Hot Investment Performance Topics24 Feb 2018 - performance
Fundamental questions are still under debate
Investment performance measurement concepts and methodologies have been developed for decades. For any problem we are facing now, there is highly possible that some smart guy had a solution ready there.
It is 2018 now, we have enormous of portfolio analytics systems in the market that have various level of capabilities. These market players have implemented selective methodologies within their systems and push to their clients. The complexity of these systems have increased may not because of expansion of the building block of the investment performance toolbox, but because of the complexity of market and evolution of technology. Regulations are tighten, companies wants more centralized system to help them dealing with regulators. While industry is focusing on the systems, there are still fundamental concepts are still debatable for application.
Two performance giants are having discussion on the following topics this year :
- Time- vs. Money-weighting
- Excess returns: arithmetic vs. geometric
- The interaction effect: is there any point?
- Attribution: arithmetic vs. geometric attribution
- Holdings vs. transaction-based attribution?
- Are residuals acceptable in attribution?
- Is there any reason to measure ex-post risk?
- What to use for the risk-free rate? What if it’s negative?
- Risk-adjusted returns: what’s the best approach?
- Is it time for risk-adjusted attribution?
- Why pay so much for market indexes?
- Should GIPS apply to retail funds?
- Equal-weighted vs. asset-weighted standard deviation
- Asset-weighted vs. equal-weighted composite returns: which is better?
Shall we follow? Check link here for more information.