Performance Measurement Conference? We’re counting down (or is it up?) to 30! My, how time flies (as the saying goes)! We launched the PMAR conferences (Performance Measurement, Attribution & Risk) in 2003. Our conference schedule for 2019 is: PMAR North America XVII (Philadelphia, PA) – May 14 & 15 PMAR Europe X (London) – June […]
Read MorePMAR 2019 Agenda Draws a Singular Question We recently published the agenda for our upcoming PMAR (Performance Measurement, Attribution & Risk) North America conference, and have been asked the same question by several colleagues: “Why isn’t there a GIPS® 2020 session?” Well, before I answer that, I’ll make a slight correction to what I just […]
Read MoreETFs as benchmarks: is it time? A topic that continues to gain attention is the massive increases that have occurred with market indexes. We regularly hear stories of firms being required to pay multiples of what they had been for some of the major ones. Despite the evidence that less expensive equivalents are just as good,* […]
Read More ETFAt the end a recent GIPS® 2020 webinar, I included a slide like the one above. It was, in a sense, a “word from your sponsor.” This is the time of year when many firms begin to think about their next year’s verification. Before you get too far down that path, we hope to have […]
Read MoreYou’ve probably seen this bumper sticker that reads something like “Don’t follow me, I’m lost too.” Well, an analogous idea arises in school, when you look at what a neighboring student answered to an exam question, thinking that they surely got it right. But what if they didn’t? A sure way to get caught cheating […]
Read MoreFor some time I’ve grown tired of seeing the seven (now eight) benchmark criteria credited to Bailey, Richards & Tierney (2007. “Evaluating Portfolio Performance”). I first learned of them when I took the then CGIPS now CIPM(r) Principles Exam, roughly 11 years ago: Unambiguous Investable Measurable Appropriate Reflective of current investment opinions Specified in advance Owned These are considered […]
Read MoreThe following question was recently sent to me: suppose a firm uses a blended benchmark that rebalances quarterly… how should they calculate external dispersion? I guess I hadn’t given much thought to the possible challenges with rebalancing quarterly benchmarks, but a solution came to me rather quickly, that I want to share with you. Of course, […]
Read MoreOne thing that is often overlooked is that William F. Sharpe, PhD, in his paper that introduced the now eponymously named “Sharpe ratio,” referred to his measure as “reward to variability.” He contrasted this with Jack Treynor’s earlier published method, which he labeled “reward to volatility.” The only difference between the measures was what they chose […]
Read MoreShouldn’t GIPS® 20/20 have its own logo? That thought occurred to us a couple of months back. In fact, I sent a note to the CFA Institute suggesting it. However, I suspect they’re probably a tad too busy to be worrying about a logo. And so, we decided to design one. Well, actually we didn’t design […]
Read MoreErring on the side of transparency In a recent Wall Street Journal editorial (“A Scarlet Title IX Letter,” May 8, 2018), the writer spoke of the potential requirement that universities reveal the names of students, past and present, who have “been found responsible [for] rape, sexual assault, or any related or lesser included sexual misconduct.” It mentioned […]
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