Spaulding Group Books and Articles

Spaulding Group books and past articles of The Journal of Performance Measurement are available for purchase. Clicking on any link below will take you to the book or article’s page in our online store.

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

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

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

Searching for a System to Meet Your After-tax Performance Reporting Needs
John D. Simpson, CIPM, The Spaulding Group, Inc.

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

 

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

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

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

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

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

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

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

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

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

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

Fixed Income Attribution
Gerard van Breukelen, Robeco Group

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

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

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

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

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

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

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

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

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

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

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

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

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.

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

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

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

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

Long Term Risk Adjusted Attribution
Stephen Campisi, The Phoenix Company

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

Attribution Linking: Proofed and Clarified
Andrew Scott Bay Frongello

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

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

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

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

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

Perspectives on Transaction-based Attribution
Damien Laker, Barra

Transaction-based Vs. Holdings-based Attribution. A Perspective
Claude Giguère, Financial Models Company

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

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

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

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

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.

A Case for Money-weighted Performance Attribution
Stephen Campisi

Yield Curve Decomposition and Fixed Income Attribution
Zoubair Esseghaier, M.Sc., DST International, Inc.;
Tilak Lal, Peter Cai, Ph.D., DST International, Inc.;
and Phil Hannay, DST International, Inc.

An Exposure Based Attribution Model for Balanced Portfolios
Christian Levecq, FactSet Ltd.

De-bunking the Interaction Myth
Stephen Campisi, CFA, Intuitive Performance Solutions

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

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

Nested Performance Attribution
Jose Menchero, Ph.D., Thomson 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: Old and New
Anatoly Kirievsky, Reserve Bank of Australia and
Leonid Kirievsky, Ph.D., University of New South Wales

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

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

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

Toward Consensus on Multiple-period Arithmetic Attribution
Damien Laker

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

Thinking Through Fixed Income Attribution – Reflections from a Group of French
Practitioners
Claude Giguère, CGIPS

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

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

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

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

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

Fixed Income Attribution Model
Mathieu Cubilié, StatPro

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

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

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

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

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

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

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

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

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

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

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

Multi-currency Attribution – Part 2
Factoring in Interest Rate Differentials
Carl Bacon, CIPM, StatPro

Performance Attribution Against Transient Buckets
Timothy P. Ryan, Hartford

Should the Interaction Effect be Allocated? A “Black Box” Approach to Interaction
David Spaulding, CIPM, The Spaulding Group

A Geometric Attribution Model and a Symmetry Principle
Yuri Shestopaloff, Ph.D., SegmentSoft, Inc.

Time Calculations for Annualizing Returns: The Need for Standardization
Damien Laker, CIPM, CompoundingHappens.com

On the Subject and Subjectivity of Security Allocation
Timothy P. Ryan, Hartford Investment Management Company

A Geometric Attribution Model and a Symmetry Principle
Yuri Shestopaloff, Ph.D., SegmentSoft, Inc.

Time Calculations for Annualizing Returns: The Need for Standardization
Damien Laker, CIPM, CompoundingHappens.com

Performance Attribution in Private Equity
Austin M. Long, III, Alignment Capital Group

Risk Attribution and Portfolio Optimizations under Tracking-error Constraints
Philippe Bertrand, Ph.D., Universite Aix-Marseille 2

Balanced Portfolio Attribution
Stephen Campisi, CFA, Intuitive Performance Solutions

Value-based Performance Measurement: A Further Explanation
Seth Armitage, Ph.D., University of Edinburgh
Gordon Bagot

Performance Attribution: An Introduction
David Spaulding, CIPM, The Spaulding Group

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

Performance Analysis Systems – In-House or Vendor Package
Kyle Ringrose, Wilson HTM Group

Multi-Currency Performance Attribution
Jose Menchero, Ph.D., CFA, MSCI Barra
Ben Davis, Ph.D., MSCI Barra

Bespoke Attribution: Illustrating the Manager’s Process
Mark R. David, CFA, Essex River Analytics

Share Class Hedging: Performance Attribution
Jordan Alexiev, CFA, State Street Associates
Jay Moore, CFA, State Street Associates
David Turkington, CFA, State Street Associates

Why Have an Attribution Model to Break Out the Investment Decisions When the Answer is Explicit? Advocating a Decision-based Approach to Attribution
Jem Tugwell, Jem Tugwell Associates

A New Measure of Tactical Allocation Skills in Performance Attribution Analysis
Wenling Lin, Ph.D., Office of Comptroller of the Currency

Idiosyncratic Return and Variance Attribution:
Observations from the Australian Listed Property Sector
Andrew Kophamel, CFA, State Street

A Sector Based Approach to Fixed Income Performance Attribution
Stephen Campisi, CFA, Intuitive Performance Solutions

A New Empirical Method for Yield Curve Attribution
Maria de Sousa Vieira, Ph.D., Thomson Reuters

A Case for Fixed Income Holdings-Based Attribution:
Techniques for Achieving Cleaner Results
Edward Ha, CIPM, PineBridge

Geometric and Arithmetic Approaches to Attribution Linking are Equivalent
Andrei Reztsov, Ph.D., Australian Centre for Commercial Mathematics

High Frequency Equity Performance Attribution
Ricky Cooper, Ph.D., Illinois Institute of Technology
Tingting Li, Illinois Institute of Technology

Geometric and Arithmetic Approaches to Attribution Linking are Equivalent
Andrei Reztsov, Ph.D., Australian Centre for Commercial Mathematics

High Frequency Equity Performance Attribution
Ricky Cooper, Ph.D., Illinois Institute of Technology
Tingting Li, Illinois Institute of Technology

Charles T. Hage, Mohican Financial Management LLC

A New Choice in Multi-Period Investment Performance Attribution:
Effective Return versus Geometric Smoothing
Ronald J. Surz, PPCA, Inc.

A Conceptual Framework for the Development and Verification of Attribution Models including Arithmetic Attribution Models
Yuri Shestopaloff, Ph.D., SegmentSoft, Inc.

A Case for Arithmetic Attribution
Mark R. David, CFA, Essex River Analytics

Absolute Return Equity Risk Attribution and Forecasting
Ricky Cooper, Ph.D., Illinois Institute of Technology
Tingting Li, Illinois Institute of Technology

Semi-Closed Solutions in Yield Curve Attribution
Maria De Sousa Vieira, Ph.D., Thompson Reuters

Adding Derivatives to Absolute Return Attribution
Ricky Cooper, Ph.D., Illinois Institute of Technology
Tingting Li, Illinois Institute of Technology

Turnover Performance
Laurent Cantaluppi, Ph.D., Cantaluppi & Hug

Fixed Income Attribution: The Constant Quest to Explain Residuals
Bai Gu, CFA, Investment Measurement Services, Inc.

Mathematics Behind Multilevel Attribution: Keeping Apples and Oranges Separate
Dmitry Cherkasov, CIPM, RBC Global

Design Considerations for Performance Presentations
Timothy P. Ryan, CIPM, FRM, Hartford

Operational and IT Consequences of Performance Reporting
Bruce Russell, Bridge

Cumulative Frongello-Equivalent Attribution
Timothy Svenson, Ph.D., Funds SA

Portfolio Manager Control Considerations in Leveraged Senior Loan Performance Attribution
Sean Kelley, PPM America

Performance Attribution for Portfolios that Trade Futures Contracts
Philippe Grégoire, Ph.D., Orfival and Yves Hennard, CAIA, Union Bancaire Privee

Fixed Income Attribution: the Strength of the Full-Repricing
Grégoire Hug, BNP Paribas Securities Services and
Valérie Nicaise, BNP Paribas Securities Services

Residual Interaction Compounding: A New Term in Multi-Period Arithmetic Attribution
Joseph D’Alessandro, CPA, Real Estate Insights

Exact Multi-Period Performance Attribution Model
Carsten Berg, Danske Capital

Fixed Income Attribution with Carry Effect
Tianci Dai, CFA, CIPM, SS&C and
Mark Elliott, SS&C

The Associative Property of Attribution Linking
Yindeng Jiang, CFA, University of Washington and
Joseph Sáenz, Ph.D., University of Washington

New Look at Multi-Period Attribution: Solving Rebalancing Issue
Dmitry Cherkasov, CFA, CIPM, RBC Global Asset Management

Contribution Fundamentals
David Spaulding, DPS, CIPM, The Spaulding Group

Multiple-Period Attribution: Residuals and Compounds
Brian D. Singer, CFA, William Blair & Company,
Miguel Gonzalo, Adams Street Partners and
Mark Lederman

Measuring a Manager’s Trajectory – a (Very) Simple Approach
Daniel Blum, JP Morgan

Multi-Period Performance Attribution: Framework for an Allocation Effect Taking Active Weight Drift into Account
Bas Leerink, CIPM, Ortec Finance and
Gerard C.M. van Breukelen, CIPM, Robeco

A Best Practice Framework for the Measurement and Analysis of Investment Performance
Peter Ellis, Ph.D., Bi-Sam

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

Multi-Level Geometric Attribution, Revamped
Dmitry Cherkasov, CFA, CIPM, RBC Global

Attribution Hears a Who! The Case for Decision Maker-Based Attribution
Arun Muralidhar, Ph.D., Mcube Investment Technologies LLC

Performance Attribution of Money-Weighted Return without Rebalancing to Strategy Allocation
Rafael Bischof, Cantaluppi & Hug
Laurent Cantaluppi, Cantaluppi & Hug and
Regula Walser, Cantaluppi & Hug

Performance Evaluation for Long-Term Value-Based Investors
Geoff Warren, Ph.D., Centre for International Finance and Regulation

Abnormal Returns
Carl Bacon, CIPM, StatPro plc.
Ian Thompson, Ph.D. StatPro plc. and
Pierre van der Westhuizen, StatPro plc.

Using Brinson Attribution to Explain the Differences Between Time-Weighted (TWR) and Money-Weighted (IRR) Returns
Joe D’Alessandro, NCREIF

Equity Attribution Smoothing Method for Non-Rebalanced Periods
Tianci (Austin) Dai, CFA, CIPM, SS&C

Performance Attribution for Passive Strategies
Dax Johnson, CFA, CIPM, State Street

Residuals on Duration-based Fixed Income Attribution
João Sousa Dias, Eagle Investment Systems

Net-of-Fee Performance Calculations
Andre Mirabelli, Ph.D., Opturo and
Krista Harvey, CFA, CIPM, TIAA

Confronting the Challenges of Multi-Level Attribution
David Spaulding, DPS, CIPM, The Spaulding Group

The Role of Trading in Portfolio Performance Attribution
Henri Waelbroeck, Ph.D., Portware and
Carla S. Gomes, Ph.D.

Illiquidity and Performance Attribution: A Primer
Alexander Amati, Ph.D., Rutgers Business School and
Ben J. Sopranzetti, Ph.D., Rutgers Business School

Evolving Performance Attribution to Support Exploratory Excess Return Decomposition
Mike Canty, CFA, Capital Group Companies

An Optimization Approach for Content Determination in a Performance Attribution Report
Brian Craig, Ph.D., Lamar Univerisity;
James Curry, Ph.D., Lamar University;
Alberto Marquez, Ph.D., Lamar University;
Mathiur Rahman, Ph.D.. McNeese State University;
Lonnie Turpin, Jr., Ph.D., McNeese State University; and
Ryan Underwood, Ph.D., Lamar University

Transaction- vs. Holdings-Based Attribution: The Differences are not so Clear, but Quite Important
David D. Spaulding, DPS, CIPM, The Spaulding Group

Geometric Attribution and the Interaction Effect
Arno E. Weber, CIPM, Ortec Finance

Abnormal Returns: Part 2
Carl Bacon, CIPM, StatPro;
Ian Thompson, Ph.D., StatPro and
Pierre van der Westhuizen, StatPro

Active Managers Without Complete Discretion: A Case Study Using Extensions of Various Attribution Models
Ted Heemskerk, CQF, FRM, De Nederlandsche Bank and
Gerard C. M. van Breukelen, CIPM, Robeco

Multi-Period Contribution Analysis – Part 1
Paul Giles, Teachins and
Ian Thompson, Ph.D., StatPro

Risk-Adjusted Performance Attribution
Keld Asnæs, Sampension

Multi-Period Contribution Analysis – Part 2
Paul Giles, Teachins and
Ian Thompson, Ph.D., StatPro

The Next Step in the Evolution of Decision-based Attribution:
Micro or Rules-based Attribution (and the Atoms of Attribution)
Arun Muralidhar, Ph.D., Mcube Investment Technologies LLC and
Sanjay Muralidhar, Mcube Investment Technologies LLC

Annualizing Returns, Contributions, and Attribution Effects
David Suarez, CFA, Refinitiv

Attribution-driven Investment Decision Processes
Arno Weber, CIPM, Ortec Finance

Fixed Income Attribution: Focusing on Trading Effects Analytics, a Practitioner Hybrid Approach
Kun Hu, CFA, CIPM, FRM, BNP Paribas Securities Services and Jingshan Wang, BNP Paribas Securities Services

Annualizing Returns, Contributions, and Attribution Effects
David Suarez, CFA, Refinitiv

Attribution-driven Investment Decision Process
Arno Weber, CIPM, Ortec Finance

LANDMARK ARTICLE: Primer on Fixed Income Performane Attribution
Stephen Campisi, CFA, The Pensar Group

Fixed Interest Attribution: Toward a Generic Model
Paul Giles, Teachins

Fixed Income Attribution: Focusing on Trading Effects Analytics, a Practitioner Hybrid Approach
Kun Hu, CFA, CIPM, FRM, BNP Paribas Securities Services and Jingshan Wang, BNP Paribas Securities Services (Vol. 24, Issue #4)

Re-Engineering Karnosky-Singer: Utility, Versatility and Insight for Practical Multi-Currency Management
Mark R. David, CFA, Meradia (Vol. 25, Issue #1)

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

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

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

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

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

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, ORTEC International;
Marc Heemskerk, ORTEC International;
and Michiel Heerema, Ph.D., ORTEC International

Strategic Asset Allocation and Risk Attribution
Philippe Gregoire, Ph.D, Orfival
Philip Vandooren, GPMS

Asset Allocation vs. Security Selection: Their Relative Perspective
Renato Staub, Ph.D., William Blair and Company
Brian Singer, CFA, William Blair and Company

Portfolio Management via a Holistic and Efficiency-Driven Decision Process
Stephen Campisi, CFA

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

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

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

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

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.

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

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

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

Creating and Managing Custom Benchmarks – A Practitioner’s Guide
Stephen Campisi, The Phoenix Company

Benchmark Rebalancing Calculations
Damien Laker, Barra

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 and
Gordon Bagot, The Faculty of Actuaries

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

Are All Market Indexes Created Equal?
Frances Barney, CFA, CIPM, BNY Mellon
Dax Johnson, CFA, State Street
Joseph Nardulli, Northern Trust
David Spaulding, DPS, CIPM, The Spaulding Group
Allen Cheng, CFA, FRM, IRAS, and
Jamie Verrengia, State Street

Measuring the Contribution of SRI/ESG Investment Strategies
Philippe Grègoire, Ph.D., University of Louvain

Performance Reporting Considerations: Environmental, Social and Governance Investment Strategies
Laurie J. Hesketh, CIPM, PMP, Meradia (Vol. 24, Issue #4)

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

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, University of Groningen;
and Nanne Brunia, University of Groningen

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

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

Evaluating Target Date Lifecycle Funds
Ronald J. Surz, PPCA
Craig L. Israelsen, Ph.D., Brighman Young University

A Closer Look at Performance Persistence of Mutual Funds
Eero Patari, D.Sc., Confido Capital

How Stable are the Major Performance Measures?
Laurent Bodson, HEDC-Management School of the University of Liege
Alain Coen, Ph.D., University of Quebec in Montreal
Georges Hubner, Ph.D., HEC-Management School of the University of Liege

Refining the Sharpe Ratio
Craig L. Israelsen, Ph.D., Brigham Young University

Determining the Optimal Mutual Fund Style Classification Methodology
David M. Blanchett, CFA, University of Chicago
Craig L. Israelsen, Ph.D., Brigham Young University

Tailoring Manager Allocation to Market Conditions Using Alpha Optimization: Part 1
Eric A. Stubbs, Ph.D., RBC Wealth Management
Enrique Jaen, Ph.D., RBC Wealth Management

On the Stability of Performance Measures Over Time: An Empirical Study
Giovanna Menardi, Ph.D., University of Padova, Italy
Francesco Lisi, University of Padova, Italy

Differences in Fund Trackers’ Performance Rankings:
A Mean-Variance Perspective
Michael Jay Stutzer, Ph.D., University of Colorado

A Simple Approach to Fund to Funds Performance Measurement
Spiros Koutsogianopoulos, CIPM, SS & C Technologies

Performance Evaluation and Prediction – Part 2
Larry Harris, Ph.D., U.S. Securities and Exchange Commission

What’s in Your Platform (of Funds?) A Message to Investment Management Firms
Stephen Campisi, CFA, The Pensar Group (Vol. 25- Issue #1)

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

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

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

Performance Verification
Matt Forstenhausler, Ernst & Young LLP

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

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

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

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

Global Investment Performance Standards (Vol. 2, Issue #3)

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

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

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

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

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

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

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

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

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

Performance Presentation Standards Survey – 2000: Summary Results
David Spaulding, The Spaulding Group

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

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

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

Performance Standards for Transition Management
Robert Collie, Frank Russell Securities

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

EIPC Guidance on Performance Attribution Presentation: A Step Towards Standardization
of Performance Attribution
Stefan Illmer, Ph.D., Credit Suisse Asset Management and
Dimitri Senik, CFA, PricewaterhouseCoopers

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 CGIPS Program
Philip Lawton, CFA, CFA Institute

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

Transforming Pre-calculated NAV Returns to Gross-of-fee Returns – A Practitioner’s Guide
Jorn Gunnar Kleven, Eidsiva Vannkraft AS

GIPS 2010: Highlights of Forthcoming Changes
L. Todd Juillerat, CFA, State Street Global Advisors

An Analysis of the Aggregate method to Calculate Composite Returns
David Spaulding, CIPM, The Spaulding Group

The GIPS Standards & Asset Owners
David Spaulding, CIPM, The Spaulding Group

Highlights of the GIPS Conference
Ashley Reeves, CIPM, The Spaulding Group

Do You Have Compliance Overconfidence?
Ashley Reeves, CIPM, The Spaulding Group

GIPS 2020
Carl R. Bacon, CIPM, Statpro

The GIPS Standards & Asset Owners
David D. Spaulding, DPS, CIPM, The Spaulding Group
Ashley Reeves, CIPM, The Spaulding Group and
John D. Simpson, CIPM, The Spaulding Group

Helping Those Who Sell for You (and Others) Understand the Math
David Spaulding, DPS, CIPM, The Spaulding Group (Vol. 24, Issue #3)

The 2020 GIPS Standards and the CIPM Program Curriculum
Jeanne Murphy, CFA, CAIA (Vol. 24, Issue #4)

Helping Those Who Sell for You (and Others) Understand the Math
David Spaulding, DPS, CIPM, The Spaulding Group (Vol. 24, Issue #3)

The 2020 GIPS Standards and the CIPM Program Curriculum
Jeanne Murphy, CFA, CAIA (Vol. 24, Issue #4)

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

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

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

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

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

When Performance Numbers Don’t Make Sense
David Spaulding, The Spaulding Group, Inc.

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

Fleeting Returns – the Story Behind The Beardstown Ladies
Maureen Nevin Duffy, The Spaulding Group, Inc.

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

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

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

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

Calculating Returns: Different Rates of Return Formulae – Different Results
David Spaulding, The Spaulding Group, Inc.

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

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

Is the Modified Dietz Formula Money-weighted or Time-weighted?
David Spaulding, The Spaulding Group, Inc.

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

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

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

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

IRR, Money-weighted Return, Time-weighted Return, and the Modified Dietz Method
John Kahila, Thomson Corporation

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

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

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

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

The Role of Conceptual Context in Finding the Rate of Return
Yuri Shestopaloff, Ph.D., Segment Soft Inc.
Konstantin Shestopaloff, Segment Soft Inc.

The Hazards of Using IRR to Measure Performance:
The Case of Private Equity
Ludovic Phalippou, Ph.D., University of Amsterdam Business School

Derivation of the DTWR Formula
Trevor Davies, CFA, Albridge Solutions

Private Investments and Performance Implications from a Fund Sponsor’s Perspective
Guy M. Holappa, CFA, BNY Mellon Asset Servicing

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

New High Performance Computational Methods for Mortgages and Annuities
Yuri Shestopaloff, Ph.D., SegmentSoft Inc.

Properties of the IRR Equation with Regard to Ambiguity of Calculating the Rate of Return and a Maximum Number of Solutions
Yuri Shestopaloff, Ph.D., SegmentSoft
Wolfgang Marty, Ph.D., Credit Suisse

Golf and the Art of Portfolio Performance Measurement
Larry Campbell, AIF, Morgan Keegan & Company

Structuring Family, Wealth, Governance, and Global Family Entities:
Basic Requirement of Performing Reporting for Meaningful Interpretation of Results
Tania Neild, Ph.D., InfoGrate, Inc.
Douglas S. Rogers, CFA, Ascensio Asset Management, LLC

A New Measure for the Investment Management Industry:
Time- & Money-Weighted Return (TMWR)
Joseph D’Alessandro, Real Estate Insights

The Myth of GIPS- Money-weighted Returns for Client Performance Reporting
Trevor Davies, CFA, CIPM, BNY Mellon
David Spaulding, CIPM, The Spaulding Group

Effective Return of Portfolio Positions
G. Peter Todd, Ph.D., CFA, Parilux Investment Technology LLC

A Modification of the Modified Dietz Approach
Paolo Antonio Cucurachi, Ph.D., University of Salento
Ugo Pomante, Ph.D., University of Rome Tor Vergata

Choosing the Right Solution of IRR Equation to Measure Investment Success
Yuri Shestopaloff, Ph.D., SegmentSoft Inc.
Alexander Shestopaloff, University of Toronto

Measuring Performance in the Presence of Deposits and Withdrawals
Thomas Becker, Ph.D., University of Heidelberg, Germany

Contributions of Initial Holdings and Transactions to Performance
Laurent Cantaluppi, Ph.D., Cantaluppi & Hug

Introducing Aggregate Return on Investment as a Solution to the Contradiction Between Some PME Metrics and IRR
Dean Altshuler, Ph.D., CFA, Bard Consulting LLC and
Carlo Alberto Magni, Ph.D., University of Modena and Reggio Emilia

The Case Against Time-Weighted Return for Alternative Investments
Timothy F. Peterson, CFA, CAIA, CIPM, Cane Island Alternative Investors

The “Missing Link” in Benchmarking Private Equity Performance and a New Twist on “Alpha”
Joe D’Alessandro, NCREIF

Some Problems of the IRR in Measuring PEI with Performance and How to Solve it with the Pure-Investment AIRR
Carlo Alberto Magni, University of Modena and Reggio Emilia and
James R. Cuthbert, Sussex University

On the Relation Between Money- and Time-Weighted Rates of Return and its Implications
John E. Woods, Ph.D.

How to Best Annualize Rates of Return
David D. Spaulding, DPS, CIPM, The Spaulding Group

High and Higher Accuracy Analytical Approximations of the Internal Rate of Return
Boris Klebanov, Ph.D.

A Method to Estimate Transaction Costs
David D. Spaulding, DPS, CIPM, The Spaulding Group

An Analysis of a Generalization of the Modified Dietz Rate of Return
Boris Klebanov, Ph.D.

Ideal Research & Benchmark Indices in Private Real Estate: Some Conclusions from the RERIIPREA Technical
Report
David Geltner, Ph.D., University of Cincinnati and David Ling, Ph.D., University of Florida
(Vol. 5, Issue #3)

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

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

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

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

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

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

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, Pension Fund for Doctors, Dentists and Pharmacists (V.K.G.) and
Frank Inghelbrecht, Pension Fund for Doctors, Dentists and Pharmacists (V.K.G.)

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

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

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

Simulating Value at Risk
Glyn A. Holton, Contingency Analysis

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

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

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

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

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

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

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

The Upside Potential Ratio
Frank A. Sortino, Ph.D., 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

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

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

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 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

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

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.

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

Risk Budgeting in Investment Management
Mark Lundin, Fortis Investment Management

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.

When the Green Zone Could Land You in the Red Zone
Arun Muralidhar, Ph.D., FxConcepts, Inc.

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

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

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

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

M-Squared: a Double-take on Three Approaches to a Primary Risk Measure
David Spaulding, CIPM, The Spaulding Group

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

Performance-based Compensation Contracts in the Asset Management Industry
Martin Schliemann, Ernst & Young
Matthias Stanzel, Ph.D., Ernst & Young

Long-Short Portfolio Analytics
David Asermely, BNY Mellon

Measuring Investment Skill using the Effective Information Coefficient
Dan diBartolomeo, Northfield Information Services, Inc.

Utility-Adjusted Performance
Charles E. Appeadu, Ph.D., CFA, CFA Institute
Luis Garcia-Feijoo, Ph.D., CFA, CFA Institute

Establishing Benchmarks for Currency:
The Disentangling of Currency Returns
Eric B. P. Busay, CFA, CalPERS

Portfolio Omega and Optimization
Mark Hooker, Ph.D., State Street Global Advisors
George Xiang, Ph.D. CFA, State Street Global Advisors

Investment Portfolio Scenario Analysis in a Relative Return Framework
Steven J. Lerit, CFA

Risk and Skill-Adjusted Investment Compensation
Arun Muralidhar, Ph.D., MCube Investment Technologies LLC

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

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

The (more than) 100 Ways to Measure Portfolio Performance
Part 2: Special Measures and Comparison
Philippe Cogneau, HEC – Management School of the University of Liege
Georges Hubner, Ph.D., HEC – Management School of the University of Liege

Liquidity Adjusted Returns and Performance Measures:
Synching Public and Private Fund Performance
John M. Longo, Ph.D., CFA, Rutgers Business School

Extreme Risk Analysis
Lisa Goldberg, Ph.D., MSCI
Jose Menchero, Ph.D., CFA, MSCI
Michael Hayes, Ph.D., MSCI
Indrajit Mitra, Ph.D., MIT

The Art and Science of Risk Management: A Case Study
Wylie Tolette, CFA, Franklin Templeton Investments

Sharpe Ratio for Skew-normal Distributions:
A Skewness-dependent Performance Trade-off
Martin Eling, Ph.D., University of Ulm
Luisa Tibletti, Ph.D., University of Torino

Refining Core-Satellite Investing
Ronald J. Surz, PPCA Inc.

An Advanced Methodology for Fund Rating
Noel Amenc, EDHEC Graduate School of Business
Veronique Le Sourd, EDHEC Risk Institute

The Characteristics of Factor Portfolios
Jose Menchero, Ph.D., CFA, MSCI

Beyond Brinson: Establishing the Link between Sector and Factor Models
Ben Davis, Ph.D., MSCI
Jose Menchero, Ph.D., CFA, MSCI

Tailoring Manager Allocation to Market Conditions Using Alpha Optimization: Part 2
Eric A. Stubbs, Ph.D., RBC Wealth Management
Enrique Jaen, Ph.D., RBC Wealth Management

Portfolio Leverage Ratio
David Asermely, BNY Mellon Asset Servicing

Currency Hedged Benchmark Replication: Challenges and Improvements
Jordan Alexiev, CFA, State Street Global Markets
Steve Fenty, State Street Global Global Investments
Jay Moore, CFA, State Street Global Markets

Fatal Flaws of the Sharpe Ratio or How to Make Yourself Look Good
Don M. Chance, CFA, Ph.D., Louisiana State University

Globalization of an Asset Manager and Working in Global Teams
Mark Goodey, Aviva Investors

A Framework for Evaluating Hedge Fund Risk
John M. Longo, Ph.D., CFA, Rutgers Business School

A New Method for Evaluating a Portfolio’s Downside Risk
Charles Gabriel, EMA Softech
Andrew Lawson, Ph.D., EMA Softech
Mark Huamani, JPMorgan

Rethinking Portfolio Risk in Asset Management
Charles T. Hage, Mohican Financial Management LLC

Risky Business: Why Right-Risking, Rather than De-Risking, is Key for Pension Plans
Paul Sweeting, Ph.D., CFA, JPMorgan Asset Management

Analyzing Diversification Effects, Sector Allocations, Market Conditions, and Factor Tilts in Advanced Equity Beta Strategies: The Case of Efficient Indices
Felix Goltz, Ph.D., EDHEC-Risk Institute
Dev Sahoo, EDHEC-Risk Institute

Flows and Woes: The True Costs of Sport Trading Policy
Matthew Lyberg, CFA, CIPM, Acadian Asset Management
Alexander Dunegan, State Street Global Markets

Measuring Risk for Venture Capital and Buyout Portfolios
Susan Woodward, Ph.D., Sand Hill Economics

The Toolkit to Analyze a Pure StockPicker
Timothy P. Ryan, CIPM, Hartford

Decomposition of Emerging Market Currency Risk: A Hedging Application
Gavin Francis, Insight
Erin Musli, Insight
Tom Cella, CFA, Insight

What Characteristics Indicate Skill in Equity Management
Malcolm Smith, Inalytics

Puzzles in Risk and Performance
Marcus Hedbring, Rimram Consulting

Puzzles in Risk and Performances: Part 2
Marcus Hedbring, Rimram Consulting

Attributing the Risk and Return of Benchmark Misfit
DeWitt Miller, CFA, FRM, Wurts & Associates,
Anil Rao, MSCI and
Jose Menchero, Ph.D., CFA

Why Do We Abuse, Misuse, and Confuse Standard Deviation
David D. Spaulding, DPS, CIPM

Value at Risk and Expected Shortfall: A Primer
Ben Sopranzetti, Ph.D., Rutgers Business School

Visualization, R, ggplot2, and Applied Finance in Performance Measurement
Rodolfo Vanzini, eXponential s.r.l.

The Sharpe Ratio Revisited: What It Really Tells Us
Arun Muralidhar, Mcube Investment Technologies LLC

Comparing Ex-Ante Tracking Error Estimates Across Time
Neil Riddles, Riddles Investment Consulting, LLC

A Periodic Table of Risk Measures – Version 2
Carl Bacon, CIPM, StatPro

Risk-Adjusted Performance Ratios: Part 1
John D. Simpson, CIPM, The Spaulding Group

The Right and Wrong of Ranks: Why Short-Term Ranks are Poor Performance Proxies and What to do About It
Armin Grueneich, Ph.D.

Risk-Adjusted Performance Ratios: Part 2
John D. Simpson, CIPM, The Spaulding Group

How to Select Investment Portfolios Using Performance Analysis
Timothy P. Ryan, CIPM, FRM, CAIA, Hartford Investment Management Company

Combining Approaches of Analysis: The Integrated Risk Indicator Matrix
Mark Goodey, CERT IoD, J.P. Morgan Asset Management and
Aatish Garg, CFA, J.P. Morgan

Factor-Based Asset Allocation and Illiquid Investments
Dan diBartolomeo, Northfield Information Services

Liquidity Risk and Performance Attribution
Ben Sopranzetti, Ph.D., Rutgers Business School

Risk and Asset Allocation Inclusive of Pension Funding, “Full” and Otherwise
Dan diBartolomeo, Northfield Information Services

On the Impact of Closet Indexing in Active Fund Management
Wai Mun Fong, National University of Singapore

Risk-adjusted performance attribution: why it makes sense and how to do it
David Spaulding, DPS, CIPM, The Spaulding Group

Fair and Transparent Performance Fee – Part One
Steinar Eikeland, Industrifinans Kapitalforvaltning

Performance Analysis for Alternative Investment Classes
John D. Simpson, CIPM, The Spaulding Group

Performance Drawdowns in Asset Management: Extending Drawdown Analysis to Active Returns
Daryl Bradford, CFA, CIPM, Acadian Asset Management and
Daniel Siliski, CAIA, Acadian Asset Management

Making Sense of Geometric Linking
David Spaulding, DPS, CIPM, The Spaulding Group

Puzzles in Risk and Performance: Part 3
Marcus Hedbring, Rimram Consulting

Fair and Transparent Performance Fee – Part Two
Steiner Eikeland, Industrifinans Kapitalforvaltning

Puzzles in Risk and Performance: Part 4
Marcus Hedbring, Rimram Consulting

Portfolio Analytics with Leveraged Securities
Shervin Hanachi, Ph.D. CFA, Thomson Reuters and
Sason Torosean, Thomson Reuters

Annual Risk Measures and Related Statistics
Arno E. Weber, CIPM, Ortec Finance

A Measure for Evaluating the Distributions of Ex-Ante Forecast Returns
Masahito Shimizu, Tokyo Institute of Technology

An Upper Bound for Ex-Post Sharpe Ratio with Application in Performance Measurement
Raymond H. Chan, Ph.D., The Chinese University of Hong Kong
Kelvin K. Kan, The Chinese University of Hong Kong and
Alfred K. Ma, Ph.D., The Chinese University of Hong Kong

The Time Contradiction (in Asset Management and Asset Pricing) Between Investor Decision Horizons and Time Needed to Establish Skill
Arun Muralidhar, Ph.D., George Washington University

The Persistence of PE Performance
Greg Brown, Ph.D., Frank Hawkins Institute of Private Enterprise
Wendy Hu, Ph.D., Burgiss
Kelly Meldrum, CFA Adams Street Partners
Raymond Chan, CFA, FRM, Adams Street Partners and
Tobias True, CFA, FRM, Adams Street Partners

A Practical Journey Through Risk for Performance Analysis
Marten Klok, Ph.D., CIPM

Public Market Equivalents: Methods and Considerations
Timothy F. Peterson, CFA, CAIA, Cane Island Alternative Investors

Portfolio Performance Evaluation: What Differences do Logarithmic Returns Make?
Ralf Hudert, CIPM, DWS Holding and Services;
Michael G. Schmitt, CFA, International School of Management and
Michael von Thaden, International School of Management

Seeing the RMD in a New Light: The Required Minimum Distribution and its Implications for Retired Portfolio Design
Craig L. Israelsen, Ph.D., Utah Valley University

The Kappa-Calmar Risk-Adjusted Performance Ratio for Capital Protection
Johannes C. Kloppers, Ph.D., Ashburn Investments

Finding and Retaining Quality Performance and Risk Talent
Frances Barney, CFA, BNY Mellon

Risk Statistics in Performance Calculators: Suitable and Scalable?
Jose R. Michaelraj, CIPM, Meradia (Vol. 24, Issue #3)

Style Analysis
Mark Beardall, Aon Consulting

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

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

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

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

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

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

Equity Style Analysis: Beyond Performance Measurement
George Degroot, CFA, BNY Mellon
Paul Greenwood, CFA, Northern Lights Ventures, LLC

Determining the Optimal Benchmark Indices for a Domestic Equity Returns-Based Style Analysis
David M. Blanchett, CFA, University of Chicago Booth School of Business

The Third Biennial Performance Survey
David Spaulding, The Spaulding Group

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

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

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

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

2002 Performance Attribution Survey
David Spaulding, The Spaulding Group, Inc.

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

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

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

Performance Measurement Software Vendor Technology Survey III

2007 Performance Attribution Survey Summary
John Simpson, CIPM, The Spaulding Group, Inc. (Vol. 11, Supplement)

Performance Measurement Technology Survey – Detailed Results
David Spaulding, DPS, CIPM, The Spaulding Group

2020 GIPS Standards survey #1 Detailed Results
David Spaulding, DPS, CIPM, The Spaulding Group

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

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

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

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

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

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.

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

Decision Based Performance Evaluation: The Technology
Elske van de Burgt, ORTEC International, Jeroen Greenen, ORTEC International,
Marc Heemskerk, ORTEC International, Lucas Vermeulen, ORTEC International, and
Elout Visser, ORTEC International

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.

Python in the Performance Team
Jonnathan De Jesus Luna, CFA, Members Trust Company

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

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

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

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

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

Principal Guidelines for Euro Conversion

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

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

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

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

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

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

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

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

Performance Compliance Challenges for Investment Advisors
Jane Katz Crist, The Law Offices of Jane Katz Crist

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

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.

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

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

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

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

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

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

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

Performance Measurement for Pension Funds
Auke Plantinga, University of Groningen

Life Settlements: Valuation and Performance Reporting for an Emerging Asset Class
Darwin M. Bayston, CFA, AVS Underwriting LLC
Douglas R. Lempereur, CFA, CIPM, Franklin Templeton
Anthony Pecore, Ph.D., Franklin Advisers, Inc.

Getting to the Heart of Investing – Financial Stewardship That Meets Client Objectives
Patrick Fowler, The Spaulding Group
Stephen Campisi, CFA, Intuitive Performance Solutions

Expanding Our Market Vocabulary
Timothy P. Ryan, CIPM, Hartford Investment Management Company

An Advocacy for a Chief Performance Officer (CPO)
Ioannis Segounis, CFA, CIPM, Phocion Investment Services

What the COO Needs to Know About Performance Measurement
David Spaulding, DPS, CIPM, The Spaulding Group

What the CCO Needs to Know About Performance Measurement
David Spaulding, DPS, CIPM, The Spaulding Group

Mastering the Dimensions of Correlations
Hens Steehouwer, Ortec Finance (Vol. 25, Issue #1)

The Journal Interview
Michael S. Caccese, AIMR

The Journal Interview
Dugald Eadie, Henderson Administration Group

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

The Journal Interview
William G. Bains and David D. Spaulding

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

The Journal Interview
Herb Chain, Deloitte & Touche, LLP

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

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

The Journal Interview
John Stannard, Russell Data Services

The Journal Interview
Matt E. Forstenhausler, Ernst & Young

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

The Journal Interview
Deborah Reidy, Mercer Investment Consulting

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

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

The Journal Interview
Iain McAra, JP Morgan

The Journal Interview
Carl Bacon, StatPro

The Journal Interview
Glenn Solomon, Cogent Investment Operations

The Journal Interview
Jacques Longerstaey, Goldman Sachs;
Jean-Pierre J. Mittaz, Ph.D., Goldman Sachs;
and Jacob D. Rosengarten, Goldman Sachs

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

The Journal Interview
Franco Modigliani

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

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

The Journal Interview
Brian Singer, UBS Global Asset Management

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

The Journal Interview
Stephen Campisi, The Phoenix Companies

The Technology 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

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

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

A Roundtable Interview
David Spaulding, The Spaulding Group, Inc.; 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

The Journal Interview
Mark Anson, Ph.D., CalPERS

The Journal Interview
Yoh Kuwabara, ChuoAoyama Audit Corporation

The Journal Interview
Gary Neale, Morley Fund Management

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

The Journal Interview
Ronald D. Peyton, Callan Associates

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

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

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

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 Journal Interview
Philip Lawton, CFA, CFA Institute

The Journal Interview
Bruce Feibel, Mellon Analytical Solutions

The Journal Interview
Gary Brinson, CFA, GP Brinson Investments

The Journal Interview
Barton Briggs, Traxis Partners

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.

The Journal Interview
Don Phillips, Morningstar

The Journal Interview
L. Todd Juillerat, CFA INVESCO

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

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

The Journal Interview
Jonathan Boersma, CFA, CFA Institute

The Journal Interview
Douglas R. Lempereur, CFA, CIPM, FRM, Franklin Templeton

The Journal Interview
James E. Hollis, CFA, Cutter Associates

The Journal Interview
Craig E. Heatter, JPMorgan

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

The Journal Interview
David Spaulding, CIPM, The Spaulding Group

The Journal Interview
Martin Schliemann, Ernst & Young

The Journal Interview
Jim Trotter, Northern Trust

The Journal Interview
David A. Stone, First Rate

The Journal Interview
Jed Schneider, CIPM, Morgan Stanley Smith Barney

The Journal Interview
Rajiv Mathur, State Street Investment Analytics

The Journal Interview
Dan diBartolomeo, Northfield Information Services

The Journal Interview
James Edmonds, CFA, Morgan Stanley Smith Barney

The Journal Interview
Todd Jankowski, CFA, CFA Institute

The Journal Interview
Dean LeBaron, CFA, Batterymarch Financial Management

The Journal Interview
Howard Marks, CFA, Oaktree

The Journal Interview
Jenny Tsouvalis, OMERS

The Journal Interview
Sandra Hahn-Colbert, CFA, O’Shaughnessy Asset Management, LLC

The Journal Interview
Frances Barney, CFA, BNY Mellon

The Journal Interview
John Longo, Ph.D. CFA, The MDE Group

The Journal Interview
Annie Lo, CIPM, CFA Institute

The Journal Interview
Phil Page, Cardano

The Journal Interview
Timothy P. Ryan, CIPM, Hartford

The Journal Interview
Joseph McDonagh, CFA, BNY Mellon

The Journal Interview
Peter Luntang Christensen, PFA Asset Management

The Journal Interview
Richard Mitchell, CFA, CIPM, OPSEU Pension Trust

The Journal Interview
John D. Simpson, CIPM, The Spaulding Group

The Journal Interview
Jenny Lor, CIPM, FRM, CitiTrust Limited

The Journal Interview
Bernd R. Fischer, Ph.D., IDS GmbH

The Journal Interview
William H. Starbuck, Ph.D., University of Oregon and New York University

The Journal Interview
Dax Johnson, CFA, State Street

The Journal Interview
Joe Nardulli, Northern Trust

The Journal Interview
David Spaulding, DPS, CIPM, The Spaulding Group, Inc.

The Journal Interview
Valérie Nicaise, BNP Paribas and Grégoire Hug, BNP Paribas

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

The Journal Interview
Pam Krueger, WealthRamp

The Journal Interview
Paul Smith, CFA, CFA Institute

The Journal Interview
Karyn Vincent, CFA, CFA, CIPM

The Journal Interview
John C. Bogle, The Vanguard Group, Inc.

The Journal Interview
Nick Sharp, Ph.d., MSCI

The Roundtable Interview
Hicham el Bonne, Ortec Finance
Claude Giguere, Robust Technologies
Katie Kiss, Confluence
Ian Thompson, Ph.D., StatPro and
Neil Smyth, StatPro

The Journal Interview
Ben J. Sopranzetti, Ph.D., Rutgers Business School

The Journal Interview
Elske van de Burgt, CFA, Ortec Finance

The Journal Interview
Ken Grossfield, CFA, Strategic and
Nicole Wellmann Kraus, CFA, Strategic

The Journal Interview
Michael S. Caccese, Esq., K&L Gates

The Journal Interview
Matthew Liposky, PRIM

The Journal Interview
Brian D. Singer, CFA, William Blair and Company

The Journal Interview
Carl Bacon, CIPM, Otos Ltd

The Journal Interview
Bas Leerink, CIPM, Ortec Finance

The Journal Interview
Todd Juillerat, CFA, The Spaulding Group

The Journal Interview
Ashley Reeves, CFA, The Spaulding Group

The Journal of Performance Measurement

Articles by Issue of Publication


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

WINTER 1996
VOLUME 1 – NUMBER 2

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

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

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

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,  Deloitte & Touche LLP and
Christopher Ito, Deloitte & Touche LLP

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

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

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., Baruch College/CUNY 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

WINTER 1997/1998
VOLUME 2 – NUMBER 2

Using Post-modern Portfolio Theory to Improve Investment Performance Measurement
Brian M. Rom, Investment Technologies 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
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.

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, Pension Fund for Doctors, Dentists and Pharmacists (V.K.G.) 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, Fortis and
Meije Smink, Fortis

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

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, Inc.

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, Inc.

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

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

FALL 1998
VOLUME 3 – NUMBER 1

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

Simulating 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, Brinson Partners;
Miguel Gonzalo, Brinson Partners;
and Marc Lederman, Brinson Partners

Seeing Tomorrow
Ron Dembo, Ph.D., Algorithmics, Inc. and
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, Portfolio Analytics Ltd.;
James A. Knowles, Portfolio Analytics Ltd.;
and Toomas J. Teder, Portfolio Analytics Ltd.

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.

SPRING 1999
VOLUME 3 – NUMBER 3

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

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

SUMMER 1999
VOLUME 3 – NUMBER 4

Combining Attribution Effects Over Time
David R. Cariño, Ph.D., 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

FALL 1999
VOLUME 4 – NUMBER 1

The Upside Potential Ratio
Frank A. Sortino, Ph.D., 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

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

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

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.

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

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

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

FALL 2000
VOLUME 5 – NUMBER 1

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

Performance Presentation Standards Survey – 2000: Summary Results
David Spaulding, The Spaulding Group

The Journal Interview
Iain 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

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
Emmanuel Acar, Ph.D., FX Engineering and
Bapi Maitra, FX Engineering

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

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 and 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

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, Goldman Sachs;
Jean-Pierre J. Mittaz, Ph.D., Goldman Sachs;
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

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, ORTEC International;
Marc Heemskerk, ORTEC International;
and Michiel Heerema, Ph.D., ORTEC International

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

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, Swiss Federal Institute of Technology;
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

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, University of Groningen;
and Nanne Brunia, University of Groningen

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

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

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, Inc.

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.

TECHNOLOGY SUPPLEMENT 2002
VOLUME 6 – SUPPLEMENT

A Review of the Performance Measurement Vendor Technology Survey
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 Technology 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.

Decision Based Performance Evaluation: The Technology
Elout Visser, ORTEC International

FALL 2002
VOLUME 7 – NUMBER 1

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

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

Long Term Risk Adjusted Attribution
Stephen Campisi, The Phoenix Company

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

The Journal Interview
Brian Singer, UBS Global Asset Management

Attribution Linking: Proofed and Clarified
Andrew Scott Bay Frongello

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

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, The WM Company, 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

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-weighted or Time-weighted?
David Spaulding, The Spaulding Group, Inc.

The Journal Interview
Stephen Campisi, The Phoenix Companies

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

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

SUMMER 2003
VOLUME 7 – NUMBER 4

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

Return Attribution of Actively Managed or Time-Varying Portfolios
Birgir Orn Arnarson, Ph.D., Kaupthing Bank;
Steingrimur Karason Sc.D., Kaupthing Bank;
Haraldur Oskar Haraldsson, Ph.D., Kaupthing Bank;
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., Credit Suisse Asset Management 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

PERFORMANCE PRESENTATION STANDARDS 2003
VOLUME 7 – SUPPLEMENT

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, Inc.

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

FALL 2003
VOLUME 8 – NUMBER 1

Perspectives on Transaction-based Attribution
Damien Laker, Barra

Transaction-based Vs. Holdings-based Attribution. A Perspective
Claude Giguère, Financial Models Company

A Roundtable Interview
David Spaulding, The Spaulding Group, Inc.; 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, Wilshire Associates and
Mary Cait McCarthy, Wilshire Associates

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

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

WINTER 2003-2004
VOLUME 8 – NUMBER 2

Attribution – Arithmetic or Geometric? The Best of Both Worlds
Cecelia 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.

SPRING 2004
VOLUME 8 – NUMBER 3

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

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

A 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.

SUMMER 2004
VOLUME 8 – NUMBER 4

When the Green Zone Could Land You in the Red Zone
Arun Muralidhar, Ph.D., FxConcepts, Inc.

Yield Curve Decomposition and Fixed Income Attribution
Zoubair Esseghaier, M.Sc., DST International, Inc.;
Tilak Lal, Peter Cai, Ph.D., DST International, Inc.;
and Phil Hannay, DST International, Inc.

The Journal Interview
Gary Neale, Morley Fund Management

An Exposure Based Attribution Model for Balanced Portfolios
Christian Levecq, FactSet Ltd.

EIPC Guidance on Performance Attribution Presentation: A Step Towards Standardization
of Performance Attribution
Stefan Illmer, Ph.D., Credit Suisse Asset Management and
Dimitri Senik, CFA, PricewaterhouseCoopers

De-bunking the Interaction Myth
Stephen Campisi, CFA, Intuitive Performance Solutions

TECHNOLOGY SUPPLEMENT 2004
VOLUME 8 – SUPPLEMENT

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, Inc. ; Emma Wood, BI-SAM; Lucas Vermuelen,
ORTEC; Ian Thompson, AFA Systems; Kirthi Ramakrishnan, FMC; Greg Stewart,
Russell/Mellon Analytical Services; Mark Osterkamp, Wilshire Associates; John
Simpson, Integrated Decision Systems; 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.

FALL 2004
VOLUME 9 – NUMBER 1

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

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 and
Gordon Bagot, The Faculty of Actuaries

The Journal Interview
Ronald D. Peyton, Callan Associates

Nested Performance Attribution
Jose Menchero, Ph.D., Thomson 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: Old and New
Anatoly Kirievsky, Reserve Bank of Australia and
Leonid Kirievsky, Ph.D., University of New South Wales

WINTER 2004/2005
VOLUME 9 – NUMBER 2

Greek Alphabet Soup and Risk-adjusted Performance
Arun 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

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

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

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

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

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, CFA, Grantham, Mayo Van Otterloo

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

IRR, Money-weighted Return, Time-weighted Return, and the Modified Dietz Method
John Kahila, Thomson Corporation

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

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 Advisors
Jane Katz Crist, The Law Offices of 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 Giguère, CGIPS

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

PERFORMANCE PRESENTATION STANDARDS SUPPLEMENT 2005
VOLUME 9 – SUPPLEMENT

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 Program
Philip Lawton, CFA, CFA Institute

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

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

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

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

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 Briggs, 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

TECHNOLOGY SUPPLEMENT 2006
VOLUME 10 – SUPPLEMENT

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

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

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 ReturnTM: Capturing the Collective Investor Experience
Catherine Sanders, Morningstar;
Julie Austin, CFA, Morningstar;
and Michelle Swartzentruber, Morningstar

Spring 2007
VOLUME 11 – NUMBER 3

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

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
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

Summer 2007
VOLUME 11 – NUMBER 4

Performance Measurement for Covered Call Option Strategies
Andrew Kophamel
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, Inc.

A Critical Analysis of Fund Rating Systems
Noel Amenc, Ph.D., EDHEC Graduate School of Business
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 vs. Geometric Mean
Jim Zhang, Ph.D., BlackRock

Fall 2007
VOLUME 12 – NUMBER 1

Performance Measurement for Pension Funds
Auke Plantinga, University of Groningen

Multi-Currency Attribution – Part 1
The Real Nature of Multi-Currency
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.
Alex Shestopaloff, SegmentSoft Inc.

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

A Brinson Model Alternative: an Equity Attribution Model with Orthogonal Risk Attribution
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

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.
Konstantin Shestopaloff, Segment Soft Inc.

Currency Handling for Futures and Options
Mathieu Cubilie, StatPro

Evaluating Target Date Lifecycle Funds
Ronald J. Surz, PPCA
Craig L. Israelsen, Ph.D., Brighman 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

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 Allocation
Timothy P. Ryan, Hartford Investment Management Company

Performance-based Compensation Contracts in the Asset Management Industry
Martin Schliemann, Ernst & Young
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
Ronald J. Surz, PPCA

A Geometric Attribution Model and a Symmetry Principle
Yuri Shestopaloff, Ph.D., SegmentSoft, Inc.

The Journal Interview
Craig E. Heatter, JPMorgan

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, HEDC-Management School of the University of Liege
Alain Coen, Ph.D., University of Quebec in Montreal
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
VOLUME 13 – NUMBER 2

Utility-Adjusted Performance
Charles E. Appeadu, Ph.D., CFA, CFA Institute
Luis Garcia-Feijoo, Ph.D., CFA, CFA Institute

Balanced Portfolio Attribution
Stephen Campisi, CFA, Intuitive Performance Solutions

Private Investments and Performance Implications from a Fund Sponsor’s Perspective
Guy M. Holappa, CFA, BNY Mellon Asset Servicing

The Journal Interview
David Spaulding, CIPM, The Spaulding Group

Establishing Benchmarks for Currency:
The Disentangling of Currency Returns
Eric B. P. Busay, CFA, CalPERS

Value-based Performance Measurement: A Further Explanation
Seth Armitage, Ph.D., University of Edinburgh
Gordon Bagot

Spring 2009
VOLUME 13 – NUMBER 3

Portfolio Omega and Optimization
Mark Hooker, Ph.D., State Street Global Advisors
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

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 Portfolio Scenario Analysis in a Relative Return Framework
Steven J. Lerit, CFA

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

Risk and Skill-Adjusted Investment Compensation
Arun Muralidhar, Ph.D., MCube 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

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

The Journal Interview
David A. Stone, First Rate

Strategic Asset Allocation and Risk Attribution
Philippe Gregoire, Ph.D, Orfival
Philip Vandooren, GPMS

Multi-Currency Performance Attribution
Jose Menchero, Ph.D., CFA, MSCI Barra
Ben Davis, Ph.D., MSCI Barra

The (more than) 100 Ways to Measure Portfolio Performance
Part 2: Special Measures and Comparison
Philippe Cogneau, HEC – Management School of the University of Liege
Georges Hubner, Ph.D., HEC – Management School of the University of Liege

Winter 2009/2010
VOLUME 14 – NUMBER 2

Bespoke Attribution: Illustrating the Manager’s Process
Mark R. David, CFA, Essex River Analytics

On the Consistency of Performance Measures for Hedge Funds
Huyen Nguyen-Thi-Thanh, Ph.D., University of Maine (France)

The Journal Interview
Jed Schneider, CIPM, Morgan Stanley Smith Barney

Liquidity Adjusted Returns and Performance Measures:
Synching Public and Private Fund Performance
John M. Longo, Ph.D., CFA, Rutgers Business School

Share Class Hedging: Performance Attribution
Jordan Alexiev, CFA, State Street Associates
Jay Moore, CFA, State Street Associates
David Turkington, CFA, State Street Associates

Equity Style Analysis: Beyond Performance Measurement
George Degroot, CFA, BNY Mellon
Paul Greenwood, CFA, Northern Lights Ventures, LLC

Spring 2010
VOLUME 14 – NUMBER 3

Determining the Optimal Benchmark Indices for a Domestic Equity Returns-Based Style Analysis
David M. Blanchett, CFA, University of Chicago Booth School of Business

Extreme Risk Analysis
Lisa Goldberg, Ph.D., MSCI
Jose Menchero, Ph.D., CFA, MSCI
Michael Hayes, Ph.D., MSCI
Indrajit Mitra, Ph.D., MIT

The Journal Interview
Rajiv Mathur, State Street Investment Analytics

Why Have an Attribution Model to Break Out the Investment Decisions When the Answer is Explicit? Advocating a Decision-based Approach to Attribution
Jem Tugwell, Jem Tugwell Associates

The Art and Science of Risk Management: A Case Study
Wylie Tolette, CFA, Franklin Templeton Investments

GIPS 2010: Highlights of Forthcoming Changes
L. Todd Juillerat, CFA, State Street Global Advisors

Summer 2010
VOLUME 14 – NUMBER 4

Performance Outsourcing 2010 – Broadening the Debate
Mark Goodey, AVIVA Investors
Jim Trotter, Northern Trust

A New Measure of Tactical Allocation Skills in Performance Attribution Analysis
Wenling Lin, Ph.D., Office of Comptroller of the Currency

The Journal Interview
Dan diBartolomeo, Northfield Information Services

The Capital Asset Pricing Model: Theory and Evidence
Eugene F. Fama, Ph.D., University of Chicago
Kenneth R. French, Ph.D., Dartmouth College

Idiosyncratic Return and Variance Attribution:
Observations from the Australian Listed Property Sector
Andrew Kophamel, CFA, State Street

Sharpe Ratio for Skew-normal Distributions:
A Skewness-dependent Performance Trade-off
Martin Eling, Ph.D., University of Ulm
Luisa Tibletti, Ph.D., University of Torino

Fall 2010
VOLUME 15 – NUMBER 1

Refining Core-Satellite Investing
Ronald J. Surz, PPCA Inc.

An Advanced Methodology for Fund Rating
Noel Amenc, EDHEC Graduate School of Business
Veronique Le Sourd, EDHEC Risk Institute

The Journal Interview
James Edmonds, CFA, Morgan Stanley Smith Barney

Life Settlements: Valuation and Performance Reporting for an Emerging Asset Class
Darwin M. Bayston, CFA, AVS Underwriting LLC
Douglas R. Lempereur, CFA, CIPM, Franklin Templeton
Anthony Pecore, Ph.D., Franklin Advisers, Inc.

The Characteristics of Factor Portfolios
Jose Menchero, Ph.D., CFA, MSCI

Tailoring Manager Allocation to Market Conditions Using Alpha Optimization: Part 1
Eric A. Stubbs, Ph.D., RBC Wealth Management
Enrique Jaen, Ph.D., RBC Wealth Management

Winter 2010/2011
VOLUME 15 – NUMBER 2

Beyond Brinson: Establishing the Link between Sector and Factor Models
Ben Davis, Ph.D., MSCI
Jose Menchero, Ph.D., CFA, MSCI

Getting to the Heart of Investing – Financial Stewardship That Meets Client Objectives
Patrick Fowler, The Spaulding Group
Stephen Campisi, CFA, Intuitive Performance Solutions

The Journal Interview
Todd Jankowski, CFA, CFA Institute

An Analysis of the Aggregate method to Calculate Composite Returns
David Spaulding, CIPM, The Spaulding Group

New High Performance Computational Methods for Mortgages and Annuities
Yuri Shestopaloff, Ph.D., SegmentSoft Inc.

Tailoring Manager Allocation to Market Conditions Using Alpha Optimization: Part 2
Eric A. Stubbs, Ph.D., RBC Wealth Management
Enrique Jaen, Ph.D., RBC Wealth Management

Spring 2011
VOLUME 15 – NUMBER 3

Properties of the IRR Equation with Regard to Ambiguity of Calculating the Rate of Return and a Maximum Number of Solutions
Yuri Shestopaloff, Ph.D., SegmentSoft
Wolfgang Marty, Ph.D., Credit Suisse

A Sector Based Approach to Fixed Income Performance Attribution
Stephen Campisi, CFA, Intuitive Performance Solutions

The Journal Interview
Dean LeBaron, CFA, Batterymarch Financial Management

The Performance Measure You Choose Influences the Evaluation of Hedge Funds
Valeri Zakamouline, Ph.D., University of Agder

Golf and the Art of Portfolio Performance Measurement
Larry Campbell, AIF, Morgan Keegan & Company

Measuring Investment Returns of Portfolios Containing Futures and Options
John C. Stannard

Summer 2011
VOLUME 15 – NUMBER 4

Portfolio Leverage Ratio
David Asermely, BNY Mellon Asset Servicing

Structuring Family, Wealth, Governance, and Global Family Entities:
Basic Requirement of Performing Reporting for Meaningful Interpretation of Results
Tania Neild, Ph.D., InfoGrate, Inc.
Douglas S. Rogers, CFA, Ascensio Asset Management, LLC

The Journal Interview
Howard Marks, CFA, Oaktree

Currency Hedged Benchmark Replication: Challenges and Improvements
Jordan Alexiev, CFA, State Street Global Markets
Steve Fenty, State Street Global Global Investments
Jay Moore, CFA, State Street Global Markets

A New Empirical Method for Yield Curve Attribution
Maria de Sousa Vieira, Ph.D., Thomson Reuters

A New Measure for the Investment Management Industry:
Time- & Money-Weighted Return (TMWR)
Joseph D’Alessandro, Real Estate Insights

Fall 2011
VOLUME 16 – NUMBER 1

A Case for Fixed Income Holdings-Based Attribution:
Techniques for Achieving Cleaner Results
Edward Ha, CIPM, PineBridge

Fatal Flaws of the Sharpe Ratio or How to Make Yourself Look Good
Don M. Chance, CFA, Ph.D., Louisiana State University

The Journal Interview
Jenny Tsouvalis, OMERS

The Myth of GIPS- Money-weighted Returns for Client Performance Reporting
Trevor Davies, CFA, CIPM, BNY Mellon
David Spaulding, CIPM, The Spaulding Group

Globalization of an Asset Manager and Working in Global Teams
Mark Goodey, Aviva Investors

An Introduction to the Efficient Construction of Intuitive and Transparent Equity Multi-Factor Models
Bill Wynne, Axioma
Edward Rackham, Ph.D., Los Angeles Capital Management

Fall 2011/Winter 2012
VOLUME 16 – NUMBER 2

A Framework for Evaluating Hedge Fund Risk
John M. Longo, Ph.D., CFA, Rutgers Business School

A New Method for Evaluating a Portfolio’s Downside Risk
Charles Gabriel, EMA Softech
Andrew Lawson, Ph.D., EMA Softech
Mark Huamani, JPMorgan

The Journal Interview
Sandra Hahn-Colbert, CFA, O’Shaughnessy Asset Management, LLC

Expanding Our Market Vocabulary
Timothy P. Ryan, CIPM, Hartford Investment Management Company

On the Stability of Performance Measures Over Time: An Empirical Study
Giovanna Menardi, Ph.D., University of Padova, Italy
Francesco Lisi, University of Padova, Italy

Geometric and Arithmetic Approaches to Attribution Linking are Equivalent
Andrei Reztsov, Ph.D., Australian Centre for Commercial Mathematics

Spring 2012
VOLUME 16 – NUMBER 3

A General Framework for the Business Requirements of an Investment Performance Measurement System
Timothy P. Ryan, CIPM, Hartford

High Frequency Equity Performance Attribution
Ricky Cooper, Ph.D., Illinois Institute of Technology
Tingting Li, Illinois Institute of Technology

The Journal Interview
Frances Barney, CFA, BNY Mellon

Differences in Fund Trackers’ Performance Rankings:
A Mean-Variance Perspective
Michael Jay Stutzer, Ph.D., University of Colorado

Asset Allocation vs. Security Selection: Their Relative Perspective
Renato Staub, Ph.D., William Blair and Company
Brian Singer, CFA, William Blair and Company

Universal Advisor Performance Standards
David Spaulding, The Spaulding Group
Ryan Alfred, Brightscope

Summer 2012
VOLUME 16 – NUMBER 4

Rethinking Portfolio Risk in Asset Management
Charles T. Hage, Mohican Financial Management LLC

A New Choice in Multi-Period Investment Performance Attribution:
Effective Return versus Geometric Smoothing
Ronald J. Surz, PPCA, Inc.

The Journal Interview
John Longo, Ph.D. CFA, The MDE Group

Risky Business: Why Right-Risking, Rather than De-Risking, is Key for Pension Plans
Paul Sweeting, Ph.D., CFA, JPMorgan Asset Management

Analyzing Diversification Effects, Sector Allocations, Market Conditions, and Factor Tilts in Advanced Equity Beta Strategies: The Case of Efficient Indices
Felix Goltz, Ph.D., EDHEC-Risk Institute
Dev Sahoo, EDHEC-Risk Institute

Flows and Woes: The True Costs of Sport Trading Policy
Matthew Lyberg, CFA, CIPM, Acadian Asset Management
Alexander Dunegan, State Street Global Markets

Fall 2012
VOLUME 17 – NUMBER 1

Measuring Risk for Venture Capital and Buyout Portfolios
Susan Woodward, Ph.D., Sand Hill Economics

The Toolkit to Analyze a Pure StockPicker
Timothy P. Ryan, CIPM, Hartford

The Journal Interview
Annie Lo, CIPM, CFA Institute

A Simple Approach to Fund to Funds Performance Measurement
Spiros Koutsogianopoulos, CIPM, SS & C Technologies

A Conceptual Framework for the Development and Verification of Attribution Models including Arithmetic Attribution Models
Yuri Shestopaloff, Ph.D., SegmentSoft, Inc.

Winter 2012/2013
VOLUME 17 – NUMBER 2

What’s Wrong with Multiplying by the Square Root of Twelve
Paul Kaplan, Ph.D., Morningstar Canada

A Case for Arithmetic Attribution
Mark R. David, CFA, Essex River Analytics

The Journal Interview
Phil Page, Cardano

Absolute Return Equity Risk Attribution and Forecasting
Ricky Cooper, Ph.D., Illinois Institute of Technology
Tingting Li, Illinois Institute of Technology

Performance Evaluation and Prediction
Larry Harris, Ph.D. U.S. Securities and Exchange Commission

Spring 2013
VOLUME 17 – NUMBER 3

Semi-Closed Solutions in Yield Curve Attribution
Maria De Sousa Vieira, Ph.D., Thompson Reuters

Adding Derivatives to Absolute Return Attribution
Ricky Cooper, Ph.D., Illinois Institute of Technology
Tingting Li, Illinois Institute of Technology

The Journal Interview
Timothy P. Ryan, CIPM, Hartford

Performance Evaluation and Prediction – Part 2
Larry Harris, Ph.D., U.S. Securities and Exchange Commission

Turnover Performance
Laurent Cantaluppi, Ph.D., Cantaluppi & Hug

Summer 2013
VOLUME 17 – NUMBER 4

Effective Return of Portfolio Positions
G. Peter Todd, Ph.D., CFA, Parilux Investment Technology LLC

Fixed Income Attribution: The Constant Quest to Explain Residuals
Bai Gu, CFA, Investment Measurement Services, Inc.

The Journal Interview
Joseph McDonagh, CFA, BNY Mellon

A Modification of the Modified Dietz Approach
Paolo Antonio Cucurachi, Ph.D., University of Salento
Ugo Pomante, Ph.D., University of Rome Tor Vergata

Mathematics Behind Multilevel Attribution: Keeping Apples and Oranges Separate
Dmitry Cherkasov, CIPM, RBC Global

Fall 2013
VOLUME 18 – NUMBER 1

Design Considerations for Performance Presentations
Timothy P. Ryan, CIPM, FRM, Hartford

Decomposition of Emerging Market Currency Risk: A Hedging Application
Gavin Francis, Insight
Erin Musli, Insight
Tom Cella, CFA, Insight

The Journal Interview
Peter Luntang Christensen, PFA Asset Management

Choosing the Right Solution of IRR Equation to Measure Investment Success
Yuri Shestopaloff, Ph.D., SegmentSoft Inc.
Alexander Shestopaloff, University of Toronto

The GIPS Standards & Asset Owners
David Spaulding, CIPM, The Spaulding Group

Winter 2013/2014
VOLUME 18 – NUMBER 2

Operational and IT Consequences of Performance Reporting
Bruce Russell, Bridge

Measuring Performance in the Presence of Deposits and Withdrawals
Thomas Becker, Ph.D., University of Heidelberg, Germany

The Journal Interview
Richard Mitchell, CFA, CIPM, OPSEU Pension Trust

Cumulative Frongello-Equivalent Attribution
Timothy Svenson, Ph.D., Funds SA

A Simplified Fixed Income Performance Attribution Model
Peter Simons, CloudAttribution
Anton Karadakov, CloudAttribution

Spring 2014
VOLUME 18 – NUMBER 3

What Characteristics Indicate Skill in Equity Management
Malcolm Smith, Inalytics

Puzzles in Risk and Performance
Marcus Hedbring, Rimram Consulting

The Journal Interview
John D. Simpson, CIPM, The Spaulding Group

Portfolio Manager Control Considerations in Leveraged Senior Loan Performance Attribution
Sean Kelley, PPM America

Performance Attribution for Portfolios that Trade Futures Contracts
Philippe Grégoire, Ph.D., Orfival and Yves Hennard, CAIA, Union Bancaire Privee

Fixed Income Attribution: the Strength of the Full-Repricing
Grégoire Hug, BNP Paribas Securities Services and
Valérie Nicaise, BNP Paribas Securities Services

Summer 2014
VOLUME 18 – NUMBER 4

Puzzles in Risk and Performances: Part 2
Marcus Hedbring, Rimram Consulting

Residual Interaction Compounding: A New Term in Multi-Period Arithmetic Attribution
Joseph D’Alessandro, CPA, Real Estate Insights

The Journal Interview: Jenny Lor
Jenny Lor, CIPM, FRM, CitiTrust Limited

Contributions of Initial Holdings and Transactions to Performance
Laurent Cantaluppi, Ph.D., Cantaluppi & Hug

Mind the GAP: Questioning the Investment Manager’s Stated Benchmark
Panagiota Balfousia, CFA

Exact Multi-Period Performance Attribution Model
Carsten Berg, Danske Capital

Fall 2014
VOLUME 19 – NUMBER 1

Attributing the Risk and Return of Benchmark Misfit
DeWitt Miller, CFA, FRM, Wurts & Associates,
Anil Rao, MSCI and
Jose Menchero, Ph.D., CFA

Separating the Impact of Portfolio Management Decisions
Timothy P. Ryan, CIPM, FRM

The Journal Interview: Bernd Fischer
Bernd R. Fischer, Ph.D., IDS GmbH

Why Do We Abuse, Misue, and Confuse Standard Deviation
David D. Spaulding, DPS, CIPM

Value at Risk and Expected Shortfall: A Primer
Ben Sopranzetti, Ph.D., Rutgers Business School

New Prospect Ratio: Application to Hedge Funds with Higher Order Moments
Yasuaki Watanabe, Ph.D., Osaka and Kinki University

Winter 2015
Volume 19 – Number 2

Fixed Income Attribution with Carry Effect
Tianci Dai, CFA, CIPM, SS&C and
Mark Elliott, SS&C

The Associative Property of Attribution Linking
Yindeng Jiang, CFA, University of Washington and
Joseph Sáenz, Ph.D., University of Washington

The Journal Interview
William H. Starbuck, Ph.D., University of Oregon and New York University

New Look at Multi-Period Attribution: Solving Rebalancing Issue
Dmitry Cherkasov, CFA, CIPM, RBC Global Asset Management

Visualization, R, ggplot2, and Applied Finance in Performance Measurement
Rodolfo Vanzini, eXponential s.r.l.

Contribution Fundamentals
David Spaulding, DPS, CIPM, The Spaulding Group

Spring 2015
Volume 19 – Number 3

The Sharpe Ratio Revisited: What It Really Tells Us
Arun Muralidhar, Mcube Investment Technologies LLC

Comparing Ex-Ante Tracking Error Estimates Across Time
Neil Riddles, Riddles Investment Consulting, LLC

The Journal Interview
Dax Johnson, CFA, State Street

A Periodic Table of Risk Measures – Version 2
Carl Bacon, CIPM, StatPro

Risk-Adjusted Performance Ratios: Part 1
John D. Simpson, CIPM, The Spaulding Group

Multiple-Period Attribution: Residuals and Compounds
Brian D. Singer, CFA, William Blair & Company,
Miguel Gonzalo, Adams Street Partners and
Mark Lederman

Summer 2015
Volume 19 – Number 4

Measuring a Manager’s Trajectory – a (Very) Simple Approach
Daniel Blum, JP Morgan

The Right and Wrong of Ranks: Why Short-Term Ranks are Poor Performance Proxies and What to do About It
Armin Grueneich, Ph.D.

The Journal Interview
Joe Nardulli, Northern Trust

Pension Fund Investment Performance – What Method to Use When
Peter O. Dietz, Ph.D.

Multi-Period Performance Attribution: Framework for an Allocation Effect Taking Active Weight Drift into Account
Bas Leerink, CIPM, Ortec Finance and
Gerard C.M. van Breukelen, CIPM, Robeco

Risk-Adjusted Performance Ratios: Part 2
John D. Simpson, CIPM, The Spaulding Group

Fall 2015
Volume 20 – Number 1

How to Select Investment Portfolios Using Performance Analysis
Timothy P. Ryan, CIPM, FRM, CAIA, Hartford Investment Management Company

A Best Practice Framework for the Measurement and Analysis of Investment Performance
Peter Ellis, Ph.D., Bi-Sam

The Journal Interview
David Spaulding, DPS, CIPM, The Spaulding Group, Inc.

Combining Approaches of Analysis: The Integrated Risk Indicator Matrix
Mark Goodey, CERT IoD, J.P. Morgan Asset Management and
Aatish Garg, CFA, J.P. Morgan

Introducing Aggregate Return on Investment as a Solution to the Contradiction Between Some PME Metrics and IRR
Dean Altshuler, Ph.D., CFA, Bard Consulting LLC and
Carlo Alberto Magni, Ph.D., University of Modena and Reggio Emilia

Factor-Based Asset Allocation and Illiquid Investments
Dan diBartolomeo, Northfield Information Services

Winter 2015/2016
Volume 20 – Number 2

Liquidity Risk and Performance Attribution
Ben Sopranzetti, Ph.D., Rutgers Business School

Risk and Asset Allocation Inclusive of Pension Funding, “Full” and Otherwise
Dan diBartolomeo, Northfield Information Services

The Journal Interview
Valérie Nicaise, BNP Paribas and Grégoire Hug, BNP Paribas

Process Attribution: Revisiting Equity Attribution and Decision Making
Andrew Kophamel, CFA and
Ben Wang, Ph.D., National University of Singapore

Multi-Level Geometric Attribution, Revamped
Dmitry Cherkasov, CFA, CIPM, RBC Global

Are All Market Indexes Created Equal?
Frances Barney, CFA, CIPM, BNY Mellon
Dax Johnson, CFA, State Street
Joseph Nardulli, Northern Trust
David Spaulding, DPS, CIPM, The Spaulding Group
Allen Cheng, CFA, FRM, IRAS, and
Jamie Verrengia, State Street

Spring 2016
Volume 20 – Number 3

Attribution Hears a Who! The Case for Decision Maker-Based Attribution
Arun Muralidhar, Ph.D., Mcube Investment Technologies LLC

Performance Attribution of Money-Weighted Return without Rebalancing to Strategy Allocation
Rafael Bischof, Cantaluppi & Hug
Laurent Cantaluppi, Cantaluppi & Hug and
Regula Walser, Cantaluppi & Hug

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

Performance Evaluation for Long-Term Value-Based Investors
Geoff Warren, Ph.D., Centre for International Finance and Regulation

An Advocacy for a Chief Performance Officer (CPO)
Ioannis Segounis, CFA, CIPM, Phocion Investment Services

Abnormal Returns
Carl Bacon, CIPM, StatPro plc.
Ian Thompson, Ph.D. StatPro plc. and
Pierre van der Westhuizen, StatPro plc.

Summer 2016
Volume 20 – Number 4

On Measuring Performance Toward Retirement
Hal Forsey, Ph.D., San Francisco State University and
Frank Sortino, Ph.D., San Francisco State University

Using Brinson Attribution to Explain the Differences Between Time-Weighted (TWR) and Money-Weighted (IRR) Returns
Joe D’Alessandro, NCREIF

The Journal Interview
Pam Krueger, WealthRamp

On the Impact of Closet Indexing in Active Fund Management
Wai Mun Fong, National University of Singapore

Equity Attribution Smoothing Method for Non-Rebalanced Periods
Tianci (Austin) Dai, CFA, CIPM, SS&C

Risk-adjusted performance attribution: why it makes sense and how to do it
David Spaulding, DPS, CIPM, The Spaulding Group

Fall 2016
Volume 21 – Number 1

Fair and Transparent Performance Fee – Part One
Steinar Eikeland, Industrifinans Kapitalforvaltning

Highlights of the GIPS Conference
Ashley Reeves, CIPM, The Spaulding Group

The Journal Interview
Paul Smith, CFA, CFA Institute

Performance Analysis for Alternative Investment Classes
John D. Simpson, CIPM, The Spaulding Group

Performance Drawdowns in Asset Management: Extending Drawdown Analysis to Active Returns
Daryl Bradford, CFA, CIPM, Acadian Asset Management and
Daniel Siliski, CAIA, Acadian Asset Management

Making Sense of Geometric Linking
David Spaulding, DPS, CIPM, The Spaulding Group

Winter 2016/2017
Volume 21 – Number 2

The Case Against Time-Weighted Return for Alternative Investments
Timothy F. Peterson, CFA, CAIA, CIPM, Cane Island Alternative Investors

Puzzles in Risk and Performance: Part 3
Marcus Hedbring, Rimram Consulting

The Journal Interview
Karyn Vincent, CFA, CFA, CIPM

Do You Have Compliance Overconfidence?
Ashley Reeves, CIPM, The Spaulding Group

Fair and Transparent Performance Fee – Part Two
Steiner Eikeland, Industrifinans Kapitalforvaltning

What the COO Needs to Know About Performance Measurement
David Spaulding, DPS, CIPM, The Spaulding Group

Spring 2017
Volume 21 – Number 3

Performance Attribution for Passive Strategies
Dax Johnson, CFA, CIPM, State Street

Puzzles in Risk and Performance: Part 4
Marcus Hedbring, Rimram Consulting

The Journal Interview
John C. Bogle, The Vanguard Group, Inc.

What the CCO Needs to Know About Performance Measurement
David Spaulding, DPS, CIPM, The Spaulding Group

Portfolio Analytics with Leveraged Securities
Shervin Hanachi, Ph.D. CFA, Thomson Reuters and
Sason Torosean, Thomson Reuters

Annual Risk Measures and Related Statistics
Arno E. Weber, CIPM, Ortec Finance

Summer 2017
Volume 21 – Number 4

Residuals on Duration-based Fixed Income Attribution
João Sousa Dias, Eagle Investment Systems

GIPS 20/20
Carl R. Bacon, CIPM, Statpro

The Journal Interview
Nick Sharp, Ph.d., MSCI

Net-of-Fee Performance Calculations
Andre Mirabelli, Ph.D., Opturo and
Krista Harvey, CFA, CIPM, TIAA

A Measure for Evaluating the Distributions of Ex-Ante Forecast Returns
Masahito Shimizu, Tokyo Institute of Technology

Confronting the Challenges of Multi-Level Attribution
David Spaulding, DPS, CIPM, The Spaulding Group

Fall 2017
Volume 22- Number 1

An Upper Bound for Ex-Post Sharpe Ratio with Application in Performance Measurement
Raymond H. Chan, Ph.D., The Chinese University of Hong Kong
Kelvin K. Kan, The Chinese University of Hong Kong and
Alfred K. Ma, Ph.D., The Chinese University of Hong Kong

The Time Contradiction(in Asset Management and Asset Pricing) Between Investor Decision Horizons and Time Needed to Establish Skill
Arun Muralidhar, Ph.D., George Washington University

The Roundtable Interview
Hicham el Bonne, Ortec Finance
Claude Giguere, Robust Technologies
Katie Kiss, Confluence
Ian Thompson, Ph.D., StatPro and
Neil Smyth, StatPro

The Persistence of PE Performance
Greg Brown, Ph.D., Frank Hawkins Institute of Private Enterprise
Wendy Hu, Ph.D., Burgiss
Kelly Meldrum, CFA Adams Street Partners
Raymond Chan, CFA, FRM, Adams Street Partners and
Tobias True, CFA, FRM, Adams Street Partners

The Role of Trading in Portfolio Performance Attribution
Henri Waelbroeck, Ph.D., Portware and
Carla S. Gomes, Ph.D.,

Performance Measurement Technology Survey – Detailed Results
David Spaulding, DPS, CIPM, The Spaulding Group

Winter 2017/2018
Volume 22- Number 2

The “Missing Link” in Benchmarking Private Equity Performance and a New Twist on “Alpha”
Joe D’Alessandro, NCREIF

Illiquidity and Performance Attribution: A Primer
Alexander Amati, Ph.D., Rutgers Business School and
Ben J. Sopranzetti, Ph.D., Rutgers Business School

The Journal Interview
Ben J. Sopranzetti, Ph.D., Rutgers Business School

Evolving Performance Attribution to Support Exploratory Excess Return Decomposition
Mike Canty, CFA, Capital Group Companies

Some Problems of the IRR in Measuring PEI with Performance and How to Solve it with the Pure-Investment AIRR
Carlo Alberto Magni, University of Modena and Reggio Emilia and
James R. Cuthbert, Sussex University

The GIPS Standards & Asset Owners
David D. Spaulding, DPS, CIPM, The Spaulding Group
Ashley Reeves, CIPM, The Spaulding Group and
John D. Simpson, CIPM, The Spaulding Group

Spring 2018
Volume 22- Number 3

Investment Risk
Kyle Ringrose, Athena IOC

Parametric Risk and “Mean Return”
Which µ is for you?
Paule Giles, Teachins

The Journal Interview
Elske van de Burgt, CFA, Ortec Finance

An Optimization Approach for Content Determination in a Performance Attribution Report
Brian Craig, Ph.D., Lamar Univerisity;
James Curry, Ph.D., Lamar University;
Alberto Marquez, Ph.D., Lamar University;
Mathiur Rahman, Ph.D.. McNeese State University;
Lonnie Turpin, Jr., Ph.D., McNeese State University; and
Ryan Underwood, Ph.D., Lamar University

A Practical Journey through Risk for Performance Analysis
Marten Klok, Ph.D., CIPM

Transaction- vs. Holdings-Based Attribution: The Differences are not so Clear, but Quite Important
David D. Spaulding, DPS, CIPM, The Spaulding Group

Summer 2018
Volume 22- Number 4

Geometric Attribution and the Interaction Effect
Arno E. Weber, CIPM, Ortec Finance

The Journal Interview
Ken Grossfield, CFA, Strategic and
Nicole Wellmann Kraus, CFA, Strategic

Best Practices for GIPS® Policies and Procedures
David D. Spaulding, DPS, CIPM, The Spaulding Group

Fall 2018
Volume 23 – Number 1

On the Relation Between Money- and Time-Weighted Rates of Return and its Implications
John E. Woods, Ph.D.

Target Date Fund Benchmarks
Ronald J. Surz, PPCA Inc.

The Journal Interview
Michael S. Caccese, Esq., K&L Gates

Public Market Equivalents: Methods and Considerations
Timothy F. Peterson, CFA, CAIA, Cane Island Alternative Investors

Performance Measurement: Ripe for Disruption
Mark Goodey, Dip IoD, Eagle Investment Systems

Abnormal Returns: Part 2
Carl Bacon, CIPM, StatPro;
Ian Thompson, Ph.D., StatPro and
Pierre van der Westhuizen, StatPro

Winter 2018/2019
Volume 23 – Number 2

Portfolio Performance Evaluation: What Differences do Logarithmic Returns Make?
Ralf Hudert, CIPM, DWS Holding and Services;
Michael G. Schmitt, CFA, International School of Management and
Michael von Thaden, International School of Management

Seeing the RMD in a New Light: The Required Minimum Distribution and its Implications for Retired Portfolio Design
Craig L. Israelsen, Ph.D., Utah Valley University

The Journal Interview
Matthew Liposky, PRIM

Expected Rate of Return of Investments with Uncertain Timing
Boris Klebanov, Ph.D.

Active Managers Without Complete Discretion: A Case Study Using Extensions of Various Attribution Models
Ted Heemskerk, CQF, FRM, De Nederlandsche Bank and
Gerard C. M. van Breukelen, CIPM, Robeco

Spring 2019
Volume 23 – Number 3

Portfolio Management via a Holistic and Efficiency-Driven Decision Process
Stephen Campisi, CFA

How to Best Annualize Rates of Return
David D. Spaulding, DPS, CIPM, The Spaulding Group

The Journal Interview
Brian D. Singer, CFA, William Blair and Company

Multi-Period Contribution Analysis – Part 1
Paul Giles, Teachins and
Ian Thompson, Ph.D., StatPro

High and Higher Accuracy Analytical Approximations of the Internal Rate of Return
Boris Klebanov, Ph.D.

Global Asset Management and Performance Attribution
Denis S. Karnosky, Ph.D. and
Briand D. Singer, CFA, William Blair and Company

Summer 2019
Volume 23 – Number 4

Risk-Adjusted Performance Attribution
Keld Asnæs, Sampension

The Kappa-Calmar Risk-Adjusted Performance Ratio for Capital Protection
Johannes C. Kloppers, Ph.D., Ashburn Investments

The Journal Interview
Carl Bacon, CIPM, Otos Ltd

Multi-Period Contribution Analysis – Part 2
Paul Giles, Teachins and
Ian Thompson, Ph.D., StatPro

A Method to Estimate Transaction Costs
David D. Spaulding, DPS, CIPM, The Spaulding Group

Combining Attribution Effects Over Time
David Cariño, Ph.D.

Fall 2019
Volume 24 – Number 1

Measuring the Contribution of SRI/ESG Investment Strategies
Philippe Grègoire, Ph.D., University of Louvain

The Next Step in the Evolution of Decision-based Attribution:
Micro or Rules-based Attribution (and the Atoms of Attribution)
Arun Muralidhar, Ph.D., Mcube Investment Technologies LLC and
Sanjay Muralidhar, Mcube Investment Technologies LLC

The Journal Interview
Bas Leerink, CIPM, Ortec Finance

A Framework for Benchmarking Private Investments
Jill Shaw, Cambridge Associates
Carlos Herrera and
Christine Cheong

An Analysis of a Generalization of the Modified Dietz Rate of Return
Boris Klebanov, Ph.D.

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

Winter 2019/2020
Volume 24 – Number 2

Finding and Retaining Quality Performance and Risk Talent
Frances Barney, CFA, BNY Mellon

Driving Force: How Performance Evaluation is Becoming an Engine of Investment Industry Growth
CFA Institute

The Journal Interview
Todd Juillerat, CFA, The Spaulding Group

2020 GIPS Standards survey #1 Detailed Results
David Spaulding, DPS, CIPM, The Spaulding Group

Python in the Performance Team
Jonnathan De Jesus Luna, CFA, Members Trust Company

LANDMARK ARTICLE: Performance Measurement and Attribution with Leverage and Derivatives
Damien Laker, CIPM

Spring 2020
Volume 24 – Number 3

Risk Statistics in Performance Calculators: Suitable and Scalable?
Jose R. Michaelraj, CIPM, Meradia

Annualizing Returns, Contributions, and Attribution Effects
David Suarez, CFA, Refinitiv

The Journal Interview
Ashley Reeves, CFA, The Spaulding Group

The Four Horsemen of the Investment Apocalypse: Pandemic, War, Corruption, and Climate Change
Dan DiBartolomeo, CIPM, Northfield Investment Services

Attribution-driven Investment Decision Processes
Arno Weber, CIPM, Ortec Finance

Helping Those Who Sell for You (and Others) Understand the Math
David D. Spaulding, DPS, CIPM, The Spaulding Group

Summer 2020
Volume 24 – Number 4

Performance Reporting Considerations: Environmental, Socal, and Governance Investment Strategies
Laurie J. Hesketh, CIPM, PMP, Meradia

The 70 Year History of Investment Consulting: 1950-2020
Ronald Surz, Target Date Solutions

The Journal Interview
Karyn D. Vincent, CFA, CIPM, CFA Institute

The 2020 GIPS Standards and the CIPM Program Curriculum
Jeanne Murphy, CFA, CAIA

Fixed Income Attribution: Focusing on Trading Effects Analytics, a Practitioner Hybrid Approach
Kun Hu, CFA, CIPM, FRM, BNP Paribas Securities Services and Jingshan Wang, BNP Paribas Securities Services

Landmark Article: Primer on Fixed Income Performance Attribution
Stephen Campisi, CFA, The Pensar Group

Fall 2020
Volume 25 – Number 1

Re-Engineering Karnosky-Singer: Utility, Versatility and Insight for Practical Multi-currency Management
Mark R. David, CFA, Meradia

What’s in Your Platform (of Funds)? A Message to Investment Management Firms
Stephen Campisi, CFA, The Pensar Group

The Journal Interview
Steve O’Brien, RIMES

Mastering the Dimensions of Correlations
Hens Steehouwer, Ortec Finance

Ch – ch- ch – ch – Changes! Transitioning Roles from Head of Performance to Verifier
Jennifer Barnette, CIPM, The Spaulding Group and Todd Juillerat, CFA

LANDMARK ARTICLE: A Primer of Time-Weighted and Dollar-Weighted Return
Steven J. Lerit, CFA, Stifel Financial Group

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