In our classes I often comment how much of what we do in investment performance and risk is borrowed from other disciplines. For example, "attribution" is employed by many, to identify the source(s), cause(s) and/or contributor(s) of something.In today's WSJ, Jason...
Performance Perspectives Blog
Thoughts on performance measurement from David Spaulding and other members of our team.
Getting our attribution correct
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Happy New Year
Hoping that 2014 is a grand year for you. My it prove to be a prosperous, healthy, rewarding, stimulating, challenging, enlightening, stupendous, exciting, fulfilling, and pretty much fabulous one! The U.S. stock market had a great 2013; may this year be even better!
A great example of why BF is better than BHB
The late Damien Laker once opined that there was no difference between the two "Brinson models," Brinson-Fachler and Brinson-Hood-Beebower. I went out of my way to enlighten him on this subject, pointing out that the allocation effect for the latter uses only the...
Be mindful of the costs before setting new rules
In yesterday's Wall Street Journal there was an article regarding the impact of the so-called "Volker Rules" on small banks ("Banks Play Small Ball Vs. Volker," by Andrew B. Johnson and Andrew Ackerman). In it we find the following: "In a legal filing with the U.S....
Seasons’ Greetings!!! Merry Christmas!!! Happy New Year!!!
I am taking this week and next week off, so won't be posting very much. My office closed early today, and will close early on New Year's Eve. And, of course we'll be closed tomorrow and New Year's Day.2013 has been a grand year for our company in so many ways. I am...
Why do we compound returns?
John Simpson, CIPM and I are each (individually) teaching our Fundamentals of Performance Measurement course this week to two different clients: CalPERS in California and Florida State Board of Admin in, well, Florida, where else? One topic we take up is "multi-period...
Acknowledging an anniversary and offering an opinion
We are putting the "final touches" on The Journal of Performance Measurement's (R) Supplement issue, that will include summaries of two of our surveys: attribution and presentation standards. While writing my letter (as publisher), I realized that it's been 20 years...
Francis Xavier Desharnais
It is with deep sadness that I inform you of the death of Frank Desharnais. Frank was a bona fide performance measurement professional: with more than 25 years in our industry, Frank held leadership roles at Lazard Asset Management, Deutsche Asset Management,...
Annualization and leap years … there’s the rub!
Nine years ago I was reviewing a client's performance system, and noticed on one of their reports they showed "annualized" and "cumulative" returns for the prior one, two, three, five, ... years. It struck me as quite odd that the prior year's cumulative and...
Dissertation Defense
For those of you who've been wondering...finally!