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...
Performance Perspectives Blog
Thoughts on performance measurement from David Spaulding and other members of our team.
Why do we compound returns?
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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!
Handling cash when trading
Asset management firms have, for the past few decades, generally agreed that "trade date" (t/d) accounting is preferred. This practice has been so common that custodians regularly provide trade date reports (where they used to only do settlement date (s/d)) and...
How often should a GIPS compliant firm be verified?
TSG surveys on the Global Investment Performance Standards have consistently shown that most compliant firms get their verifications done annually. But is this the optimal frequency? Well, let's consider this topic for a moment.How about more often than annual? A...
We’re winning … finally! Money-weighting is catching on!
Having preached the benefits of money-weighted returns for the past several years, along with a group of comrades, including Steve Campisi, CFA, I'm quite pleased to see that the idea is catching on.GASB, the U.S. Government Accounting Standards Board, now requires...
Let’s disaggregate aggregation
I recently learned of a firm that has enhanced their system to provide the ability to aggregate multiple portfolios for performance reporting. They reference GIPS(R), so clearly the fact that it's permitted within the Standards for composite returns is seen as...
Gilbert Beebower
I just learned (via P&I, November 25, page 4) of the passing of Gilbert Beebower.You may recall that he, along with Gary Brinson and L. Randolph Hood, wrote a piece for the Financial Analysts Journal (1986: "Determinants of Portfolio Performance") that helped in...