by admin | Apr 21, 2012 | Investment Performance Guy, News
Reminder! This coming Monday, April 23rd at 11:00 am (EST), Jed Schneider, CIPM, FRM will discuss highlights from TSG’s recent performance attribution survey. He will present findings, and compare the results with previous years’ surveys. You...
by admin | Apr 20, 2012 | GIPS, Global Investment Performance Standards
In doing GIPS(R) (Global Investment Performance Standards) verifications under the new version, I’ve witnessed a few firms who insert “N/A” for years prior to 2011, when they chose not to report the 3-year annualized standard deviation. Not showing...
by admin | Apr 19, 2012 | GIPS, Global Investment Performance Standards
Several years ago, TSG published the first guide on the presentation standards. At that time we still had the AIMR-PPS(R), and GIPS(R) was just getting started. Well, the book sold out pretty quickly, and we had plans to revise it, but hadn’t made much...
by admin | Apr 18, 2012 | performance attribution, residuals
One thing I will discuss at this year’s TSG PMAR (Performance Measurement, Attribution & Risk) conferences is the impact of benchmark changes to the attribution residual. While we recognize that the holdings-based model suffers from residuals when...
by admin | Apr 17, 2012 | attribution, performance attribution
On my “to do list” is the task to write an article an article for The Journal of Performance Measurement(R), detailing some of my findings from research I’m doing regarding the impact of trading on the accuracy of the holdings-based...