by admin | Jun 19, 2025 | GIPS, money-weighting, Standard Deviation, time-weighting
As often happens when I read, I stumble upon quotes which I will want to employ in my speaking and writing. Here are just a few from Michael Lewis’ Moneyball, along with commentary: – The meetings, from their point of view, are all about minimizing risk...
by admin | Jun 11, 2025 | money-weighting, Returns, risk, Standard Deviation, time-weighting
Continuing our discussion of Michael Lewis’ Moneyball, I think there’s a HUGE parallel between baseball statistics and what we do in investment performance measurement. Both deal with measuring performance: the performance of baseball players / the...
by admin | Dec 28, 2024 | 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 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...
by TSG | Jul 15, 2018 | Performance Perspectives Newsletter, Standard Deviation
VOLUME 15 – ISSUE 10 July 2018 Download PDF...
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...
