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Standard deviation: a measure of variability, too!

by David Spaulding | Jul 19, 2018 | Standard Deviation, GIPS, Global Investment Performance Standards, Investment Performance Guy, Variability

  One thing that is often overlooked is that William F. Sharpe, PhD, in his paper that introduced the now eponymously named “Sharpe ratio,” referred to his measure as “reward to variability.” He contrasted this with Jack Treynor’s...

Performance Perspectives – July 2018

by TSG | Jul 15, 2018 | Performance Perspectives Newsletter, Standard Deviation

VOLUME 15 – ISSUE 10 July 2018 Download PDF...

Annualized standard deviation: Why? What for? What does it mean?

by David Spaulding | Mar 8, 2017 | Global Investment Performance Standards, dispersion, GIPS, Investment Performance Guy, Standard Deviation

We just published our monthly newsletter (a few days late, but better-late-than-never, right?). And already we’ve gotten comments in on two things: #1 is our puzzle, but a close #2 is my commentary on annualized standard deviation. And, as I point out, the...

GIPS dispersion: against which returns, gross- or net-of-fee?

by David Spaulding | Feb 14, 2017 | dispersion, GIPS, Global Investment Performance Standards, Investment Performance Guy, Standard Deviation

  The GIPS(R) standards require compliant firms to include a measure of dispersion for each year in which they have six or more accounts present for the full 12 months. But, which return should they use, gross-of-fee or net-of-fee? What about for the 36-month, ex...

Why we CANNOT link monthly standard deviation results to obtain annual

by David Spaulding | Sep 2, 2016 | Investment Performance Guy, Standard Deviation

Linking monthly standard deviation has its root within the AIMR-PPS One advantage to being a bit older than most folks in performance measurement is that I have been exposed to a lot of ideas, and quite a bit of history. This includes the predecessor standard to...
Performance Perspectives – June 2014

Performance Perspectives – June 2014

by TSG | Jun 17, 2014 | internal rate of return, Performance Perspectives Newsletter, rate of return, Standard Deviation

VOLUME 11 – ISSUE 10 June 2014 Download PDF...
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