This Halloween (October 31) at 11:00 AM (EST), John Simpson, Jed Schneider, and I will host our monthly webinar. This month has a theme ... I wonder if you can figure it out? It's titled: We will cover a lot of scary and interesting stuff about performance and risk...
Performance Perspectives Blog
Thoughts on performance measurement from David Spaulding and other members of our team.
A webinar like no other … kind of scary!
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Baseball and material errors
It is rare that people keep track of errors, but baseball, with its love of statistics, does just that: goof during a game and it will usually get recorded. In last night's Detroit Tigers vs. Boston Red Sox game, we were treated to three errors, two by the same...
Timing & GIPS Compliance
There are probably few documents that say as much about timing as the Global Investment Performance Standards (GIPS(r)). But our focus is more limited, and won't address everything that appears.One of the most important questions is when should a manager become...
Timing & Risk Reporting
How long before you report risk measures as part of your performance?Returns can be shown for a day, a few days, a week, a month, a quarter, a year, etc. Risk statistics typically rely upon a series of returns. But how many and which ones?The standard seems to be 36....
A week about timing, starting with returns
It occurred to me that we could spend some focused time on the issue of time (pun intended). Let us begin with rates of return.One of the ironies of performance measurement is that the term "time-weighting" has really nothing to do with the weighting of time; it's a...
Explaining what we do … in a picture
I occasionally describe the formulas we use as a series of bifurcations, starting with time- and money-weighting. And, sometimes I begin with a graphical representation. Well, this morning, I decided to take that graphic to its nth degree, and solicited input from my...
Far be it for ME to “rain on Warren Buffett’s parade,” but …
I was struck by a front page story in today's Wall Street Journal titled "Buffett's Crisis-Lending Haul Reaches $10 Billion." But it was actually the summary under "What's News" that initially got my attention: "Buffett's investments during the financial crisis have...
A geometric approach to materiality (Part III)
I didn't anticipate a third posting on this topic, but I received an interesting note from a reader that I wanted to share and comment on:I disagree with your thoughts on using "arithmetic relative" when considering material differences in portfolio returns. By...
A geometric approach to materiality (Part II)
When comparing geometric and arithmetic attribution, the following are often cited as advantages of the former:it's compoundable (meaning, that it links attribution effects over time without creating temporal residuals)it's convertible (that is, when we convert the...
A geometric approach to materiality (Part I)
I think my friend Carl Bacon will be proud of me for this post (no, I haven't been completely won over; I just see some merit in this limited case!). Talk is cheap: show me the numbers!The subject of materiality came up during this week's monthly Think Tank...