How to assess a pension fund’s performance

This is the time of year when many pension funds report their returns for the prior fiscal year. And often, the reported returns were calculated using a time-weighted method. But, is this appropriate? Or, perhaps, is more needed? In my way of thinking, pension funds,...

When the labels don’t matter; e.g., time-weighting

Sometimes, the labels don’t matter We just finished PMAR Europe 2017, an event that we felt was a huge success. And, as I often do, I made an attempt to interject a bit of humor from time-to-time. In one case, the “spark” behind it was one of the tea...

What question does the GIPS for Asset Owners composite return answer?

The revised GIPS for Asset Owners guidance statement hasn’t yet been finalized, but we can pretty much expect that the time-weighted composite return requirement will remain. At a recent NYSSA (New York Society of Security Analysts) GIPS program, that I had the...
Performance with Leverage, Part I

Performance with Leverage, Part I

Leverage can be a confusing topic, so I figured it is worth covering in a few blog posts.  In this first post, we’ll deal with return calculations for portfolios that employ leverage.Leverage is the use of borrowing, typically with an intent to amplify...

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