In this white paper, Carl Bacon CIPM, Chairman of StatPro,discusses ranking portfolios in order of preference with the Sharpe ratio but then why it is difficult to judge the size of relative performance. The solution is converting the Sharpe ratio to a metric we are more comfortable using; risk-adjusted return. M2 fits the bill.
RBC Investor Services and StatPro are pleased to share with you a new perspective – an alternative strategy to traditional performance attribution models. This white paper will help you refine your performance attribution strategies as well as give you insights into important fixed income trends.
Carl Bacon CIPM, Chairman of StatPro, looks at the 5 most important appraisal measures available to performance analysts.
Scott Harris, CFA, Head of StatPro Revolution Development looks at the various components of stock-level attribution that help investors to calculate excess return including security relative contribution and Brinson attribution.
This white paper is an examination of how the cloud is creating a major shift in business technology – away from legacy technologies to cloud based services.
Front-office portfolio management is in need of a revolution. The credit crisis and velocity of change in the markets have forced portfolio managers to evolve the way they work and to update the types of tools they have at their disposal.
The Sterling ratio is the most perplexing of performance ratios, there appears to multiple versions in common usage and additionally it is often confused with the Calmar ratio.
This paper explains the StatPro approach for measuring Liquidity Risk. The traditional problem of Liquidity Risk is that the data needed for calibrating these models is only available for liquid instruments, trading on a regular basis and for which books of bid/ask and volumes are available.
Risk-adjusted performance measurement “Alpha to omega, downside to drawdown, appraisal to pain”
In one sense there ought not to be too much discussion about the relative merits of money-weighted or time-weighted attribution, the attribution methodology must be consistent with the methodology used to calculate the total return of the portfolio, hence for time-weighted returns use a time-weighted attribution methodology and for money weighted returns use a money-weighted attribution methodology.
White paper detailing GIPS compliance best practices and GIPS composites.
The paper consists of an introduction and two different articles: the first “the Foundations of the StatPro Simulation Model” explains the building blocks of our framework ignoring credit risk. The second paper, “Integrating Default Risk”, describes in detail how credit risk is handled and how StatPro can capture event and default risk in the model.