by admin | Nov 28, 2009 | attribution, GIPS, Returns, risk
I guess it’s not surprising that as a blogger, I occasionally wonder around looking at other blogs … I regularly visit about a dozen and am always looking for new ones to add to my list. Today I’ve visited several new sites and have picked up a few...
by admin | Nov 16, 2009 | risk, value at risk
At last week’s Performance Measurement Forum meeting in Rome I mentioned how during this most recent economic crisis the Value at Risk metric has demonstrated how little value it provides: what firm’s use of this measure provided them with any degree of...
by admin | Nov 3, 2009 | attribution, GIPS, Returns, risk
Through this blog I recently received a question that wasn’t related to a specific post. I opted not to respond because (a) I didn’t know who it was from (it was sent anonymously) and (b) it didn’t fit what it was tied to. I will be happy to respond...
by admin | Nov 2, 2009 | GIPS, risk
Our monthly newsletter went out last week, and we immediately received inquiries and comments about one of the topics: risk. I extended my recent blog remarks on this subject to shed further light on it, but there’s still confusion and a need for greater...
by admin | Oct 23, 2009 | risk
One of our clients asked us to calculate a variety of risk statistics for them this week and in the course of the assignment we were asked some intriguing questions, a couple of which I’ll share with you today. Annualizing Beta: can we annualize beta? I...
by admin | Oct 1, 2009 | GIPS, Returns, risk, time-weighting
Methodology, like sex, is better demonstrated than discussed – E.E. Leamer I’m reading Measurement, Design and Analysis by Pedhazur & Schmelkin for a course I’m taking and am finding it quite interesting. While we often address topics such as how...
