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Carl Bacon

Chief Advisor, Confluence & Chairman of the GIPS Executive Committee

Recent Posts

How sharp is the Sharpe ratio?

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...

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Money Weighted versus Time Weighted Attribution

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...

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Recent Posts