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Investment Performance

What is the Sortino Ratio?

The Sortino Ratio is similar to the Sharpe Ratio as it is used to compare and rank managers with similar strategies. However, unlike Sharpe, the Sortino Ratio measures the incremental average strategy return over a minimum acceptable return per unit of downside risk rather than total risk. Because of this difference, the Sortino Ratio may […]
GIPS Compliance

How to Update your GIPS Policies & Procedures for GIPS 2020

If you are an investment firm or asset owner that complies with the GIPS standards you are required to make some modifications to your GIPS policies and procedures (“P&P”) to address changes made to the 2020 edition of the Standards. The extent of these updates depends on: whether your organization plans to adopt any new […]
GIPS Compliance

How to Comply with the 2020 GIPS Standards

A new decade is upon us and with the new decade comes a series of new requirements in terms of investment performance reporting for firms and asset owners that elect to claim compliance with the GIPS standards. Many organizations have elected to adopt the 2020 edition of the GIPS standards early and have already put […]