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,...
by admin | Nov 30, 2010 | GIPS, Global Investment Performance Standards, Standard Deviation
Imagine for a moment that the designers of the various investment risk measures have gathered for a dinner; perhaps this is an annual event (may as well have it annual, since we like to annualize risk measures, right?). And imagine that you have the opportunity to...
by admin | Feb 18, 2010 | GIPS, Global Investment Performance Standards, Standard Deviation
Let’s address the subject of standard deviation, but not from a risk perspective, but rather as a dispersion measure. Way back in 1997, when the AIMR Performance Presentation Standards (AIMR-PPS(R)) introduced the requirement for firms to disclose a measure of...
by admin | Sep 25, 2009 | GIPS, risk, Sharpe ratio, Standard Deviation
Okay, so the decision has been made: effective January 2011, GIPS compliant firms must report a 36-month annualized standard deviation, on an annual basis (that is, for all years starting with 2011). Further clarity is in order. First, is standard deviation risk?...
by admin | Jul 24, 2009 | GIPS, risk, Standard Deviation
Standard deviation is a commonly used statistic, well known by many long before they enter the world of performance measurement, which serves multiple purposes and thus engenders confusion.The GIPS 2010 draft proposed a requirement that a 36-month annualized standard...
by admin | Jul 16, 2009 | GIPS, risk, Standard Deviation
Continuing our discussion on some of the key findings from the feedback to the proposed changes to GIPS(r) …Recall that the Executive Committee proposed a new recommendation, 0.B.2, that compliant firms provide their existing clients with a copy of their...
