One of the topics which often results in debate is the interaction effect. Recall that in performance attribution, specifically with the "Brinson models," we have two effects: allocation and selection. Depending on how we calculate these effects we may have a third:...

A first principle is refers to "any axiom, law, or abstraction assumed and regarded as representing the highest possible degree of generalization."Fields such as philosophy, mathematics, and physics have them. Does performance and/or risk measurement? I think there...

It has become fashionable here in the United States to move holidays to a Monday or Friday, so as to have a three-day weekend. This has happened with Memorial Day and Veterans' Day, for example. I was born on Veterans' Day (what used to be Armistice Day), and I...

I had a recent conversation about the UAPS (Universal Advisor Performance Standards), which provides the ability for a compliant firm to show a representative ("rep") portfolio's performance. I mentioned that the white paper is a draft and subject to change. However,...

At TSG's PMAR Europe conference earlier this month, one speaker suggested that Bill Sharpe's revised eponymously named risk-adjusted return is more typically employed than the original. While I don't have a lot in the way of empirical evidence, I believe...

"It's good to be king" (King Louis XVI, from History of the World, Part I)Responsibility for crafting rules can be quite a challenge, hefty responsibility, and difficult undertaking. It's so easy for things not to work out as we'd like, for errors to be...

Surely I am not the only one whose reaction to this photo and caption on the front page of this weekend's WSJ was different than what was intended."Germany Celebrates Greek Exit"?!?!?!From what? The Euro?Nah. From the European Cup. I was in Dublin Friday night and...

While a number of senior performance measurement professionals have taken and passed the CIPM® (Certificate in Investment Performance Measurement) exams (e.g., Carl Bacon, Sandra Hahn-Colbert, Douglas Lempereur, Annie Lo, Neil Riddles, Debi Rossi, Tim Ryan, Jed...

At this year's PMAR (Performance Measurement, Attribution & Risk) North America and PMAR Europe conferences, I provided an update on research I'm doing, contrasting the results by using monthly holdings-based attribution versus monthly transaction-based...

Thanks to Philip Lawton for posting this news. Make that, exciting news. As Philip explained, the Canadian Securities Administrators have proposed amendments to the National Instrument 31-103 Registration Requirements, Exemptions and Ongoing Registrant Obligations (NI...