ETFs 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 ETFFor 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 MoreThe Spaulding Group has been at the forefront in providing education, information, and research, as well as fostering interaction regarding the high market index costs many firms and institutions are experiencing. We’ve moderated panel discussions, participated in and published a research study in The Journal of Performance Measurement®, addressed the topic in blog posts and our […]
Read MoreWith this post, I feel that I am risking a charge of blasphemy, as I dare to take on what appears to be something sacred: The benchmark criteria. What criteria? You know, those seven (now eight) items that the CFA Institute has championed for quite some time. They’re addressed in both the CFA and CIPM […]
Read MoreBenchmarks & 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 managers and asset owners, don’t understand that they are proprietary to the market index provider, and that provider […]
Read MoreToo many in our industry are unaware of the increases in benchmark costs. The Spaulding Group is committed to promoting market index cost transparency, in order to shed increased light on this topic. For some time now, The Spaulding Group has been working with three leading custodians (BNY Mellon, Northern Trust, and State Street) to […]
Read MoreI think this might be a record for blog post titles, but I came up with the second part, first, which is at the heart of the matter, and then the first came to me later, which adds some color to it. Dealing With Off Benchmark Bets What IS an “off benchmark bet”? It’s when a […]
Read More benchmarksNot for multi-periods, but for single periods, geometric attribution has residuals! In a recent post about multi-period attribution, I mentioned that while it’s true that arithmetic attribution is “linking challenged,” resulting in residuals that require a smoothing factor so that the linked excess returns match the linked excess return, geometric attribution has residuals for single periods (perhaps […]
Read More arithmetic, attribution, geometric, performance
Check out the signboard for The Spaulding Group’s PMAR Conference, to be held next week in Philadelphia! As you can see, our theme is superheroes! There is still space, if you want to attend, contact Patrick Fowler or Chris Spaulding!
Read More