September, 2012


Risk-Adjusted Performance Measurement. Part 2: Everything But the Kitchen Sink

The risk measures, both ex post and ex ante, that formed the hands-on component of the one-day workshop on risk-adjusted performance measurement at the CFA Society Toronto offices, are covered in greater detail by the book Practical Portfolio Performance Measurement & Attribution. The author (and workshop leader), Carl Bacon, gave the workshop participants a whirlwind tour on September 17, 2012. This continues a recap of the highlights begun in Part 1 of this posting. Simple risk measures are “stand-alone” for a given portfolio (e.g., variability and Sharpe Ratio), or they are calculated in conjunction with another benchmark or portfolio (e.g., […]

Risk-Adjusted Performance Measurement. Part 1: Mind the Expectations

“The guiding principles for risk control,” said Carl Bacon, CIPM, Chairman of Statpro, and former Director of Risk Control and Performance at F&C Investment Management Ltd, “are integration and confidence in data.”  Bacon was in Toronto on September 17, 2012 to deliver a one-day workshop on risk-adjusted performance measurement to about a dozen members of the CFA Society Toronto as part of the Society’s continuing education program.  He is the author of  Practical Portfolio Performance Measurement & Attribution, which went into its second edition in 2008. Performance measurement is the calculation of portfolio return for purposes of  comparison against a […]

Madoff Scandal: Three Books, Three Perspectives

The Madoff scandal has spawned a sub-genre of work.  In the Toronto Public Library system, there are about twenty entries (books, e-books, DVDs) as of September 2012.  It’s already a crowded arena.  The books range from those written by victims (The Bag Lady Papers : The Priceless Experience Of Losing It All by Alexandra Penney, 2010) to those written by family (The End Of Normal : A Wife’s Anguish, A Widow’s New Life by Stephanie Madoff Mack, 2011) to those written by persons involved with hunting him down (No One Would Listen, by Harry Markopolos, 2010).  Only one mistress has […]

ETFs: Liquidity, Trading & Portfolio Implementation Strategies

When the CFA Society Toronto decides to hold an ETFs seminar in Toronto’s Hockey Hall of Fame, such as it did on the balmy evening of Sept 13, 2012, there is a competition for attention. The venue is full of items of interest to the die-hard fan, such as the shower sandals used by Alexander Ovechkin during the 2011 All-Star game. The lesser fan might stand there, equally transfixed, wondering what the secondary market for used shower sandals could be, even those of Alexander Ovechkin. The ETFs seminar had panel discussions covering three areas: market making, liquidity and trading; utilizing […]