While I have no empirical evidence to quickly draw upon, it's my belief that most firms either treat cash flows as "start-of-day" or "end-of-day" events. Such a convention is thought of as reasonable and even perhaps "best practice." Sadly, I must say that I believe...
Performance Perspectives Blog
Thoughts on performance measurement from David Spaulding and other members of our team.
Cash flow timing: it’s not as easy as you may think
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The seven most confusing things about the GIPS standards
Several years ago I coined the "3 Cs of Performance Measurement": Confusion, Change, and Controversy. The GIPS(R) standards are all three, and today's post will touch on the "confusion" part, specifically the seven most confusing things about the GIPS® standards....
Geometric attribution has residuals, too!
Not for multi-periods, but for single periods, geometric attribution has residuals! In a recent post about multi-period attribution, I mentioned that while it's true that arithmetic attribution is "linking challenged," resulting in residuals that require a smoothing...
Multi-period Performance Attribution
There seems to be a lot of interest in discussing multi-period performance attribution. In one of the LinkedIn groups, we've had quite a dialogue going on for the past few weeks, spurred by questions raised by our colleague, Kathleen Seagle. I thought I'd briefly...
The 7 Habits of highly effective … performance measurement professionals
Give credit where credit is due: the late Dr. Stephen Covey did a masterful job with his book, The 7 Habits of Highly Effective People. It became a well-deserved international best seller. Surely we can adopt the concept and apply it to our industry; specifically,...
VaR (Value at Risk) is bounded … risk isn’t
I'm in Hong Kong this week, teaching both our Fundamentals of Performance and Performance Attribution classes. While teaching the risk section of Fundamentals, I was explaining the characteristics of Value at Risk (VaR), and how, when one defines the confidence level...
Sandra Hahn Colbert
It is with the deepest of regrets that I inform you of the passing of our very dear friend and colleague, Sandra Hahn Colbert. We just learned that Sandra died yesterday, July 21. Some details regarding the funeral arrangements are below. We have known Sandra for...
Risk and numbers … not always so perfect together
In this weekend's WSJ there's an article titled "Risk Is Never a Strict Numbers Game." Well, you know I had to take a look. It comes from "The Norm Chronicles: Stories of Numbers About Danger and Death," by Bastland and Spiegalhalter. On the surface, this would...
Why it only makes sense to show rates of return (unless they’re pretty awful)
Jason Zweig wrote an article this past weekend in The Wall Street Journal, which also appears on his blog. It's getting a lot of attention. The CFA Institute's Facebook page links to it, First Rate has a page that recaps it, and several of us have posted a link...
William Sharpe, PhD: Nobel Prize Winner & Performance & Risk Measurement Hall of Fame Inductee!
My wife, Betty, and I visited Bill Sharpe yesterday at his home in Carmel, CA, to present him his Performance & Risk Measurement Hall of Fame award. I was in the area this week for a meeting with a client (CalPERS), and so took advantage of the trip to meet with...