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 8, 2011 | attribution, performance attribution
I got an email from a client recently, asking how one should treat the case where a manager has zero exposure to one of the sectors in the benchmark.If you are using one of the Brinson models and simply use the formulas as written, you’ll find that the...
by admin | Oct 30, 2011 | CFA Institute, CIPM, CIPM Association, CIPM Exam Tips & Tricks, CIPM expert, CIPM Principles, GIPS, performance appraisal, performance attribution, performance measurement, TSG
Most of you have already taken the exam, so now I am hoping for the best outcome for all of you.I came across this picture today, which expresses what I try to do when teaching. Hopefully I explained things in as simple a fashion as possible to those of you who...
by admin | Oct 17, 2011 | CIPM, CIPM Exam Tips & Tricks, CIPM expert, hedge funds, market-neutral strategies, Menchero, performance attribution
An Expert Level candidate sent me a question asking about the formula (shown above) for the asset allocation decision for market-neutral hedge funds, as discussed in the reading, “Performance Attribution with Short Positions” by Jose Menchero, Ph.D.In...
by admin | Jul 27, 2011 | performance attribution
I was recently introduced to a new word, which if truth be known, I wish I hadn’t. But given that it’s an interesting word, I can see some applicability in our world of performance measurement.Idiopathic means “without a known cause.” My...
by admin | Apr 11, 2011 | arithmetic attribution, performance attribution
Steve Campisi returns as both a “guest blogger” and “guest animator,” sharing some of his insights on the Brinson models. I’m sure you’ll find his commentary of value.
