | Dec 8, 2009 | risk, value at risk
The current issue of the NYSSA’s (New York Society of Security Analysts) journal contains an article I wrote on Value at Risk. I invite you to view it. It’s intended as a basic introduction to how one can calculate VaR using the Variance/Covariance (aka...
by admin | Nov 30, 2009 | risk
In a recent comment (see “Waltzing through the blogospher,” November 28, 2009) Steve Campisi wrote about the need to measure liquidity risk, citing the difficulties that the Yale Endowment fund had. It just so happens that this month’s Institutional...
