I've been having a discussion with a colleague on the topic of index data. I suspect that many asset managers don't give these statistics much thought, simply taking in whatever values they're given by their data providers. But should they? Many performance...
Performance Perspectives Blog
Thoughts on performance measurement from David Spaulding and other members of our team.
How’s your index data? Is it clean enough?
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Sensitized to the lowest common denominator
Earlier this year I attended a football (soccer, for you Americans) game at Wembley Stadium in London. During half time my host informed me that we weren't permitted to take our beers into the "pitch" (to our seats, in essence) because of prior problems with rowdy...
Personal returns … how do they fit in?
I am conducting a GIPS(R) (Global Investment Performance Standards) verification for a client who asks their clients to provide a "personal benchmark." That is, the return the client hopes to get on an annual basis. Assuming there will be cash flows during the year,...
20 years and counting
Earlier this week my TSG colleagues and I went to lunch to celebrate our 20th anniversary in business. And, they presented me with a beautiful pen to commemorate this event.Because we have a decimal (i.e., base 10) system of counting, we focus on years ending with...
A client reporting “no no”
It appears at times that reports are designed to convey how smart the sender is. And while this is perhaps not normally the intent, it can nevertheless be the message. Sending a client, for example, the results of a complicated fixed income attribution model, when we...
“Logic does not require empirical verification”
The above quote comes from Nassim Taleb's Fooled by Randomness, which I started to read over the weekend while vacationing at the Jersey Shore (light reading). I'm finding that the book, as with his later Black Swans, has many interesting insights. But this quote, to...
Performance and risk from a parallaxical perspective
I want to thank William McKibbin for introducing me to a new word: parallax. He used it in a response to one of my recent posts and I must admit that I was forced to look up its meaning, because it was new to me. Dr. McKibbin has a blog which I frequently visit, and...
Whose risk is it anyway?
Last week I interviewed Northfield Information Services' founder and president, Dan diBartolomeo for The Journal of Performance Measurement(R). Dan shared many insights with me, and I'm sure our readers will find his thoughts and comments quite compelling. One thing...
Going back in time
An interesting question was posed to me recently; one that I hadn't previously thought about. A client who wants to become compliant with the Global Investment Performance Standards (GIPS(R)) has three strategies, each of which has been in existence for 20 years, and...
Be careful when negative market values show up!
I'm reviewing a client's performance measurement system and came across an interesting example of how negative market values can wreak havoc with your reporting. What I'll be showing aren't exactly the numbers, but the problem is the same. We begin the month with $20...