Previous Articles of The Journal of Performance Measurement

Fall 1996 - Volume 1 - Number 1

Valuation of Portfolio Performance: Aggregate Return and Risk Analysis
Brian Singer, Brinson Partners

Update from AIMR: AIMR's Performance Presentation Standards: Poised for the Future
Edward W. Karppi, Association for Investment Management & Research

Style Risk: Resolving the Time Sensitivity Problem
Frank A. Sortino, Pension Research Institute and Hal J. Forsey, San Francisco State University

Measuring Investment Returns of Portfolios Containing Futures and Options
John C. Stannard, Russell Data Services

Keeping Up With the Rules
Jane Katz Crist, Law Offices of Jane Katz Crist

A Primer on Time-Weighted and Dollar-Weighted Returns
Steven J. Lerit, Chase Manhattan Bank

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Winter 1996 - Volume 1 - Number 2

Calculation and Reporting of After-Tax Performance
Lee N. Price, RCM Capital Management

Lessons for the Historical Record For Performance Measurement
Charles P. Jones, J.C. Poindexter
and Jack Wilson, North Carolina State University

Portfolio Opportunity Distributions: A Solution to the Problems With Benchmarks and Peer Groups
Ronald J. Surz, Roxbury Capital Management

EFFAS Permanent Commission on Performance Measurement
Dugald Eadie, WM Company
and David MacKendrick, John Morrell & Associates

Measuring Risk: The Unseen Enemy
Paul D. Kaplan, Ibbotson Associates

Evaluation of Portfolio Performance: Attribution Analysis
Brian Singer, Brinson Partners

Measuring the Impact of Cash Flows and Market Volatility on Investment Performance Results
Steven J. Lerit, Chase Manhattan Bank

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Spring 1997 - Volume 1 - Number 3

Measuring Investment Returns of Portfolios Containing Derivatives:
Part II - Performance Attribution
John C. Stannard, Russell Data Services

End the Performance Shell Game and Improve the Evaluation of Investment  Performance - Use Rolling Returns
Norman Kulla, Kulla & Company

How Do We Measure Currency's Impact in International Equity Accounts
Peter Willett, State Street Global Advisors

The Journal Interview
Michael S. Caccese, AIMR

The Impact of Social Screening on Growth-Oriented Investment Strategies
Lloyd S. Kurtz, Harris Bretall Sullivan & Smith

Investment Performance Measurement and Probability Distribution of
Pension Assets, Liabilities and Surplus
Dan diBartolomeo, Northfield Information Services

Performance Verification
Matt Forstenhausler, Ernst & Young LLP

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Summer 1997 - Volume 1 - Number 4

Reality Check: How Can Historical Composite Returns Realistically be Converted
Into Different Currency Terms For Overseas Marketing Efforts
Chris A. Davaris, Morgan Stanley Asset Management, Inc.

Futures Performance Presentation Under the CFTC'S Revised Performance Reporting Requirements and AIMR's New PPS Standards
J. Paula Pierce, Law Offices of J. Paula Pierce

What Performance Method Best Represents Performance? Time-Weighted
Rate of Return or Internal Rate of Return?
Stephen J. Church, Piscataqua Research, Inc.

The Journal Interview
Dugald Eadie, Henderson Administration Group

Value at Risk for the Asset Manager
Mary Ellen Stocks & Christopher Ito, Deloitte & Touche LLP

Where Investment Performance Comes From
Robert Ferguson, Axiomatic Systems, Inc.

Preparing for a Verification:How to Reduce the Pain
Matt Forstenhausler, Ernst & Young LLP

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Fall 1997 - Volume 2 - Number 1

European Economic and Monetary Union: Its Impact Upon Portfolio Management
and Performance Measurement Systems
John D. Simpson, Integrated Decision Systems, Inc.

Where the Rubber Meets the Road: Improving Portfolio Performance by
Controlling Trading Costs
Robert A. Schwartz, Ph.D.
and Daniel G. Weaver, Ph.D., Baruch College/ CUNY

The Argument for Including the Mexican Peso in Actively Managed Currency Portfolios
Emmanuel Acar, Dresdner Kleinwort Benson
and Shane James, Titan Capital Management

The Current State of Enterprise Risk Technology
Deborah Williams, Meridien Research

The Third Biennial Performance Survey
David Spaulding, The Spaulding Group

The Journal Interview
Ronald J. Ryan, CFA, Ryan Labs

The Attribution of Portfolio and Index Returns in Fixed Income
Timothy J. Lord, Ph.D., CIGNA Investment Management

New and Improved Investment Performance Evaluation
Ronald J. Surz, Roxbury Capital Management

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Winter 1997/1998 - Volume 2 - Number 2

Using Post-Modern Portfolio Theory to Improve Investment Performance Measurement
Brian M. Rom
and Kathleen W. Ferguson, Investment Technologies

Calculating After-Tax Returns Beyond AIMR
Ronald J. Surz, Roxbury Capital Management

AIMR's Performance Presentation Standards
John Stokes, Association for Investment Management & Research

The Journal Interview: Talks with Two Authors
William G. Bains and David D. Spaulding

Style Analysis
Mark Beardall, Aon Consulting

Capturing Changes in Style Exposure
Viktor Zurakhinsky, Markov Processes International Corp.

How To Successfully Develop and Implement a Performance System
Ian Thompson, Strategic Asset Management Solutions Ltd.

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Spring 1998 - Volume 2 - Number 3

Assessing the Value in Asset Allocation
Philip M. Dolan, Macquarie Bank

Conceptual Frameworks For Performance Attribution and Risk Management
Policy: A "Structuralist" View
Dr. Wesley Phoa, Capital Management Services

The Practical Implementation of a Risk Management Concept
Karel Stroobants
and Frank Inghelbrecht, Pension Fund for Doctors, Dentists and Pharmacists (V.K.G.)

The Journal Interview
R. Charles Tschampion, General Motors Investment Management Corporation

Applying Downside Risk to Asset-Liability Management: A Pension Fund Case Study
Robert van der Meer
and Meije Smink, Fortis

A Comparison of GIPS^® and the AIMR-PPS^®
David Spaulding, The Spaulding Group, Inc.

Global Investment Performance Standards

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Summer 1998 - Volume 2 - Number 4

Peer-Relative Active Portfolio Performance: It's Even Worse Than We Thought
Ernest M. Ankrim, Frank Russell Co.

When Performance Numbers Don't Make Sense
David Spaulding, The Spaulding Group

The Euro: Its Impact on Measurement of Past and Future Investment Performance
David MacKendrick, John Morrell and Associates

Principle Guidelines for Euro Conversion The Journal Interview
Herb Chain, Deloitte & Touche, LLP

Fleeting Returns-the Story Behind The Beardstown Ladies
Maureen Nevin Duffy, The Spaulding Group

Equity Risk Premium and the Economy
William C. Dudley, Goldman, Sach & Co.

Estimating Beta When the CAPM is True
Robert Ferguson, Axiomatic Systems, Inc.

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Fall 1998 - Volume 3 - Number 1

Canadian Pension Plan Sponsor's Views of the AIMR-PPS®
Mark Freeman, COMSTAT Capital Sciences, Inc.

Simulation Value at Risk
Glyn A. Holton, Contingency Analysis

The Journal Interview
Lee N. Price, Ph.D., Dresdner RCM Global Investors

Multiple-Period Attribution: Residual and Compounding
Brian D. Singer,
Miguel Gonzalo,
and Marc Lederman, Brinson Partners

Seeing Tomorrow
Ron Dembo, Ph.D., Algorithmics, Inc.
Andrew Freeman, Economist Intelligence Unit

Designing and Evaluating Investment Performance Systems
Timothy F. Peterson, Portfolio Management Consultants, Inc.

Arithmetic and Geometric Attribution
J. Stephen Burnie, James A. Knowles, 
and Toomas J. Teder, Portfolio Analytics Ltd.

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Winter - 1998/1999
Volume 3 - Number 2

Risk Management Practices of Unit trusts In Singapore
Cornelis A. Los, Ph.D., Nanyang Technology University

Portability of Performance Records and the Use of Related Performance Information
Leonard A. Pierce, Hale and Dorr LLP

A New Kind of Index Fund That Beats Its Index
Robert E. Ferguson, Ph.D., Axiomatic Systems Inc.
and E. Robert Fernholz, Ph.D., INTECH

The Journal Interview
William F. Sharpe, Ph.D., Stanford Graduate School of Business

How Should Plan Sponsors Approach AIMR-Performance Presentation Standards (PPS)
Chris Tobe, Kentucky State Auditor's Office

Comparing Style Index Performance: How Can The Russell and S&P Indexes Behave So Differently
Jon A. Christopherson, Frank Russell Co 
and Amy Barton, Frank Russell Co.

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Spring 1999 - Volume 3 - Number 3

Should U.S. Money Managers Care About GIPS®?
David Spaulding, The Spaulding Group

Dynamic Strategies and Alpha Regimes in Performance Evaluation
Matthew J. Hergott

Is Your Performance Measurement System Ready for the New GIPS® Standards?
John D. Simpson, Integrated Decision Systems

The Journal Interview
John Stannard, Russell Data Services

Applying Risk-Measurement and Management in the Administration of Large Asset Pools
Kevin Tan, Northern Trust Company 
and Ravi Gautham, Northern Trust Company

Global Investment Performance Standards
Association for Investment Management and Research
and the Global Investment Performance Standards Committee

Performance Risk Statistics: Interpretation and Applications in Selection and Monitorization of Investment Managers
Claire Lumsdaine, Aon Investment Consulting

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Summer 1999 - Volume 3 - Number 4

Combining Attribution Effects Over Time
David R. Cariño, PhD., Frank Russell Company

The 1998 Third Annual Survey of Risk Management Practices of Unit Trusts in Singapore
Cornelis A. Los, Ph.D., Nanyang Technological University

Risk and Danger in a Global Economy
David Hopelain, Ph.D.

Investment Policy Explains All
Ronald J. Surz, Roxbury Capital Management;
Dale Stevens, Wurts & Associates
and Mark Wimer, Ibbotson Associates

The Journal Interview
Matt E. Forstenhausler, Ernst & Young

How Many Stocks in the S & P 500?
David M. Blitzer, Ph.D., Standard & Poor's

Winning the Performance Game Without Really Trying
Robert Ferguson, Ph.D., Axiomatic Systems Inc.
and Joel Rentzler, Ph.D., City University of New York

Firm-Wide Verification: A Case History
Charles Payne, AMP/ Henderson Investors

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Fall 1999 -Volume 4 - Number 1

The Upside Potential Ratio
Frank A. Sortino, PhD., Pension Research Institute;
Robert van der Meer, Ph.D., Fortis;
and Auke Plantinga, Ph.D., Groningen University

Pursuing Performance Persistence: Consistency, Information Ratios, and Style
Thomas H. Goodwin, Ph.D., Frank Russell Company
and Leola B. Ross, Ph.D., Frank Russell Company

The Journal Interview
Gary P. Brinson, CFA, UBS Brinson

The Role of Simulation in Measuring Investment Performance
Robert Ferguson, Ph.D., Axiomatic Systems, Inc.

Measuring Risk for Asset Allocation, Performance Evaluation, and Risk Control: Different Problems, Different Solutions
Christopher L. Culp, Ph.D., CP Risk Management LLC
and Ron Mensink, Quantitative Research and Risk Analytics

Defining Investment Benchmarks, Performance Objectives, and Risk for Pension Funds
Sally Bridgeland, Bacon & Woodrow

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Winter 1999/2000 - Volume 4 - Number 2

Improving Risk Measurement, Analysis and Management (with a little more help from Euclid)
Brian Singer, UBS Brinson
Christoph Kessler, UBS Brinson
Günter Schwarz, UBS Brinson
Kevin Terhar, UBS Brinson
and John Zerolis, UBS Brinson

GIPS® and the U.K. Retail Investment Industry
Malcolm Kemp, Scudder Threadneedle Investments Ltd

The Journal Interview
Deborah Reidy, Mercer Investment Consulting

Millenium Corner
Claude Rosenberg, Newtithing Group^TM

Performance Evaluation of Tactical Asset Allocation
Thomas Goodwin, Ph.D., Frank Russell Company
Andrew Turner, Ph.D., Frank Russell Company
Jon Christopherson, Ph.D., Frank Russell Company,
and Wayne E. Ferson, Ph.D., University of Washington

Attribution with Style
Ronald J. Surz, CIMA, Roxbury Capital Management

What Drives the Momentum in Mutual Fund Returns?
Robert A. Weigand, Ph.D., University of Colorado
and F. Larry Detzel, Ph.D., California State University

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Spring 2000 - Volume 4 - Number 3

The Challenge of After-Tax Reporting
Douglas S. Rogers, CFA, Graystone Wealth Management Services

Does Your Pension Fund Suffer from Myopic Loss Aversion
Robert Clarkson, City University London

The Journal Interview
Jack Treynor, Institute for Quantitative Research in Finance

The Role of Simulation in Measuring Investment Performance
Robert Ferguson, Ph.D., Axiomatic Systems, Inc.

Just Ask!
Mike Smith, Cutter Associates

Global Survey Draws a Portrait of Typical Performance Measurement Professional
David Spaulding, The Spaulding Group

The Impact of GIPS® in the U.K.
Simon Strong, TCA Consulting

IPC Holds Inaugural Meeting
Maureen Nevin Duffy, Journal of Performance Measurement

You've Chosen Your Investment Performance & Attribution System - Now What?
Mick Brant, CAPS Ltd.

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Summer 2000
Volume 4 - Number 4

What Can Hedge Funds Do to Enhance Transparency without Disclosing Proprietary Information? (Perhaps they can only comply with AIMR-PPS®or GIPS®!)
Majed R. Mutaseb, Ph.D., Global Fund Analysis

Primer on Fixed Income Performance Attribution
Stephen Campisi, CFA, Phoenix Investment Partners

Pension Risk Budgeting: Something Old, Something New, Something Borrowed...
Leo de Bever, Ontario Teachers' Pension Plan Board
Wayne Kozun, Ontario Teachers' Pension Plan Board
Valter Viola,  Ontario Teachers' Pension Plan Board
and Barbara ZVAN, Ontario Teachers' Pension Plan Board

The Journal Interview
John Clifton Bogle, founder of The Vanguard Group, Inc.

Attribution Analysis: Combining Attribution Effects Over Time Made Easy
Leonid Kirievsky, Ph.D., In Tech Pty Ltd.
and Anatoly Kirievsky, University of New South Wales

Fixed Income Attribution
Gerard van Breukelen, Robeco Group

Do Commonly Used Ways of Measuring Performance Actually Benefit the Client?
Lars Källholm, Trevise Unibank Investment Management AB
and Jenny Bäckström, Trevise Unibank Investment Management AB

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Fall 2000 - Volume 5 - Number 1

After-Tax Returns and Mutual Funds
Kirk Botula, Confluence Technologies

Performance Presentation Standards Surveys - 2000: Summary Results
David Spaulding, The Spaulding Group

The Journal Interview
Ian McAra, JP Morgan

An Optimized Approach to Linking Attribution Effects Over Time
Jose G. Menchero, Ph.D., Vestek

What is this Thing Called "Interaction"?
Damien Laker, Investment Performance Objects Pty. Ltd

Different Performance Presentation Standards - A Comparison: Part I
Bernd R. Fischer, Ph.D., Dresdner Bank;
Annke von Tiling, AG PricewaterhouseCoopers;
and Carsten Wittrock, Ph.D.,Zeb/Rolfes Schierenbeck Associates gmbh

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Winter 2000/2001 - 
Volume 5- Number 2

Improving Return Volatility Measurement and Presentation
Timothy P. Ryan, Fidelity Management and Research Co.

A Fully Geometric Approach to Performance Attribution
Jose G. Menchero, Ph.D., Vestek

The Journal Interview
Carl Bacon, StatPro

Implementing Daily Stock-Level Attribution: A Case Study
Damien Laker, Investment Performance Objects Pty. Ltd

Optimal Portfolio Selection and The Impact of Currency Hedging
Bapi Maitri and Emmanuel Acar, Ph.D.,

The Structure and Visualization of Performance Attribution
Andre Mirabelli, Ph.D., TIAA-CREF

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Spring 2001 - Volume 5 - Number 3

Measuring the Size Factor in Equity Returns
Robert Fernholz, Ph.D.,Intech

Multiple Attribution Formula for Extracting the Effect of Transactions from an Asset Class Segment Return
Yoshiaki Akeda, Nomura Funds Research and Technologies Co. Ltd.

The Journal Interview
Glenn Solomon, cogent Investment Operations

The Green Zone... Assessing the Quality of Returns
Robert B. Litterman, Ph.D., Goldman Sachs
Jacques Longerstaey, Goldman Sachs
Jacob D. Rosengarten, Goldman Sachs
Kurt Winkelmann, Ph.D., Goldman Sachs
and Paul R. Laubscher, IBM Retirement Fund

Summary Report: Survey Results on Investment Performance Standards Compliance in Japan
Hiromu Hino, Daiwa Institute of Research

Ideal Research & Benchmark Indices in Private Real Estate: Some Conclusions from the RERI/PREA Technical Report
David Geltner, Ph.D., University of Cincinnati and David Ling, Ph.D., University of Florida

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Summer 2001 -Volume 5- Number 4

Measuring Analyst Performance: How Should Indexes Be Constructed for Individual Investors?
Lee Price, Ph.D.,Price Performance Measurement Systems, Inc.

Incorporating Transaction Cost Measurement Into Performance Attribution
Damien Laker, Investment Performance Objects Pty.Ltd.

The Journal Interview
Jacques Longerstaey, Jean-Pierre J. Mittaz, Ph.D., and Jacob D. Rosengarten, Goldman Sachs
Calculating Returns: Different Rates of Return Formulae = Different Results
David Spaulding, The Spaulding Group, Inc.

A Geometric Methodology for Performance Attribution
Andrew McLaren, SAMS

Fixed Income Portfolio Management: Risk Modeling, Portfolio Construction and Performance Attribution
Srichander Ramaswamy, Bank for International Settlements

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2002 Technology Supplement - Volume 6

A Review of the Performance Measurement Vendor Technology
David Spaulding, The Spaulding Group, Inc.

Challenges With Developing Portfolio Accounting Software for After-Tax Reporting
Douglas S. Rogers, Deloitte & Touche Investment Advisors
and Lee N. Price, Ph.D., Price Performance Measurement Systems, Inc

The Roundtable Interview
David Spaulding, The Spaulding Group, Inc.;
Lucas Vermeulen and Marc Heemskerk, ORTEC International;
Mike Slemmer, Thomson Financial Portfolio Solutions;
John Lehner, Eagle Investment Systems;
Ian Thompson, Strategic Asset Management Solutions Software;
Scott Gruchot, SunGard Investment Management Systems;
Cecilia Wong, Base-Two Investment Systems;
John Fennelly, Financial Models Company;
Steve Sheffras, StatPro;
and Todd Brunskill, First Rate Investment Systems

Looking for the Ideal Attribution System
David Spaulding, The Spaulding Group, Inc.

Performance Measurement Technology Survey - User Perspective
David Spaulding, The Spaulding Group, Inc.

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Fall 2001 - Volume 6 - Number 1

Multiple-Period Performance Attribution Using the Brinson Model
Owen Davies, Merrill Lynch Investment Managers
and Damien Laker, Investment Performance Objects Pty. Ltd.

A Primer on Performance for Currency Overlay
Paul Laubscher, IBM Retirement Fund's;
Arun Muralidhar, Ph.D., FX Concepts;
and Mark Reynolds, JP Morgan Investment Management

The Journal Interview
Charles Ellis, Ph.D., Greenwich Associates

Separating the Impact of Portfolio Management Decisions
Timothy P. Ryan, Fidelity Management and Research Co.

Decision-Based Evaluation of the Performance of a Hierarchically Structured Investment Process
Jeroen Geenen, Marc Heemskerk, and Michiel Heerema,, Ph.D., ORTEC International

The Ten Commandments of Performance Measurement
David Spaulding, The Spaulding Group, Inc.

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Winter 2001/2002 - Volume 6- Number 2

Risk-Adjusted Performance Measures and Implied Risk Attitudes
Auke Plantinga Ph.D., University of Groningen and Vrije Universiteit of Amsterdam
and J. Sebastian de Groot, ACAM Advisors LLC.

Process Attribution - Measuring the Performance of the Investment Process
Paul N. Smith, Alpha Analytic

Performance of Quantitative Versus Passive Investing: A Comparison in Global Markets
Robert C. Dalang and Christophe D. Osinski, Swiss Federal Institute of Technology
and Wolfgang Marty, Credit Suisse Asset Management

The Journal Interview
Franco Modigliani

Skill, Horizon and Risk-Adjusted Performance
Arun Muralidhar, Ph.D., FX Concepts

Redrafted Performance Presentation Standards
L. Todd Juillerat, Banc One Investment Advisors

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Spring 2002 -Volume 6- Number 3

Linking Single Period Attribution Results
Andrew Scott Bay Frongello, CFA

Excess Returns-Arithmetic or Geometric?
Carl Bacon, StatPro

Is Linking Attribution Effects as Hard as it Looks?
David Spaulding, The Spaulding Group, Inc.

Exposure to Socially Responsible Investing of Mutual Funds in the Euronext Stock Markets
Auke Plantinga Ph.D., University of Groningen and Vrije Universiteit of Amsterdam;
Bert Scholtens
and Nanne Brunia, University of Groningen

The Journal Interview
Frank Sortino, Ph.D., Pension Research Institute

A Universal Performance Measure
William F. Shadwick and Con Keating, The Finance Development Center

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Summer 2002 - Volume 6- Number 4

A View From Down-Under
Damien Laker, Investment Performance Objects Pty. Ltd.

Creating and Managing Custom Benchmarks- A Practitioner's Guide
Stephen Campisi, The Phoenix Company

Risk Budgeting in Investment Management
Mark Lundin, Fortis Investment Management

2002 Performance Attribution Survey
David Spaulding, The Spaulding Group

The Journal Interview
Leslie Rahl, Capital Market Risk Advisors, Inc.

A Framework for Multiple Currency Fixed Income Attribution
Andrew McLaren, Strategic Asset Management Solutions Ltd.

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Fall 2002 - Volume 7 - Number 1

Attribution Linking From a Religious Perspective
David Spaulding, The Spaulding Group, Inc.

A Multi-Period Algorithm that has Stood the Test of Time
Julia K. Bonefede, Steven J. Foresti and Peter Matheos, Ph.D., Wilshire Associates, Inc.

Long Term Risk Adjusted Attribution
Stephen Campisi, The Phoenix Company

Refinements in Multi-Period Attribution
David Carino, Ph.D., Frank Russell Company

The Journal Interview
Brian Singer, UBS Global Asset Management

Attribution Linking: Proofed and Clarified
Andrew Scott Bay Frongello, CFA

Incremental Attribution With and Without Notional Portfolios
Erik Valtonen, Ph.D., AP3

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Winter 2002/2003 - Volume 7 - Number 2

A Case for Attribution Standards
David Spaulding, The Spaulding Group, Inc.

Using Performance Statistics: Have Measurers Lost the Plot
Robert Darling and Alastair MacDougall, The WM Company

Performance Attribution with Short Positions
Jose Menchero,Ph.D., Thomson Vestek

Performance Standards for Transition Management
Robert Collie, Frank Russell Securities

The Journal Interview
Stefan Illmer, Ph.D., Credit Suisse Asset Management

The LIFE Index: A New Approach to Rank Mutual Funds Evidence for Germany
Roger Otten, Ph.D., Maastricht University
and Mark Schweitzer, Ph.D., Dexia Bank Nederland

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Spring 2003 - Volume 7 - Number 3

Benchmark Rebalancing Calculations
Damien Laker, Barra

Another Interpretation of Negative Sharpe Ratio
Yoshiaki Akeda, Nomura Funds Research and Technologies

Just Because We Can Doesn't Mean We Should
Dan diBartolomeo, Northfield Information Services

Is the Modified Dietz Formula Money or Time Weighted?
David Spaulding, The Spaulding Group

The Journal Interview
Stephen Campisi

Return Compounding: Essential Insights and Practical Implications
Timothy P. Ryan, Fidelity Management and Research

Linking Differences Do Matter
Jose Menchero,Ph.D., Thomson Vestek

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Summer 2003 - Volume 7 - Number 4

Adjustments to Prior Period Returns
David Spaulding, The Spaulding Group
and Stefan Illmer, Ph.D., Credit Suisse Asset Management

Return Attribution of Actively Managed or Time-Varying Portfolios
Birgir Orn Arnarson, Ph.D.,
Steingrimur Karason Sc.D.,
Haraldur Oskar Haraldsson, Ph.D.,
and Hrafnkell Karason Ph.D., Kaupthing Bank

An Integrated Framework for Style Analysis and Performance Measurement
Noel Amenc, Ph.D., EDHEC Graduate School of Business,
Daphne Sfeir, Ph.D., EDHEC Risk and Asset Management Research Center,
and Lionel Martellini, Ph.D., University of Southern California

Decomposing the Money-Weighted Rate of Return
Stefan Illmer, Ph.D.,
and Wolfgang Marty, Credit Suisse Asset Management

The Journal Interview
Rob Arnott, First Quadrant, LP and Research Affiliates, LLC

Risk Adjusted Performance Attribution: A New Paradigm for Performance Analysis
Andrew Kophamel, Deutsche Asset Management

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Supplement 2003 - Performance Presentation Standards  - Volume 7 - Number 0

Oh The Changes They Have Made!
Alecia L. Licata, Association for Investment Management and Research

Ten Steps to Merger Integration: Maintaining Your Firm's Compliance (And Your Sanity) Through The Merger Process
L. Todd Juillerat, CFA, Banc One Investment Advisors

Searching for a System to Meet Your After-Tax Performance Reporting Needs
John D. Simpson, Integrated Decision Systems

Summary Results- 2003 Performance Presentation Standards Survey
David Spaulding, The Spaulding Group

The Journal Interview
Carl Bacon, StatPro
and Jeff Clark, First Rate Investment Systems

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Fall 2003 - Volume 8 - Number 1

Perspectives on Transaction-based Attribution
Damien Laker, Barra

Transaction-based vs. Holdings-based Attribution, a Perspective
Claude Giguere, Financial Models Company

A Roundtable Interview
Iain McAra, JP Morgan Fleming Asset Management;
Lucy Schwartzman, J & W Seligman;
Jean-Pierre Mittaz, Goldman Sachs;
Sarah Ringle, Alliance Capital;
Sandra Hahn-Colbert, Neuberger Berman;
Debi Deyo Rossi, Turner Investment Partners;
and Jennifer Cahill, Grantham Mayo Van Otterloo

Transaction-based vs. Holdings-based Attribution: The Devil is in the Definitions
Julia K. Bonafede and Mary Cait McCarthy, Wilshire Associates

Holdings vs. Transaction-based Attribution, an Overview
David Spaulding, The Spaulding Group

Errors in Transaction-based Performance Attribution
Jose Menchero, Ph.D., CFA, and Junmin Hu, Ph.D.,Thomson-Vestek

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Winter 2003/2004 - Volume 8 - Number 2

Attribution- Arithmetic or Geometric? The Best of Both Worlds
Cecilia Wong, Ph.D., Base Two Investment Systems

Strategic Integration for Competitive Advantage
Jack Lutkowitz, Intellective, Inc.

The Journal Interview
Mark Anson, Ph.D. CalPERS

Performance Attribution with Consistency and Depth
Timothy P. Ryan, Fidelity Management and Research Co.

Demystifying the Interaction Effect
David Spaulding, The Spaulding Group, Inc.

A Structural Comparison of Single-Period Attribution Models
Helmut Mausser, Ph.D., Algorithmics, Inc.

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Spring 2004 - Volume 8 - Number 3

On Simple Indicators of Investment Performance
Michele Gambera, Ph.D

Omega as a Performance Measure
Hossein Kazemi, Ph.D., University of Massachusetts
Thomas Schneeweis, University of Massachusetts,
and Bhaswar Gupta, University of Massachusetts

The Journal Interview
Yoh Kuwabara, ChuoAoyama Audit Corporation

The Case for Money-weighted Performance Attribution
Stephen Campisi

Kappa: A Generalized Downside Risk-Adjusted Performance Measure
Paul D. Kaplan, Ph.D., Morningstar Associates, LLC
and James A. Knowles, York Hedge Fund Strategies, Inc.

Dynamic Strategy of Portfolio Value-at-Risk Estimation
Andrey Rogachev, Ph.D., Bank Wegelin & Co.

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Summer 2004 - Volume 8 - Number 4

When The Green Zone Could Land You in the Red Zone
Arun Muralidhar, Ph.D, FX Concepts

An Exposure-based Attribution Model for Balanced Portfolios
Christian Levecq, Factset, Ltd.

The Journal Interview
Gary Neale, Morley Fund Management

Yield Curve Decompsition and Fixed Income Attribution
Zoubair Esseghaier, DST International,
Tilak Lal, DST International,
Peter Cai, Ph.D., DST International,
and Phil Hannay, DST International

EIPC guidance on Performance Attribution Presentation: A Step Towards Standardization of Performance Attribution
Stefan Illmer, Ph.D., Credit suiise Asset Management
and Dimitri Senik, CFA , Pricewaterhouse Coopers

Debunking the Interaction Myth
Stephen Campisi, CFA, Intuitive Performance Solutions

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Supplement 2004 - Technology  - Volume 8 - Number 0

The Implementation of Daily Performance Measurement and Attribution at Deutsche Asset Management
Peter Ellis, Ph.D., Deutsche Asset Management

Special Considerations for Searching for an Attribution System
David Spaulding, The Spaulding Group, Inc.

Selecting and Implementing a Daily Performance System
Debi Deyo Rossi, Turner Investment Partners, Inc.

The Roundtable Interview
David Spaulding, The Spaulding Group;
Emma Wood, BI-SAM;
Greg Stewart, Russell/Melon Analytical Services;
Lucas Vermuelen, ORTEC;
Mark Osterkamp, Wilshire Associates
Ian Thompson, AFA Systems;
John Simpson, Integrated Decision Systems;
Kirthi Ramakrishnan, FMC;
David Yuska, CAPS Inc.;
Mark Bramley, StatPro, Inc.;
Todd Brunskill, First Rate Investment Systems

Performance Measurement Technology Survey- Summary of Results
David Spaulding, The Spaulding Group, Inc.

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Fall 2004 - Volume 9 - Number 1

Readers' Reflections
Carl de Wet, RMB Asset Management

Regression-based Performance Attribution
David C. Blitz, Robeco Asset Management

The Journal Interview
Ronald D. Peyton, Callan Associates, Inc.

What Has the Manager Done For Me?
A Value-based Method of Measuring Fund Performance in Relation to a Benchmark
Seth Armitage, Ph.D., Heriot-Watt University
Gordon Bagot, The Faculty of Actuaries

Nested Performance Attribution
Jose Menchero, Ph.D., Thompson Vestek

A Four-factor Performance Attribution Model for Equity Portfolios
Craig Heatter, JP Morgan Chase & Company
Charles Gabriel, Empirical Modeling and Analytics, Inc.
and Yi Wang, Ph.D., Empirical Modeling and Analytics, Inc.

Attribution Analysis: Issues Old and New
Leonid Kirievsky, Ph.D., University of New South Wales
and Anatoly Kirievsky, Reserve Bank of Australia

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Winter 2004/2005 - Volume 9- Number 2

Greek Alphabet Soup and Risk-adjusted Performance
Arun S. Muralidhar, Ph.D., Mcube Investment Technologies, LLC

A Simplified Method for Calculating the Money-weighted Rate of Return
Iourii Chestopalov, Ph.D., Royal Bank of Canada and
Sergei Beliaev Royal Bank of Canada

The Journal Interview
Douglas S. Rogers, CTC Consulting, Inc.

Analyst Attribution: Improving the Bottom-up Process
David E. Kuenzi, Glenwood Capital Investments, LLC.

An Excursion Into the Performance Characteristics of Hedge Funds
Harry M. Kat, Ph.D., Alternative Investment Research Centre and Sa Lu

Pure and Inter-period Interaction Effects in Multi-period Attribution
Sean Banchik, Mainspring Associates

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Spring 2005 - Volume 9- Number 3

Reformulating Ankrim's Risk-adjusted Performance Attribution
Alexander Obeid, Ph.D., Bank Sarasin Ltd., Co.

Toward Consensus on Multiple-period Arithmetic Attribution
Damien Laker

The Journal Interview
Jennifer Cahill, Grantham, Mayo, Van Otterloo

"A Call to Arms!" The Next Frontier for Taxable Accounts - After-tax Return Performance Attribution
Douglas S. Rogers, CFA, CTC Consutling, Inc.

IRR, money-weighted Return, time-weighted Return, and the Modified Dietz Method
John Kahila, Thompson Corporation

A Jigsaw Puzzle of Basic Risk-adjusted Performance Measures
Hendrik Scholz, Ph.D. 
and Marco Wilkens, Ph.D., Catholic University of Eichstaett-Ingolstadt

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Summer 2005 - Volume 9- Number 4

An OAS Framework for Portfolio Attribution Analysis
William Burns, Ph.D., CMS BondEdge
and Wensong Chu, Ph.D., CMS BondEdge

Performance Compliance Challenges for Investment Advisers
Jane Katz Crist

The Journal Interview
Alecia Licata, CFA Centre for Financial Market Integrity

Concentrating Performance Attribution Information
Timothy P. Ryan, Hartford Investment Management Company

Thinking Through Fixed Income Attribution - Reflections From a Group of French Practitioners
Claude Giguere, CGIPS

Performance Attribution and the Accuracy of Detecting Timing and Selection Skills
Auke Plantiga, Ph.D., University of Groningen

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Supplement 2005 - Performance Presentation Standards - Volume 9

Achieving and Maintaining AIMR-PPS® (GIPS®) Compliance
Ann F. Putallaz, Ph.D., Munder Capital Management

A Wake-up Call for Private Equity on GIPS®
Carol Kennedy, Pantheon

The Roundtable Interview
Ian Thompson, Microgen Asset Management Solutions;
David Yuska, CAPS;
Mark Elliott, SS&C Technologies;
Remco van Eeuwijk, Wilshire Associates;
Joe McDonagh, Eagle Investment Systems;
Greg Stewart, Mellon Analytical Solutions;
and Mark Bramley, Statpro

The CGIPS^TM Program
Philip Lawton, CFA, CFA Institute

GIPS Convergence is Here - Our Survey Shows the Industry is Ready!
John Simpson, The Spaulding Group, Inc.

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Fall 2005 - Volume 10 - Number 1

The Impact of Equity Dividends on Segment-level Performance
Mark Osterkamp, Wilshire Associates Inc.

Contrasting Time- and Money-weighted Returns: When Each Should be Used
David Spaulding, The Spaulding Group, Inc.

A Modest Proposal to Modernize the Performance Evaluation of Hedge Funds
Ron Surz, PPCA, Inc.

The Journal Interview
Philip Lawton, CFA, CFA Institute

A Consistent Linking Concept for Fast Calculation of the Rate of Return and Research of
Investment Strategies
Alexandre Chestopalov, University of Toronto
and Konstantin Chestopalov, University of Toronto

A Primer on Time-weighted and Dollar-weighted Returns
Steven J. Lerit, New York Life Investment Management

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Winter 2005/2006 - Volume 10 - Number 2

Which is Better: Daily or Monthly Attribution?
Peter Zangari, Goldman Sachs Asset Management
and Mehmet Bayraktar, Goldman Sachs Asset Management

Attribution Analysis and Wilshire's Method
Jim Zhang, Ph.D., Merrill Lynch

Risk Decomposition and Its Use in Portfolio Analysis
George Xiang, Ph.D., CFA, Loomis Sayles & Company

The Journal Interview
Bruce Feibel, Mellon Analytical Solutions

Contributive Alpha as the Basis for Investment Performance Attribution
John F. Mathias, Ph.D., Alberta Investment Management

Fixed Income Attribution Model
Mathieu Cubilié, StatPro

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Spring 2006 - Volume 10 - Number 3

Fixed Income Performance Attribution: A Flexible Approach
Lars Bjerre Hansen, SimCorp
and Per Søgaard-Anderson, Ph.D., SAMPENSION

Portfolio Risk Attribution
Jose Menchero, Ph.D., CFA, Thomson Financial
and Junmin Hu, Ph.D. CFA, Thomson Financial

The Journal Interview
Gary Brinson, CFA, GP Brinson Investments

Sector-Level Attribution Effects with Compounded Notional Portfolios
Mark David, CFA, Essex River Analytics

Performance Attribution Methodologies: New Returns-based Attribution and Factor-based
Attribution
Teri Geske, CMS BondEdge

How to Build Your Own Linking Formula - A Unified Linking Theory on Contribution
Gary Kahan, Lazard Asset Management

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Summer 2006 - Volume 10 - Number 4

Risk Exposure in the Real World
Mark P. Kritzman, Windham Capital Management, LLC;
Ritirupa Samanta, Ph.D., State Street Global Advisors;
and Jennifer Bender, Ph. D., State Street Advisors

A New Approach to the Decomposition of Yield Curve Movements for Fixed Income
Attribution
Andrew Colin, Ph.D., StatPro;
Mathieu Cubilié, StatPro;
and Frederic Bardoux, StatPro

The Journal Interview
Barton Biggs, Traxis Partners

Performance Attribution with Zero-weighted Sectors
Damian Laker, CompoundingHappens.com

Currency Overlay Attribution: A Practical Guide
Jeroen Geenen, Ortec;
Marten Klock, Ph.D., Ortec;
and Elske van de Burgt, Ortec

Fixed Income Attribution: a Combined Methodology
Phillippe Gillet, Ph.D., Poitiers Institute of Management
and Bernard Hommolie, IXIS Management

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Supplement 2006 - Technology - Volume 10 - Number 0

Ten Tips for a Successful Performance System Search and Implementation
John D. Simpson, The Spaulding Group, Inc.

A World Class Performance Measurement System
David Spaulding, The Spaulding Group, Inc.

The Roundtable Interview
Todd Brunskill, First Rate;
Elske van de Burgt, ORTEC;
Lee Detlaff, SunGard;
Mark Elliott, SS&C;
Des Gallacher, DST International;
Joe McDonagh, Eagle;
Glenn Skidmore, Informa;
Jason Totedo, Wilshire Associates;
Ron Walker, SunGard;
David Yuska, CAPS, Inc.

Performance Measurement Technology Survey - Summary of Results
John Simpson, The Spaulding Group, Inc.

Performance Measurement Software Vendor Technology Survey III

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Fall 2006 - Volume 11 - Number 1

Do Stock Indexes Have Abnormal Performance?
Bruce A. Costa, Ph.D., University of Montana School of Business Administration
and Kieth Jacob, Ph.D., University of Montana School of Business Administration

Fixed Income Attribution: a Unified Framework - Part I
Bernard Murira, World Bank
and Hector Sierra, Ph.D., World Bank

The Journal Interview
Don Phillips, Morningstar

A General Approach for Linking Arithmetic Attribution Results Over Time
Mikael Broberg, Third Swedish National Pension Fund

Is Sharpe Ratio Still Effective?
Yasuaki Watanabe, Ph.D., The Japan Research Institute

Risk Attribution
Philippe Grégoire, Ph.D., Louvain School of Management
and Hervé Van Oppens, Orfival SA

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Winter 2006/2007 - Volume 11 - Number 2

Fixed Income Attribution: a Unified Framework - Part 2
Bernard Murira, World Bank
and Hector Sierra, Ph.D., World Bank

Risk-adjusted Performance Attribution
Jose Menchero, Ph.D., CFA, MSCI Barra

The Journal Interview
L. Todd Juillerat, CFA INVESCO

Single Currency Return Attribution
Bob Kopprash, Ph.D, The Yield Book
and Gijs Treimanis, The Yield Book

Fixed Income Attribution with Minimum Raw Material
Andrew Colin, Ph. D., StatPro

Morningstar^® Investor Return^TM: Capturing the Collective Investor Experience
Catherine Sanders, Morningstar;
Julie Austin, CFA, Morningstar;
and Michelle Swartzentruber, Morningstar

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Spring 2007 - Volume 11 - Number 3

First-time-right Ratio: Measuring the Measurers
Timothy P. Ryan, Hartford Investment Management Company

First Steps in Foreign Exchange Transaction Cost Analysis
Michael DuCharme, CFA, Russell Investment Group

The Journal Interview
Jose Menchero, Ph.D., CFA, MSCI Barra

Accurate Benchmarking is Gone but Not Forgotten: The Imperative Need to Get Back to Basics
Ronald J. Surz, PPCA

On the Robustness of Performance Measures in Fund Persistence
Yin-Ching Jan, National Chin-Yi Institute of Technology
and Su-Ling Chiu, National Chin-Yi Institute of Technology

Transaction-based Performance: a Framework for Evaluating Measurement
and Attribution Methodologies
Mark R. David, CFA, Essex River Analytics

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Summer 2007 - Volume 11 - Number 4

Performance Measurement for Covered Call Option Strategies
Andrew Kophamel and Babloo Sarin

The T-Ratio - An Information Ratio for Transition Events
Matthew Clay, Russell Investment Group

The Journal Interview
Neil E. Riddles, CFA, CIPM, Hansberger Global Investors

A Critical Analysis of Fund Rating Systems
Noel Amenc, Ph.D., EDHEC Graduate School of Business
and Veronique Le Sourd, EDHEC Risk & Asset Management Research Center

M-squared: A Double-take On Three Approaches to a Primary Risk Measure
David Spaulding, CIPM, The Spaulding Group

Measuring Investment Returns: Arithmetic Mean vs. Geometric Mean
Jim Zhang, Ph.D., BlackRock

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Fall 2007 - Volume 12 - Number 1

Performance Measurement for Pension Funds
Auke Plantinga, University of Groningen

Multi-Currency Attribution - Part 1The Real Nature of Multi-Currency Returns
Carl Bacon, CIPM, StatPro

The Journal Interview
Jonathan Boersma, CFA, CFA Institute

Editorial Viewpoint - A Report on Setting Performance Presentation Standards

A Hierarchy of Methods for Calculating Rates of Return
Yuri Shestopaloff, Ph.D., Segmentsoft, Inc.
and Alex Shestopaliff, Segmentsoft, Inc.

Analysis of Ranking Factors for a Risk Averse Investor in a Non-Gaussian World
Massimo Di Pierro, Ph.D., DePaul University
and Jack Mosevich, Ph.D., Merrill Lynch

A Brinson Model Alternative: an Equity Attribution Model with Ortogonal Risk Attributions
Andrew Colin, Ph.D., StatPro

Winter 2007/2008 Volume 12 - Number 2

Multi-Currency Attribution- Part 2 Factoring in Interest Rate Differentials

Carl Bacon, CIPM, StatPro

Performance Attribution Against Transient Buckets

Timothy P. Ryan, Hartford Investment Management Company

The Journal Interview-

Douglas R. Lempereur, CFA, CIPM, FRM, Franklin Templeton

The Role of Conceptual Context In Finding the Rate of Return

Yuri Shestopaloff, Ph.D., Segment Soft Inc and Konstantin Shestopaloff, Segment Soft Inc.

Currency Handling for Futures and Options

Matheiu Cubilie, StatPro

Evaluating Target Date Lifecycle Funds

Ronald J. Surz, PPCA and Craig L. Israelsen Ph.D., Brigham Young University

Spring 2008 Volume 12 - Number 3

Transforming Pre-Calculated NAV Returns to Gross-of-Fee Returns- A Practitioner's Guide

Jorn Gunnar Kleven, Eidsiva Vannkraft AS

Should the Interaction Effect be Allocated? A "Black Box" Approach to Interaction

David Spaulding, CIPM The Spaulding Group, Inc.

The Journal Interview-

James E. Hollis, CFA, Cutter Associates

A Closer Look at Performance Persistence of Mutual Funds

Eero Patari, D.Sc., Confido Capital

On the Subject and Subjectivity of Security Selection

Timothy P. Ryan, Hartford Investment Management Company

Performance-based Compensation Contracts in the Asset Management Industry

Martin Schliemann, Ernst & Young and Matthias Stanzel, Ph.D., Ernst & Young

Summer 2008- Volume 12- Number 4

Long Short Portfolio Analytics

David Asermely, BNY Mellon

The Blob Attacks Investment Manager Due Diligence: Invasion of the Perilous Peer Group Bias

Ronald J. Surz, PPCA

A Geometric Attribution Model and a Symmetry Principle

Yuri Shestopaloff, Ph.D., Segment Soft, Inc.

The Journal Interview-

Craig E. Heatter, JP Morgan

Time Calculations for Annualizing Returns: The Need for Standardization

Damien Laker, CIPM, CompoundingHappens.com

The Hazards of Using IRR to Measure Performance: The Case of Private Equity

Ludovic Phalippou, Ph.D., University of Amsterdam Business School

Fall 2008 Volume 13 - Number 1

Performance Attribution in Private Equity

Austin M. Long III, Alignment Capital Group

How Stable are the Major Performance Measures?

Laurent Bodson, HEC- Management School of the University of Liege,

Alain Coen, Ph.D., University of Quebec in Montreal, and

Georges Hubner, Ph.D., HEC- Management School of the University of Liege

The Journal Interview-

William Goetzmann, Ph.D., International Center for Finance at the Yale School of Management

Derivation of the DTWR Formula

Trevor Davies, CFA, Albridge Solutions

Measuring Investment Skill Using the Effective Information Coefficient

Dan diBartolomeo, Northfield Information Services, Inc.

Risk Attribution and Portfolio Optimizations under Tracking-error Constraints

Philippe Bertrand, Ph.D., Universite Aix-Marseille 2

Winter 2008/2009 Volumne 13 - Number 2

Utility-Adjusted Performance

Luis Garcia-Feijoo, Ph.D., CFA, CFA Institute

Balanced Portfolio Attribution

Stephen Campisi, CFA,  Intuitive Performance Solutions

Private Investment and Performance Implications From a Fund Sponsor's Perspective

Guy M. Holappa, CFA, BNY Mellon Asset Servicing

The Journal Interview-

David D. Spaulding, CIPM, The Spaulding Group, Inc.

Establishing Benchmarks for Currency: The Disentangling of Currency Returns

Eric P. Busay, CFA, CalPERS

Value-Based Performance Measurement: A Further Explanation

Seth Armitage, Ph.D., University of Edinburgh and Gordon Bagot

Spring 2009 Volume 13 - Number 3

Portfolio Omega and Optimization

Mark Hooker, Ph.D., State Street Global Advisors and

George Xiang, Ph.D.,  CFA, State Street Global Advisors

Refining the Sharpe Ratio

Craig L. Israelsen, Ph.D., Brigham Young University

The Journal Interview-

Martin Schliemann, Ernst & Young

Performance Attribution: An Introduction

David Spaulding, CIPM, The Spaulding Group, Inc.

A Model for A Global Investment Attribution Analysis

Yuri Shestopaloff, Ph.D., SegmentSoft Inc.

Performance Measurement and Attribution With Leverage and Derivatives

Damien Laker, CIPM, CompoundingHappens.com

Summer 2009 Volume 13 - Number 4

Investment Porfolio Scenario Analysis in a Relative Return Framework

Steven J. Lerit, CFA

Performance Analytics Systems- In-House or Vendor Package

Kyle Ringrose, Wilson HTM Group

The Journal Interview-

Jim Trotter, Northern Trust

Determining the Optimal Mutual Fund Style Classification Methodology

David M. Blanchett, CFA University of Chicago and

Craig L. Israelsen, Ph.D., Brigham Young University

Risk and Skill-Adjusted Invested Compensation

Arun Muralidhar, Ph.D., M cube Investment Technologies LLC

The (more than) 100 Ways to Measure Portfolio Performance Part 1: Standardized Risk-Adjusted Measures

Philippe Cogneau, HEC- Management School of the University of Liege

Georges Hubner, Ph.D., HEC- Management School of the Unversity of Liege

 
Fall 2009 Volume 14 - Number 1

Models of Risk and Financial Crises
Paul D. Kaplan, Ph.D.,  Morningstar, Inc.

Decomposing the Money-Weighted Rate of Return - An Update
Stefan J. Illmer, Ph.D., Credit Suisse

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