by admin | Jan 8, 2010 | money-weighting, rates of return, time-weighting
I’m spending most of this week on an assignment for a client who is engaged in a lawsuit; well, actually I’m doing the work for the client’s attorney. I’m charged with calculating returns for the stocks in the portfolio, and was given only...
by admin | Dec 30, 2009 | CIPM, ethics, GIPS, Global Investment Performance Standards, money-weighting, Returns, time-weighting
Calculating rates of return really isn’t that difficult. And while we may debate whether returns should be calculated using money-weighting or time-weighting, such issues pale in comparison with the broader aspect of ethics. I must confess that I initially...
by admin | Nov 27, 2009 | Returns, time-weighting
I stumbled upon a website today that provided the following brief explanation about returns: “To evaluate the performance of a portfolio manager, you measure average portfolio returns. A rate of return (ROR) is a percentage that reflects the appreciation or...
by admin | Nov 17, 2009 | IRR, money-weighting, time-weighting
I got an e-mail from a retail client this week. That is, a retail client, whose rep works for one of our brokerage clients. This hadn’t happened before. This individual’s rep had passed him one of the issues of our newsletter, to explain how they calculate...
by admin | Oct 26, 2009 | GIPS, money-weighting, time-weighting
Several years ago I pleaded with the then, “powers that be,” to loosen the rules regarding the use of IRR for GIPS(R) compliant firms. At that time, the ONLY asset class for which the rules applied was private equity. The soon-to-be-published GIPS 2010...
by admin | Oct 1, 2009 | GIPS, Returns, risk, time-weighting
Methodology, like sex, is better demonstrated than discussed – E.E. Leamer I’m reading Measurement, Design and Analysis by Pedhazur & Schmelkin for a course I’m taking and am finding it quite interesting. While we often address topics such as how...
