by admin | Jan 19, 2012 | GIPS, Global Investment Performance Standards, risk, Standard Deviation
Confusion abounds when it comes to standard deviation. Some of the issues include:Equal-weighted or asset-weighted?Divide by “n” or “n-1”?Is it a measure of variability, volatility, or dispersion?Is it a measure of risk?What’s the best...
by admin | Oct 14, 2011 | GIPS, Global Investment Performance Standards, Standard Deviation
A verification client called me with the following question: they have historically calculated dispersion around the composite’s return; however, their new GIPS(R) (Global Investment Performance Standards) system measures it around the average of the accounts...
by admin | Oct 4, 2011 | CIPM, CIPM expert, CIPM Principles, composite dispersion, external dispersion, GIPS, internal dispersion, Standard Deviation, TI BA II Plus, tracking error
CIPM candidates are required to be able to calculate standard deviations for several purposes, including:the dispersion of annual portfolio returns within a composite (internal dispersion)the variability of a composite’s past 36 months of returns (external...
by admin | Mar 17, 2011 | risk, Standard Deviation
Odd title for a blog post, right? Well, it’s my silly way to introduce a term which is often bantered about but not often discussed: “noise.” No, I’m not talking about the sounds that come through the hotel room while you’re trying to...
by admin | Mar 14, 2011 | animation, GIPS, Global Investment Performance Standards, Standard Deviation
Today’s animated post provides an overview of standard deviation; a very important measure for us performance measurement types!
by admin | Jan 25, 2011 | M-squared, risk, Standard Deviation, tracking error
I was teaching our Fundamentals of Performance Measurement course yesterday and came upon a metaphor to use to justify the need for multiple views on risk: John Godfrey Saxe’s poem about the blind men and the elephant. You are no doubt familiar with the story,...
