Ernie Ankrim's March-April '92 FAJ "Risk-Adjusted Performance Attribution" article is one that I came across in my doctoral research. So far it's the only one I've found that addresses this topic (I reached out to Ernie in the hopes he'll pen one for The Journal of...

The EMEA chapter of the Performance Measurement Forum held its Spring meeting in Brussels this week, and as usual, it was fun and informative. Because of the frequent use of the term "best practice," I asked the members to offer their definitions of this expression....

I have written about this topic in the past: that is, how, in most cases, hedge funds should find compliance with the Global Investment Performance Standards (GIPS(R)) pretty simple. However, as a result of an email conversation with TSG's first Africa-based...

Last week was extremely hectic, with travel and TSG's fourth annual PMAR (Performance Measurement, Attribution & Risk) Europe conference in London (which was a HUGE success, by the way (thanks for asking!)). The event itself provided me with material,...

When I was in politics I was quoted almost weekly, about one thing or another. And I quickly learned that despite all that you may share with a reporter, you cannot and never will control what is written. Sometimes, what gets quoted is not what you had hoped, while at...

You are probably familiar with the phrase in today's post title. It's clearly a "shot" at teachers and professors, is it not?Its presence was inspired by Steve Campisi's retort to yesterday's post. It was evident that he is, at least at times, uncomfortable with the...

In the course of some research I came across a working paper by A. Basso and S. Funari (dated September 2001) titled "A generalized performance attribution technique for mutual funds." Please don't let the title fool you: this isn't about performance attribution....

A subject that has come up occasionally, but that has gotten little attention (and none formal), is the idea of "performance holidays."These arise at times when a client makes a significant contribution to their portfolio, knowing that because of the nature of the...

Major League Baseball does this every year, one way or another.That is, each year, based on a batter's great start in pounding out home runs, a pitcher's strikeout prowess, or another player's extraordinary early season feats, someone decides to annualize (or...

Last week I mentioned that there will not be a 2015 edition of the Global Investment Performance Standards (GIPS(R)). We're curious what you think about this. And so, please respond to our survey to share your thoughts. It is VERY brief:Please join in. We'll publish...