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Showing results 1 to 25 of 260 Search took 0.02 seconds. Search: Posts Made By: Damien Laker

Forum: Performance Attribution 20th March 2009, 10:29

Replies: 3 Measuring Volatility Views: 243 Posted By Damien Laker Getting the benchmark right is certainly essential Hi Ron, I do agree with you that getting the correct benchmark is an essential first step. The question of attributing by volatility is an unusual one, and I don't think there is any agreed...

Forum: Return Measurement 19th March 2009, 01:08

Replies: 5 TWRR Vs MWR Views: 916 Posted By Damien Laker Confusion reigns Hi Fook Seng, I think that most people agree with the proposition: IF the manager does not control the cashflows THEN it is preferable to use time weighted returns (IF A THEN B). I know that some...

Forum: Return Measurement 16th March 2009, 02:10

Replies: 11 Cash Flow Query Views: 531 Posted By Damien Laker Hi Kramer, The classic reference source on... Hi Kramer, The classic reference source on approximation errors in monthly returns is Peter Vann's paper at: http://www.compoundinghappens.com/mw_tw.htm The formula you showed added the cashflow...

Forum: Performance Attribution 28th February 2009, 00:45

Replies: 3 What performance software? Views: 380 Posted By Damien Laker Main vendors I provide a list of some of the main vendors at: http://www.compoundinghappens.com/PerformanceSystems.htm I also provide some comments about how to select a system. It sounds like your budget...

Forum: Return Measurement 28th February 2009, 00:37

Replies: 3 Notional Performance Views: 297 Posted By Damien Laker Leverage is an awesome thing Yes, leverage is an awesome thing, isn't it! Depending on your purposes, you may find it more convenient to hold more cash in these portfolios, or (assuming that these portfolios are active...

Forum: CompoundingHappens.com 25th February 2009, 07:52

Replies: 8 CompoundingHappens Exposure Views: 3,007 Posted By Damien Laker New sythetic income page Hi, I’ve now added a new page (under the exposure page) that describes synthetic income calculations: http://www.compoundinghappens.com/synthetic_income.htm...

Forum: Return Measurement 25th February 2009, 07:46

Replies: 3 Notional Performance Views: 297 Posted By Damien Laker You need to use exposure in the denominators Hi, May I ask whether you are doing these calculations in a spreadsheet? I am soon going to publish a paper on this topic. In the meantime, you may find it helpful to read the material about...

Forum: Performance Attribution 16th February 2009, 01:49

Replies: 6 Transaction-based vs. Holdings-based Attribution Views: 669 Posted By Damien Laker Hi Ryan, If you Google "Transaction based... Hi Ryan, If you Google "Transaction based attribution" I think you will find that most of the sources mention fairly prominently that transcation-based attribution is more accurate than...

Forum: Return Measurement 11th February 2009, 01:48

Replies: 4 How to adjust fund NAV for Dividends Views: 220 Posted By Damien Laker Kramer, If the portfolio is valued monthly (and... Kramer, If the portfolio is valued monthly (and hence you only know the NAV at month end), but the cashflow takes place during the month, you will not be able to calculate a completely accurate...

Forum: Return Measurement 10th February 2009, 20:20

Replies: 4 How to adjust fund NAV for Dividends Views: 220 Posted By Damien Laker The first point to not is that if there were no... The first point to not is that if there were no dividends, all you would need is the NAV at the start and the NAV at the finish. This would give you the return over the entire period. For example,...

Forum: Performance Attribution 31st January 2009, 08:18

Replies: 14 Which Attribution method is correct? Views: 823 Posted By Damien Laker Hi Kevin The difference between time-weighted... Hi Kevin The difference between time-weighted and money-weighted is a very basic one, but it also is a question on which some self-professed experts are totally confused and totally wrong. The...

Forum: Performance Attribution 30th January 2009, 13:23

Replies: 14 Which Attribution method is correct? Views: 823 Posted By Damien Laker Fwiw FWIW, I completely agree with Carl on this one. Damien.

Forum: Performance Attribution 29th January 2009, 08:49

Replies: 14 Difference in Point to Point & Multiperiod returns. Views: 1,988 Posted By Damien Laker Carino example Hi Bhushan, I attach a spreadsheet. In the worksheet "Table 1 (Carino Method)" you will see a worked example using the Carino method. The important stuff is in columns J to N. The multiperiod...

Forum: Performance Attribution 26th January 2009, 20:52

Replies: 7 Net of fee attribution Views: 404 Posted By Damien Laker Do the attribution on gross returns Hi Moshe, So far as I am aware, the most common practice is to say "Here is the gross return, here is an attribution analysis showing how gross differs from benchmark, and now separately I will show...

Forum: Performance Attribution 25th January 2009, 21:17

Replies: 3 Excel Performance Attribution Templates Views: 589 Posted By Damien Laker Agree with Ron (but different emphasis) To Ron's customary lecture, I would like to add mine. On my web site, I summarise some of the research on spreadsheet errors by Dr Ray Panko of University of...

Forum: Return Measurement 25th January 2009, 12:14

Replies: 1 Use of Hedged Indices Views: 167 Posted By Damien Laker Andy, The decision of whether to use a hedged... Andy, The decision of whether to use a hedged index is normally part of deciding what the benchmark is. Plenty of managers have a global equities (unhedged) product, and a global equities (fully...

Forum: Performance Attribution 23rd January 2009, 01:22

Replies: 7 Attribution Question Views: 395 Posted By Damien Laker And may I add... Looking back at Andy's original question, may I add that if you don't treat this as a spacial case in the attribution analysis, you can get some unhelpful results. Moreover, if you are using a...

Forum: Performance Attribution 23rd January 2009, 01:18

Replies: 7 Attribution Question Views: 395 Posted By Damien Laker Performance attribution with zero-weighted sectors It would appear that the most common usage of this term is as David and Carl have described, i.e. attribution including a sector that is not present in the benchmark. My terminology about this is...

Forum: Performance Attribution 22nd January 2009, 15:43

Replies: 7 Attribution Question Views: 395 Posted By Damien Laker Simply attribution relative to another BM Hi Andy, As I understand it, this simply means doing the attribution against something other than the usual portfolio benchmark. Any performance attribution should be able to do this as well as it...

Forum: Performance Attribution 13th January 2009, 08:00

Replies: 2 Style attribution Views: 267 Posted By Damien Laker Two options You have two options: 1. Use a sector attribution model, and classify the securities into different groups according to the styles you want to analyse. See an article I wrote on "Flexible...

Forum: Performance Fees 9th January 2009, 03:01

Replies: 33 Performance Fees Good or Bad? Views: 4,395 Posted By Damien Laker From Bloomberg Bloomberg have a story: "Madoff Investors Paid Fees to Funds for Profits That Vanished" http://www.bloomberg.com/apps/news?pid=20601103&sid=amj8XcwuSr0s&refer=us The Madoff affair is quite awful. ...

Forum: Return Measurement 8th January 2009, 06:58

Replies: 21 Large cashflows - treatment Views: 1,141 Posted By Damien Laker This is a real problem May I say firstly that this can be a real dilemma. Moreover, I think that, if the timing of a cashflow within a single day can be a possible source of distortion, doesn't this show just how...

Forum: Return Measurement 4th January 2009, 20:57

Replies: 4 Survivorship bias in Bond Index Views: 158 Posted By Damien Laker If you have the inputs, the calculation is trivial Hi Robert, The index return in any single period is simply a weighted sum of the security returns in that period. You can determine the weights using market capitalization or whatever other criteria...

Forum: Return Measurement 30th December 2008, 08:47

Replies: 8 S&P 500 total return calculation Views: 560 Posted By Damien Laker Hi Carl, A very happy 2009 to you also. It is... Hi Carl, A very happy 2009 to you also. It is good to be able to compare our thinking where the emphasis is a bit different. I guess the geometric active returns are a panacea for people who find...

Forum: Return Measurement 30th December 2008, 07:20

Replies: 8 S&P 500 total return calculation Views: 560 Posted By Damien Laker Compounding Happens Hi Jennifer, I think there are two different ways to think about this. The first way is to think in terms of active returns combining over time. To my mind, this is potentially confusing,...

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