At the core of performance measurement is the rate of return. While we are often distracted by attribution, risk, and the Global Investment Performance Standards (GIPS(R)), the ROR is fundamental. And so, there are some key points we should agree on. 1. Use...
Performance Perspectives Blog
Thoughts on performance measurement from David Spaulding and other members of our team.
10 Key points about rates of return
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A case for a mixed cash flow treatment policy
Most of those who calculate rates of return have settled on either the end-of-day or start-of-day treatment for cash flows. Some time ago I arrived at the belief that a mixed treatment is better: Inflows: start-of-day Outflows: end-of-day. While in bed one...
Are big contributors always good to have in your portfolio?
Contribution, aka "absolute attribution," is a commonly used measure of performance. It's simply the return of whatever we're evaluating (securities, sectors, etc.) times its weight. We sum these values up, and they should equal the portfolio's total return, but may...
Webinar on incorporating GIPS into your firm’s sales and marketing
Two things to remember about performance attribution
To see a World in a Grain of Sand, And a Heaven in a Wild Flower, Hold Infinity in the palm of your hand, And Eternity in an hour William Blake I believe there are two major things that performance measurement professionals need to know about attribution. #1...
Order dependence vs. independence
You may recall the commutative property of math- ematics, which essentially speaks of changing the order in which we do the math. This property holds for addition and multiplication; for example: You'll may also remember that it doesn't hold for all...
10 Key points about performance attribution
While the role performance attribution has continued to grow within the investment industry, it is, in the words of "Brinson, Hood & Beebower," still evolving. And in its evolution, there remain areas that need to be re-explored, reconsidered, revisited, and...
Not reporting the impact of currency fluctuations on mutual fund returns because (a) you don’t have to and (b) because it can’t be done … considered
I often find the WSJ enlightening. Today provided a very insightful article by Chana R. Schoenberger ("Test Your Smarts ... on Currency Effects", page R5), where I learned that at least some fund analysts believe they cannot tell the impact of currency fluctuations on...
10 Common GIPS non-fatal mistakes
The Global Investment Performance Standards (GIPS(R)) are complex and often confusing. And while we have identified common mistakes which can lead to non-compliance (recall that GIPS is very "black-and-white," with no "materiality" for compliance: you either are or...
What kind of life do you wish to pursue?
Every once in awhile I want to read some poetry. Yesterday I turned to a book of John Keats’ work. In reading part of the introduction, I was motivated to read some of the letters that are included: it’s amazing how letter writing has become a "thing of the past.,"...