Monday, September 20, 2010
How's your index data? Is it clean enough?
Many performance measurement professionals recognize that there can be problems with index data. Some managers track the constituents themselves and identify problems when they occur. In some cases they reach out to the index provider and alert them. But do the vendors correct the problems? Sometimes, yes; but not always.
Given that indexes play an important role in performance measurement (for example, we use them in attribution, in client reporting, and in our GIPS(R) (Global Investment Performance Standards) presentations), should we be paying them more attention? Or, do we think that (a) the errors are immaterial or (b) that over time they'll work themselves out?