by admin | Jul 10, 2011 | money-weighting, time-weighting
This weekend’s WSJ has once again provided us with a topic to address, specifically from Jason Zweig’s column, titled “Why We Can’t Tell if the Market is Half Empty or Half Full.” He points out that “For most investors, getting a...
by admin | Jun 29, 2011 | IRR, money-weighting, time-weighting
“Men have had recourse to many calculations”Ecclesiastes 7: 29What’s the interpretation of this line? Sadly, my bible doesn’t reference which return formulas the writer was referring to, but one with an open mind can conjecture that it’s...
by admin | Apr 20, 2011 | GIPS, Global Investment Performance Standards, money-weighting, time-weighting
Of late there’s been some discussion occurring regarding pension funds (and similar entities, such as endowments, foundations, and even central banks; i.e., “asset owners”) becoming compliant with the Global Investment Performance Standards (GIPS®)....
by admin | Apr 7, 2011 | arithmetic attribution, money-weighting, time-weighting
While I often speak of returns being a matter of perspective (that is, whether we’re speaking about how the manager did or how the portfolio or client did) to determine whether time- or money-weighting should be used, the same holds true with attribution. I was...
by admin | Apr 6, 2011 | money-weighting, plan sponsor, time-weighting
I recently suggested to a plan sponsor that they consider using money-weighting as well as time-weighting, pointing out that since they control the cash flows, such an analysis would provide some value. Well, today I got an email which offered the following:It appears...
by admin | Mar 4, 2011 | GIPS, Global Investment Performance Standards, money-weighting, time-weighting
I recently wrote a letter to Pensions & Investments, which was published in their February 21 issue. Titled “Flaw in time-weighting return,” it was a response to an earlier P&I article that discussed how plan sponsors need to ensure they’re...
