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White papers

Detailed knowledge, available to everyone

We know what we’re talking about and we’re happy to share. Read best practice guides, industry opinions and thought leading recommendations. Our white papers are designed to provide further knowledge of the portfolio analysis industry.

Why portfolio sharing is the future of investor communication: balancing control and customer service

This white paper analyzes the results of the survey and considers whether firms could benefit from a more flexible and transparent communication strategy in order to improve retention and acquire new business?

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Introducing Adjusted M2

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.

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Fixed income attribution

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.

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The 5 most important appraisal measures

Carl Bacon CIPM, Chairman of StatPro, looks at the 5 most important appraisal measures available to performance analysts.

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Stock-level attribution

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.

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A view from the cloud

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.

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Making the case for the Revolution

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.

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Sterling Ratio – An Enigma

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.

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Market Liquidity Risk: A Scenario Based Approach

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.

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How sharp is the Sharpe-ratio?

Risk-adjusted performance measurement “Alpha to omega, downside to drawdown, appraisal to pain”

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A new measure of risk – hybrid VaR

The methodology for computing hybrid VaR.

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Money Weighted versus Time Weighted Attribution

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.

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What are GIPS?

White paper detailing GIPS compliance best practices and GIPS composites.

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Updated! StatPro Simulation Model & Integrating default risk

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.

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