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...
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...
