Hidden Figures: the movie My wife and I recently saw the movie "Hidden Figures," which is about the contributions that three black women made to the U.S. space program, starting in the early 1960s. It takes place in Virginia, which at that time was still a...
Performance Perspectives Blog
Thoughts on performance measurement from David Spaulding and other members of our team.
Hidden Figures in Performance and Risk Measurement
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Sources of errors in performance attribution
The need to acknowledge the existence of errors in performance attribution I found the above graphic today on Facebook, from the "I Love Mathematics" group. If you haven't figured it out, yet, I love mathematics. It occurred to me that a similar graphic could be...
GIPS: Claiming compliance but not verified? Not a good thing.
The Global Investment Performance Standards (GIPS(R)) are, to a large extent, quite flexible. For this post, I'll address one particular aspect: compliance. It's voluntary. You don't have to "pass a test" to claim compliance: just about anyone can do it. And...
The mysteries of excess returns
You no doubt have run into cases where returns don't seem to make sense. Well, the same thing can occur with excess returns. What's wrong with this table; specifically, the excess return? Last week I was contacted by one of our GIPS verification clients,...
Can Investment Consultants comply with the GIPS standards?
On the CIPM(R) group of LinkedIn I saw the following question posed: "Has anyone heard of GIPS being implemented for Investment Consulting firms? I.e., can investment consultants claim compliance with GIPS? Someone offered the following response: "That's a big...
Before you buy, verify! Or, at least get an independent check of a firm’s GIPS compliance claim
So, you're thinking of acquiring another asset manager; or, perhaps to merge with one. The other firm claims compliance with the Global Investment Performance Standards (GIPS®). Do you think it's worthwhile to have someone "double-check" their GIPS compliance...
Is the SEC’s recent F-Squared enforcement a “wake up call” to the investment industry?
F-Squared Enforcement by the Securities & Exchange Commission Perhaps you've never heard of F-Squared. The only reason I knew the name was because a few years ago, we were asked by a new advisor to help them become GIPS® compliant. They were going to use...
Benchmarks: what can / can’t you do?
Benchmarks & the world of ignorance It appears that there is a tremendous amount of misunderstanding within our industry regarding what firms can or cannot do with market index-based benchmarks. At the core, many investment professionals, including asset...
Shouldn’t we all have at least one “impossible dream”?
I'm reading Michael Caine's first autobiography, "What's it all about." It's actually a signed copy, that I suspect I purchased in London quite a number of years ago. I finally got around to reading it. It's fantastic. I just finished Chapter 19, which also...
A bit of trivia: what does “time-weighted” mean?
Why is it called time-weighted returns? Before I answer this question, it might help to explain where the terms "time-weighting" and "time-weighted" come from. It's not what you may think. No, Peter Dietz, who gave us the "Original Dietz" as well as the...