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...
by admin | Jun 11, 2009 | money-weighting, Returns, risk, Standard Deviation, time-weighting
Continuing our discussion of Michael Lewis’ Moneyball, I think there’s a HUGE parallel between baseball statistics and what we do in investment performance measurement. Both deal with measuring performance: the performance of baseball players / the...
