I'm completing a report for a client who asked me to review their performance measurement system and processing. They offer their clients the option of treating flows as middle-of-day events. I strongly oppose this method. First, there's a reduction in accuracy: we...
Performance Perspectives Blog
Thoughts on performance measurement from David Spaulding and other members of our team.
In the middle of the day…
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Like a Rolling Stone…
My West Coast amigo, Juan Simpson, has posted something regarding the Rolling Stones. Now, the trick is to figure out what the Rolling Stones have to do w/performance measurement ... well, check it...
What IS risk-free?
I'm conducting a review of a client's performance reports. When reporting by country, if there is no risk-free rate for that country, a zero value is used (e.g., for Sharpe ratio, Jensen's alpha). Why?Risk-free rates can be quite complex; perhaps more than they need...
Lost lessons
This week has seen the conclusion for the six-year run of the television show, Lost. My wife and I have been avid viewers for some time and anxiously awaited this final episode. I like the show so much that I am a "fan" of the show on Facebook. And this past week has...
Too much information can be counterproductive
I'm listening to Malcom Gladwell's Blink: The Power of Thinking Without Thinking. I've read two of his other books (The Tipping Point: How Little Things Can Make a Big Difference and Outliers: The Story of Success) and enjoyed them considerably, and so am not...
More on the math … start vs. end-of-day treatment
An observant reader identified an error in my math in yesterday's post, which I should have caught immediately. Long ago I realized that outflows should be treated as end-of-day events. Let's consider yesterday's post a bit more. We started the day with $327,000;...
An invite to see sample GIPS presentations
I'm taking some liberties here, as this is mainly John's blog, but knowing that most of the readers probably work for firms that claim compliance with the Global Investment Performance Standards, I thought you might find this invite of interest.Many firms struggle...
What to report
I got an e-mail from a software vendor client who wanted to know what the "standard" is regarding period reporting of benchmark returns. It seems they have a client who wants to see 3 1/2 year benchmark performance (because their portfolio is for 3 1/2 years) but the...
Annualizing Yield to Maturity
A client called yesterday asking about annualizing yield to maturity (YTM). Can this be done and if so, how? One should recall that the Yield to Maturity of a bond is calculated by using the internal rate of return, thus YTM = IRR. IRR is often expressed across a...
Timing is everything
Please allow me to vent a bit more regarding the SEC / Goldman Sachs news. In an editorial in yesterday's Wall Street Journal we learned that last Friday, when the SEC announced its lawsuit alleging fraud by Goldman Sachs, they announced the publication of an...