by admin | Sep 17, 2009 | GIPS, time-weighting
Just got a question from a client that I think is worthy of posting. First, is “total return” the “industry standard.” Before answering this, what IS “total return?” Total return simply means that the return includes income. It used...
by admin | Sep 14, 2009 | cash flows, GIPS, time-weighting
I’m reviewing a client’s calculation process and learned that they previously employed a mid-day approach: note that they calculate returns daily but simply assumed that the flows occurred mid-day. I have never liked mid-day for cash flows. Why? As you may...
by admin | Sep 10, 2009 | time-weighting
I understand that there is no universally agreed upon definition of what science is, and that’s probably a good thing. But I suspect most people believe that science results in facts. We sometimes hear something being “art and not science, suggesting that...
by admin | Jul 23, 2009 | Dietz, M-squared, Modigliani, risk, risk-adjusted return, time-weighting
While I doubt that they were aware of it, when Franco and Leah Modigliani developed their risk-adjusted return measure, M-squared, they were extending an idea first promulgated by Peter Dietz in his 1966 thesis, from which we obtained the notion of time-weighting and...
by admin | Jun 19, 2009 | 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 (p. 27):...
by admin | Jun 18, 2009 | attribution, money-weighting, Reporting, time-weighting
One area that often comes up in discussions is client reporting. There are no standards on this topic, although some guidance has been offered.Reporting is made complex for a few reasons. First, at times the client dictates what they want, in which case the...
