The long-awaited third edition of the Global Investment Performance Standards (GIPS(R)) Handbook is now available. This book is a companion whenever I do a verification. I find it to be an invaluable compendium to the Standards, and a valuable resource that helps...
Performance Perspectives Blog
Thoughts on performance measurement from David Spaulding and other members of our team.
GIPS Standards Handbook Now Available; TSG to Provide Copies to GIPS Verification Clients
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Getting our attribution right
In last Friday's WSJ, Cameron McWhirter had an article titled "To Quote Thomas Jefferson, 'I Never Actually Said That,'" in which he refutes many quotes that are incorrectly attributed to our America's third President (and one of our Founding Fathers, author of the...
The ever befuddling world of materiality
Today's post was inspired by an op-ed piece in this weekend's WSJ: "Madoff Got Away, But Netflix Won't," by Holman W. Jenkins, Jr. Jenkins discusses how Netflix CEO Reed Hastings' Facebook post that the company's "customers had streamed a billion hours of video in the...
Minimum requirements for Karnosky-Singer attribution
Many software vendors and custodians claim to offer the Karnosky-Singer multi-currency attribution model, but do they really?The name has become synonymous with a robust approach to identifying the contributions from currency movements on a portfolio's excess...
Some portfolio managers are more erinaceous than others … explained
One of the daily alerts I subscribe to is the "word of the day," from dictionary.com. Many of the words are quite fascinating, and today's struck me as one that was worthy of being highlighted in a post. Chances are you've already guessed what the word is.erinaceous...
Filling in the gaps of performance … or not!
My son, Chris, and I had a preliminary meeting with someone who is looking to obtain compliance with the Global Investment Performance Standards (GIPS(R)). He left his prior firm and has recently created an account that is being managed in the same fashion as those he...
Blending MWRR & TWRR
The same question has come up twice in the past week, so I thought it worth posting.A manager manages several different accounts for the same client. Some returns are money-weighted (MWRR), some time (TWRR). The manager wishes to consolidate the accounts to present a...
At the risk of upsetting some GIPS folks, I offer the following thoughts …
I participated in the rewriting of the wrap fee (aka SMA (Separately Managed Account)) guidance, as a member of the then AIMR-PPS(R) Implementation Committee. This was the rewrite of the earlier rewrite, that was handled by a single (un-named) member of this...
Bottom up attribution
A colleague asked me for some details on bottom up attribution. I then asked for the context in which he was speaking, since knowing the context is important.If we're talking about a "bottom up" manager, who doesn't take allocation into consideration, one could argue...
A different kind of attribution
When I teach our Performance Fundamentals and Attribution classes, I often say how we frequently borrow concepts from other places: attribution is just one example. We didn't come up with the idea of attributing an event to a cause, or determining how various causes...