by admin | Nov 18, 2009 | attribution, fixed income attribution
At last week’s Performance Measurement Forum meeting in Rome we briefly discussed the issue of “pricing effects.” That is, the effect that can arise when your portfolio’s prices don’t match what’s in the index. Recall that we...
by admin | Nov 17, 2009 | IRR, money-weighting, time-weighting
I got an e-mail from a retail client this week. That is, a retail client, whose rep works for one of our brokerage clients. This hadn’t happened before. This individual’s rep had passed him one of the issues of our newsletter, to explain how they calculate...
by admin | Nov 16, 2009 | risk, value at risk
At last week’s Performance Measurement Forum meeting in Rome I mentioned how during this most recent economic crisis the Value at Risk metric has demonstrated how little value it provides: what firm’s use of this measure provided them with any degree of...
by admin | Nov 13, 2009 | GIPS
Today at our European Forum meeting we learned that a Q&A has been issued regarding the Error & Correction Guidance Statement. Recall that this GS includes a requirement to report material errors in a presentation for a period of 12 months; this was a major...
by admin | Nov 12, 2009 | Investment Performance Guy, News
Patrick Fowler and I are in Rome this week for the Autumn session for the European chapter of the group. This is the second time we’ve held the meeting in this beautiful and historic city (the first time was when Italy was still using lira) and the third in...
