While meeting with a London-based verification client, the subjects of fraud as it relates to GIPS(R) (Global Investment Performance Standards) and Bernie Madoff came up. They are related, in a way.How did Bernie get away with it? To put it simply he (a) had a...
Performance Perspectives Blog
Thoughts on performance measurement from David Spaulding and other members of our team.
How did Bernie get away with it? What’s the role of the verifier in identifying fraud?
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Hooked on phonetics
Serving in the armed forces provides many benefits. For me, it meant spending 39 months in Hawaii (which my wife and I jokingly refer to as my "hardship tour") and another year+ in Oklahoma (I was on active duty at the tail end of the Vietnam War (when you...
What approach needs more data, holdings or transaction-based attribution? (Part II)
Earlier this week I mentioned that a colleague told me that transaction-based attribution requires a lot more data, which opens it up to the risk of errors being introduced. Two quick responses arise:1) Is it true that transaction-based attribution requires more data...
Caught between that proverbial “rock and a hard place.”
Here's a bit of a challenge for you.GIPS(R) (Global Investment Performance Standards) includes the following rule:What if you're an SEC (U.S. Securities & Exchange Commission) registered firm that has a "40 Act" mutual fund, that has additional fees removed;...
What happens when you don’t follow the rules???
Often, firms and individuals who don't behave in accordance with rules, regulations, or standard practices, somehow get away with it. There's no way to tell how often this happens, though we know it does.But, there are times when you they caught, and this can be a...
What approach needs more data, holdings or transaction-based attribution?
Yesterday I successfully defended my dissertation proposal (hurrah!). The topic is holdings and transaction-based attribution, and, as often happens for the student, I found myself providing insights into a topic my committee members generally know little about. In...
PMAR Video Highlights
TSG's annual Performance Measurement, Attribution & Risk (PMAR) conferences have become the performance conference to attend. Performance Measurement Professionals rave about its uniqueness, innovations, quality speakers and content, and awesomeness! Here's a...
Reporting on consolidated accounts
This topic has come up a few times recently, so I thought it worth touching briefly.The situation: a client's account holds multiple portfolios, which are handled by different managers. Some have time-weighted returns, while others have...
Dealing with negatives can be a challenge, in so many ways
It seems that when we come across negative values, or when trying to express differences between lower and higher values, from the perspective of the lower, we often have a difficult time adjusting. Handling positives is pretty simple; perhaps because we began our...
Transaction vs. Holdings Based Attribution
I am pleased to announce that the CFA Institute has published a brief article I wrote, comparing holdings and transaction-based attribution, in their online newsletter.The article is based on research I'm doing for my doctoral dissertation, which I hope to complete...