November 4, 2013
I recently had a frustrating -- for both parties -- conversation involving performance measurement. I said "measurement". My dialogist heard "calculation" but wanted "measurement". We went dizzy in the chase. [...]
April 8, 2013
What to expect from fund managers who follow your investment mandate. You hope that the fund managers that you hire have skill. But markets are noisy so it is [...]
November 26, 2012
Performance analysis of an example portfolio. The portfolio We explore a particular portfolio during 2007. It invests in S&P 500 stocks and starts the year with a value of [...]
September 10, 2012
The paper is "Not Fooled by Randomness: Using Random Portfolios to Analyze Investment Funds" by Roberto Stein. Here is an explanation of the idea of random portfolios. Favorite sentence [...]
September 7, 2012
Two articles in the August issue of Journal of Asset Management discuss topics that relate to random portfolios. Sharpe ratios The first article is "The Sharpe ratio's market climate [...]
May 28, 2012
A look at return variability for portfolio changes. The problem Suppose we make some change to our portfolio. At a later date we can see if that change was [...]
May 14, 2012
Only puny secrets need protection. Big discoveries are protected by public incredulity. -- Marshall McLuhan Random portfolios have the power to improve the practice of asset management in several [...]
November 16, 2011
The return of a hypothetical fund was 17.9% in 2010. We want to know if that is good or bad. The benchmark method The assets in the portfolio are [...]
September 19, 2011
Investors need to distinguish between good and bad active fund managers. Relatively new technology makes this much easier. The usual methods benchmark One of the common approaches is to [...]
July 4, 2011
Low volatility investing and performance measurement -- my favorite topic scheme -- how could I resist? The paper The paper is "Benchmarking Low-Volatility Strategies" by David Blitz and Pim [...]