We had our March Performance Measurement Think Tank call earlier this week, and as usual, it was a good session of questions and polls. What did we cover? Discussion topics/questions included: Do GIPS requirements extend to third-party performance preparers? Is there GIPS guidance planned for ETF strategy managers? If I don’t register my firm’s claim […]
Read More Brinson-Fachler, CFA Institute, CIPM, ETFs, GIPS, GIPS standards, John D. Simpson, large cash flow, off-benchmark decisions, performance attribution, performance measurement, The Spaulding GroupBack in November, I spoke on GIPS and hedge funds at a conference hosted by Rimes. I was reminded the other day that I planned to share this video snippet here, but hadn’t gotten around to sharing the post. But, the topic is still quite relevant, so, here it is…
Read More CIPM, GIPS, hedge funds, John D. Simpson, performance measurement, RIMES, The Spaulding GroupWe had our September Performance Measurement Think Tank call earlier this week, and it was another interesting session of questions and polls. What did we cover? Discussion topics/questions included: What are we seeing in the industry with respect to software vendor consolidation? What is required/recommended with respect to intra-month valuations of alternative assets? What are […]
Read More alternative assets, attribution analysis, carve-outs, composites, credit default swaps, fair value, GIPS, interest rate swaps, John D. Simpson, performance attribution, performance measurement, Performance Measurement Think Tank, software vendors, strategy level tagging, The Spaulding Group, valuationsIn a previous post I covered how to calculate standard deviation using the TI BA II Plus calculator; in a more recent post I covered how this calculation could be done on the HP 12C calculator. CIPM candidates should also keep in mind that those methods can be used to calculate tracking error. For example, […]
Read More CIPM, CIPM Expert, CIPM Principles, downside deviation, performance measurement, risk measurement, semi-deviation, standard deviation, statistics, tracking errorOccasionally, when teaching our classes, I get a question along the lines of, “Can you explain what the Sharpe Ratio is, in 100 words or less?” Here’s what I say (I’ll try to be concise, but it may be over 100 words… You could have chosen to invest without taking risk by investing in the […]
Read More CIPM, CIPM Expert, CIPM Principles, John D. Simpson, performance appraisal, performance measurement, risk measurement, risk-adjusted performance, Sharpe ratio, standard deviation, The Spaulding GroupA couple of CIPM candidates have contacted me recently asking for an explanation of one of the exhibits in the CIPM Principles Level curriculum that deals with the subjects of stated annual rates and effective annual rates. That exhibit (Reading 4, Exhibit 3) shows a set of “equivalent effective annual rates of return” at different […]
Read More CIPM, CIPM Expert, CIPM Principles, earned annual rate, effective annual rate, interest rates, John D. Simpson, performance measurement, rates of return, stated annual rate, The Spaulding Group, yieldsIn a previous blog post, I covered how one can make use of the statistics worksheet on the TI BA II Plus calculator to calculate standard deviation. In today’s post, I will cover the keystrokes for doing this on the statistics calculator on the HP 12C calculator. CIPM candidates are required to be able to […]
Read More CFA, CIPM, CIPM Expert, CIPM Principles, GIPS, HP 12C, John D. Simpson, performance measurement, risk measurement, standard deviation, statistics, The Spaulding Group, tracking errorAn Expert Level CIPM candidate recently emailed me regarding a question on the sample exam found on the CFA Institute website in the CIPM Program area at this link. Specifically they asked a question regarding question #12, which asks about the shortfall risk of the portfolio compared to the shortfall risk of the benchmark. The […]
Read More CIPM, CIPM Expert, downside deviation, downside potential, downside risk, ex-post risk, John D. Simpson, return measurement, risk measurement, shortfall risk, The Spaulding GroupReaders of my blog at the former location may remember that I covered this subject in a previous post… somehow that post did not get converted to the new location of the blog on this website, so I am re-addressing the subject here. Thus, most of the content is from the post on the previous […]
Read More CIPM, CIPM Expert, CIPM Principles, CIPM Program, GIPS, internal rate of return, IRR, John D. Simpson, money-weighted return, rate of return, return calculations, SI-IRR, since-inception internal rate of return, The Spaulding Group, time-weighted return, TWRContinuing on the theme of errata, the CIPM Program recently made a change to one of the Learning Outcome Statements in the Return Measurement study session at the Expert Level. I am happy to see this change made, as I made this suggestion several years ago. One of the Learning Outcome Statements that has been […]
Read More call options, CIPM, CIPM Expert, derivatives, John D. Simpson, option contracts, performance measurement, return calculation, The Spaulding Group