The Resource Center - Articles

.......from The Journal of Performance Measurement®
We've obviously published numerous excellent articles that you should have in your library.
For brevity, we're only listing our Dietz Award winning articles. We also have a complete list of The Journal articles for your review or you can search for a specific topic or author using our search engine at our online store .

Dietz Award articles:

"Evaluation of Portfolio Performance: Attribution Analysis" by Brian Singer, UBS Brinson.

"The Attribution of Portfolio and Index Returns in Fixed Income" by Timothy Lord, Time Square Capital Management.


"Combining Effects Over Time" by David R. Carino, Ph.D., Frank Russell Company.


"The Challenge of After-Tax Reporting" by Douglas S. Rogers, C.F.A., CTC Consulting


"The Green Zone: Assessing the Quality of Returns" Robert B. Litterman, Ph.D., Jacques Longerstaey, Jacob D. Rosengarten, and Kurt Winkelmann, Ph.D. , Goldman Sachs.

"Decision-Based Evaluation of the Performance of a Heirarchically Structured Investment Process" Jeroen Geenen, Marc Heemskerk and Michael Heerema, Ortec International

"Long Term Risk Adjusted Attribution" Stephen Campisi, Intuitive Performance Solutions

"Performance Attribution for Short Positions" Jose Menchero, Thomson-Vestek

"Performance Attribution with Consistency and Depth" Timothy P. Ryan, Fidelity Investments & Research

Popular articles:
...

"The Information Ratio" by Thomas H. Goodwin (Nov. 1997)
Russell Research Commentary
Excellent article
copies should be available from Frank Russell

"Measuring Non-US Equity Portfolio Performance"
Gary Brinson and Nimrod Fachler
The Journal of Portfolio Management Spring 1985
Provides information on the Brinson/Fachler attribution model

"Determinants of Portfolio Performance"
Brinson, Hood, Beebower
Financial Analysts Journal July-August 1986

"Determinants of Portfolio Performance II: An Update"
Brinson, Singer, and Beebower
Financial Analysts Journal May-June 1991

 

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