Posts By: Carl Bacon

Global Investment Performance Standards (GIPS®) are ever-evolving to keep up with the fast-changing investment industry. The success of the GIPS® standards is undeniable, with 40 countries now endorsing the standards. More than 1600 firms worldwide have notified the CFA institute of their claim of compliance. This includes 23 of the 25 largest asset management firms… Read more » Read more…

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. Read more…

StatPro recently joined Australia’s Financial Services Council, the peer organization that represents Australia’s retail and wholesale funds management businesses, superannuation funds, life insurers and financial advisory networks. And I’m sure such concerns play out across other markets and regions, including Asia. Yet it remains important to reiterate the benefits of GIPS. At their core, GIPS provide Read more…

At our annual company away day earlier this summer, we engaged in heady discussions about StatPro Seven, our flagship middle office analytics solution, and StatPro Revolution, our new cloud-based platform for portfolio analytics and reporting. You may have heard a little something about Revolution during our North American debut of the platform at Morningstar. While talking Read more…

Industry Training Best Practices. Your firm’s performance and credibility are critical to maintaining clients and attracting new ones. It’s not an outrageous exaggeration to say not having GIPS compliance up to snuff might put you way behind the competition. In a post-Madoff market where your clients expect a higher standard of ethics for performance and risk transparency Read more…

After a brief lull during the credit crisis performance (or incentive) fees are again becoming increasingly high profile. An excellent time therefore to pose two questions: Are they a good thing? And if used, how should they be structured? Supporters of performance fees would suggest that they are desirable because they align the interests of the asset Read more…

It is now 20 years since the publication in the Financial Analysts Journal of the “Determinants of portfolio performance” by Brinson, Hood and Beebower, and together with “Measuring non-US equity portfolio performance” published in the Journal of Portfolio Management a year earlier by Brinson and Fachler, these papers collectively now known as the “Brinson Model” have provided the foundation for much of the development in performance attribution in subsequent years. Read more…

Any discussion on risk-adjusted performance measures must start with the grandfather of all risk measures the Sharpe Ratio or Reward to Variability which divides the excess return of a portfolio in excess of the risk free rate by its standard deviation or variability. Read more…

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. Read more…