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 .......from The Journal of Performance Measurement® We've obviously published numerous excellent articles that you should have in your library.
For brevity, we're only listing our Dietz Award winning articles. We also have a complete list of
past Journal articles for your review or you can search for a specific topic or author using our search engine at our online store Dietz Award articles: "Evaluation of Portfolio Performance: Attribution Analysis" by Brian Singer, UBS Brinson. "The Attribution of Portfolio and Index Returns in Fixed Income" by Timothy Lord, Time Square Capital Management. "Combining Effects Over Time" by David R. Carino, Ph.D., Frank Russell Company. "The Challenge of After-Tax Reporting" by Douglas S. Rogers, C.F.A., CTC Consulting "The Green Zone: Assessing the Quality of Returns" Robert B. Litterman, Ph.D., Jacques Longerstaey, Jacob D. Rosengarten, and Kurt Winkelmann, Ph.D. , Goldman Sachs. "Decision-Based Evaluation of the Performance of a Heirarchically Structured Investment Process" Jeroen Geenen, Marc Heemskerk and Michael Heerema, Ortec International "Long Term Risk Adjusted Attribution" Stephen Campisi, Intuitive Performance Solutions "Performance Attribution for Short Positions" Jose Menchero, Thomson-Vestek "Performance Attribution with Consistency and Depth" Timothy P. Ryan, Fidelity Investments & Research "Reformulating Ankrim's Risk-adjusted Performance Attribution," Alexander Obeid, Ph.D., Bank Sarasin Ltd. "Portfolio Risk Attribution," Jose Menchero, Ph.D., CFA and Junmin Hu, Ph.D., CFA, Thomson-Vestek "Risk Attribution," Philippe Grégoire, Ph.D., Louvain School of Management and Hervé Van Oppens, Orfival SA "Long-Short Portfolio Analytics," David Asermely, BNY Mellon Popular articles: "The Information Ratio" by Thomas H. Goodwin (Nov. 1997) Russell Research Commentary Excellent article copies should be available from Frank Russell "Measuring Non-US Equity Portfolio Performance" Gary Brinson and Nimrod Fachler The Journal of Portfolio Management Spring 1985 Provides information on the Brinson/Fachler attribution model "Determinants of Portfolio Performance" Brinson, Hood, Beebower Financial Analysts Journal July-August 1986 "Determinants of Portfolio Performance II: An Update" Brinson, Singer, and Beebower Financial Analysts Journal May-June 1991 |
