by TSG | Jun 15, 2012 | attribution, Performance Perspectives Newsletter, uaps
VOLUME 9 – ISSUE 9 June 2012 Download PDF...
by admin | May 29, 2012 | attribution
At last week’s North America Performance Measurement, Attribution & Risk (PMAR) conference, I provided an update on research I’m doing on holdings vs. transaction based attribution. Many investment professionals are aware that the holdings based...
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...
by admin | Mar 5, 2012 | attribution, money-weighting, performance attribution
Last week I had a post about holdings-based attribution, where I laid the groundwork for future commentary on analysis I’ve been doing on this subject, where I look at the results using both holdings and transaction-based methods. Well, it resulted in comments...
by admin | Mar 1, 2012 | attribution, performance attribution
TSG recently completed its most recent survey, which deals with performance attribution. Jed Schneider, CIPM, FRM discussed many of the results at a luncheon held in NYC, where we learned that, as with the prior three editions of this research, most folks prefer...
by admin | Dec 14, 2011 | attribution
I am working on a research project, where I am creating a variety of portfolios to compare the implementation of transaction-based attribution versus holdings-based. I began this study more than a year ago with my first test portfolio, and am now putting several more...
