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10 Common GIPS non-fatalistic mistakes
The Global Investment Performance Standards (GIPS(R)) are complex and often confusing. And while we have identified common mistakes which can lead to non-compliance (recall that GIPS is very...
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Not reporting the impact of currency fluctuations on mutual fund returns...
I often find the WSJ enlightening. Today provided a very insightful article by Chana R. Schoenberger ("Test Your Smarts ... on Currency Effects", page R5), where I learned that at least some fund...
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10 Key points about performance attribution
While the role performance attribution has continued to grow within the investment industry, it is, in the words of "Brinson, Hood & Beebower," still evolving. And in its evolution, there remain...
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Order dependence vs. independence
You may recall the commutative property of math-ematics, which essentially speaks of changing the order in which we do the math. This property holds for addition and multiplication; for example:You'll...
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Two things to remember about performance attribution
To see a World in a Grain of Sand, And a Heaven in a Wild Flower, Hold Infinity in the palm of your hand, And Eternity in an hourWilliam Blake I believe there are two major things that performance...
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Are big contributors always good to have in your portfolio?
Contribution, aka "absolute attribution," is a commonly used measure of performance. It's simply the return of whatever we're evaluating (securities, sectors, etc.) times its weight. We sum these...
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A case for a mixed cash flow treatment policy
Most of those who calculate rates of return have settled on either the end-of-day or start-of-day treatment for cash flows. Some time ago I arrived at the belief that a mixed treatment is...
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10 Key points about rates of return
At the core of performance measurement is the rate of return. While we are often distracted by attribution, risk, and the Global Investment Performance Standards (GIPS(R)), the ROR is fundamental. And...
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Spaulding,..., David Spaulding
This year's Performance Measurement, Attribution & Risk (PMAR) conferences, like last year's, will have a theme. It started as "Casino Royale," but has been broadened to "Secret Agents," or more...
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ISN’T IT FINALLY TIME FOR YOU TO TAKE THE CIPM EXAM?
Note: the following comes from this month's newsletters, but I wanted to get it out, given the urgency of registering!The CFA Institute has made a huge commitment in our segment of the industry by...
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That which gets measured, gets improved ... or maybe not
I have to thank my lovely daughter-in-law, Monica, for providing this photo to me. Consider this, a "fun" post.I was in the Army for almost five years, and stationed for 39 months with the 25th...
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"They were simply outplayed"
It's probably not surprising that Sunday's Superbowl is still a topic of discussion.I'm conducting a GIPS(R) (Global Investment Performance Standards) verification this week, and this morning, when I...
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Looking for a date? How about three?
We were recently contacted regarding the appropriate date to use for a fund's inception. This caused me to reflect a bit, and I thought I'd touch on this briefly. There are essentially three dates you...
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Mission Accomplished!
My postings slowed down this week, because I was preparing for my doctoral dissertation defense, which occurred yesterday (despite the horrid weather we were having). I am pleased to announce that I...
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A word on education, from Napoleon Hill
Napoleon Hill wrote the classic, Think & Grow Rich. I am reading it for the umpteenth time, and came across the following which I think is important to consider:Successful men*, in all callings,...
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Inspiration
I have been a fan of "synchronicity" for some time; it's essentially the belief that there are no such thing as coincidences; instead, things happen for a reason. Yesterday, I posted about Napoleon...
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Announcing the first ever, "black tie optional" performance measurement...
This year's Performance Measurement, Attribution & Risk (PMAR) conferences will be "black tie optional." A bit unusual, right? And so, why would we do this?Well, the theme of the events is "the...
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What does flying have to do with investment risk?
Chuck Yeagar is perhaps best known as the first pilot to officially go beyond the speed of sound. You may recall that he was portrayed by Sam Shepard in the movie, The Right Stuff. In his autobiography...
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Returns across weekends
A Linkedin colleague sent me a note about the idea of calculating returns across weekends. There really is no need to do this, except when the month-end date occurs on the weekend and you're accruing...
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