The Spaulding Group - Management Consultants and Information Providers to the Money Management Industry

Articles of The Journal of Performance Measurement

Fall 1996
Volume 1 - Number 1

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

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

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

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

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

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

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

Winter 1996
Volume 1 - Number 2

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

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

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

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

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

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

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

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

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

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

Summer 1997
Volume 1 - Number 4

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

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

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

The Journal Interview
Dugald Eadie, Henderson Administration Group

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

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

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

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

Fall 1997
Volume 2 - Number 1

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

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

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

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

The Third Biennial Performance Survey
David Spaulding, The Spaulding Group

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

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

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

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

Winter 1997/1998
Volume 2 - Number 2

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

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

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

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

Style Analysis
Mark Beardall, Aon Consulting

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

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

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

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

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

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

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

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

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

Global Investment Performance Standards

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

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

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

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

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

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

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

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

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

Simulation Value at Risk
Glyn A. Holton, Contingency Analysis

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

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

Seeing Tomorrow
Ron Dembo, Ph.D., Algorithmics, Inc.
Andrew Freeman, Economist Intelligence Unit
Designing and Evaluating Investment Performance Systems
Timothy F. Peterson, Portfolio Management Consultants, Inc.
Arithmetic and Geometric Attribution
J. Stephen Burnie, James A. Knowles, and Toomas J. Teder, Portfolio Analytics Ltd.

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.
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 and Amy Barton, Frank Russell Co.

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

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

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

The Journal Interview
John Stannard, Russell Data Services

Applying Risk-Measurement and Management in the Administration of Large Asset Pools
Kevin Tan 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

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

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

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

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

The Journal Interview
Matt E. Forstenhausler, Ernst & Young

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

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

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

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

Pursuing Performance Persistence: Consistency, Information Ratios, and Style
Thomas H. Goodwin, Ph.D., 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

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

Winter 1999/2000
Volume 4 - Number 2

Improving Risk Measurement, Analysis and Management (with a little more help from Euclid)
Brian Singer, Christoph Kessler, Günter Schwarz, Kevin Terhar 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., Andrew Turner, Ph.D., 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

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

Spring 2000
Volume 4 - Number 3

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

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

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

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

Just Ask!
Mike Smith, Cutter Associates

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

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

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

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

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

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, Wayne Kozun, Valter Viola 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 and Jenny Bäckström, Trevise Unibank Investment Management AB

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

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

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

The Journal Interview
Ian McAra, JP Morgan

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

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

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

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

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

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

The Journal Interview
Carl Bacon, StatPro

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

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

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

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

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., Jacques Longerstaey, Jacob D. Rosengarten, and Kurt Winkelmann, Ph.D., Goldman Sachs and Paul R. Laubscher, IBM Retirement Fund

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

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

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

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

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

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

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

A Geometric Methodology for Performance Attribution
Andrew McLaren, SAMS

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

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

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

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

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

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

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

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

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

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

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

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

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

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

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

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

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

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

The Journal Interview
Franco Modigliani

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

Excess Returns-Arithmetic or Geometric?
Carl Bacon, StatPro

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

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

The Journal Interview
Frank Sortino, Ph.D., Pension Research Institute
A Universal Performance Measure
William F. Shadwick and Con Keating, The Finance Development Center

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

Risk Budgeting in Investment Management
Mark Lundin, Fortis Investment Management

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.

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

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

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

The Journal Interview
Brian Singer, UBS Global Asset Management

Attribution Linking: Proofed and Clarified
Andrew Scott Bay Frongello

Incremental Attribution with and without Notional Portfolios
Erik Valtonen, Ph.D., AP3

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

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

Performance Standards for Transition Management
Robert Collie, Frank Russell Securities

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

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

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

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

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

The Journal Interview
Stephen Campisi

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

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

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

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

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

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

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

Performance Presentation Standards Supplement 2003
Volume 7 - Number 0

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

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

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

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

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

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

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

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

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

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

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

Winter 2003/2004
Volume 8 - Number 2

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

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

The Journal Interview
Mark Anson, Ph.D. CalPERS

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

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

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

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

Spring 2004
Volume 8 - Number 3

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

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

The Journal Interview
Yoh Kuwabara, ChuoAoyama Audit Corporation

The Case for Money-weighted Performance Attribution
Stephen Campisi

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

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

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

Summer 2004
Volume 8 - Number 4

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

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

The Journal Interview
Gary Neale, Morley Fund Management

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

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

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

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

Technology Supplement
Volume 8- Number 0

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

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

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

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

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

Fall 2004
Volume 9- Number 1

Readers' Reflections
Carl de Wet, RMB Asset Management

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

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

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

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

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

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

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

Winter 2004/2005
Volume 9- Number 2

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

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

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

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

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

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

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

Spring 2005
Volume 9- Number 3

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

Toward Consensus on Multiple-period Arithmetic Attribution
Damien Laker

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

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

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

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

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

Summer 2005
Volume 9- Number 4

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

Performance Compliance Challenges for Investment Advisers
Jane Katz Crist

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

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

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

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

To Begin your Subscription or to Order a Specific Article Please Click Here:

To Receive a Trial Issue Please click here:

PERFORMANCE PRESENTATION STANDARDS SUPPLEMENT 2005
VOLUME 9 - SUPPLEMENT

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

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

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

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.

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

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

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

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

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

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

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 Bruskill, 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.

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

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

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 Investment Management Company

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

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

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

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

SUMMER 2007
VOLUME 11 - NUMBER 4
Performance Measurement for Covered Call Option Strategies
Andrew Kophamel and Babloo Sarin

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

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 toa Primary Risk Measure
David Spaulding, CIPM, The Spaulding Group

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

Performance Measurement for Pension Funds
Auke Plantinga, University of Groningen

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

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

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

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