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<br /> THE JOURNAL OF<br /> PERFORMANCE<br /> MEASUREMENT®<br /> THE PERFORMANCE MEASUREMENT RESOURCE VOLUME 24 : NUMBER 1<br /> n MEASURING THE CONTRIBUTIONS OF SRI/ESG INVESTMENT STRATEGIES<br /> n THE NEXT STEP IN THE EVOLUTION OF DECISION-BASED ATTRIBUTION:<br /> MICRO OR RULES-BASED ATTRIBUTION (AND THE ATOMS OF ATTRIBUTION<br /> n THE JOURNAL INTERVIEW - BAS LEERINK<br /> n A FRAMEWORK FOR BENCHMARKING PRIVATE INVESTMENTS<br /> n AN ANALYSIS OF A GENERALIZATION OF THE MODIFIED DIETZ RATE OF RETURN<br /> n AN OPTIMIZED APPROACH TO LINKING ATTRIBUTION EFFECTS OVER TIME<br /> A PUBLICATION OF THE SPAULDING GROUP, INC.<br /> Enhan<br /> master<br /> invest<br /> Delive n<br /> Maste C<br /> rI<br /> r<br /> ce your performance by<br /> ing the complexity of<br /> ment decision-making<br /> sights | Use Experts<br /> omplexity <a title="JPM_Fall2019_24-1 page 1" href="http://viewer.zmags.com/publication/2777abe9?page=1"> THE JOURNAL OF PERFORMANCE MEASUREMENT® THE PER</a> <a title="JPM_Fall2019_24-1 page 2" href="http://viewer.zmags.com/publication/2777abe9?page=2"> Enhan master invest Delive n Maste C rI r ce</a> <a title="JPM_Fall2019_24-1 page 3" href="http://viewer.zmags.com/publication/2777abe9?page=3"> The Journal of Performance Measurement </a> <a title="JPM_Fall2019_24-1 page 4" href="http://viewer.zmags.com/publication/2777abe9?page=4"> The Journal of Performance Measurement </a> <a title="JPM_Fall2019_24-1 page 5" href="http://viewer.zmags.com/publication/2777abe9?page=5"> Train Your Entire Performance Staff for HALF PRIC</a> <a title="JPM_Fall2019_24-1 page 6" href="http://viewer.zmags.com/publication/2777abe9?page=6"> Letter from the Editor The winner of thi</a> <a title="JPM_Fall2019_24-1 page 7" href="http://viewer.zmags.com/publication/2777abe9?page=7"> Letter from the Publisher I was pleased </a> <a title="JPM_Fall2019_24-1 page 8" href="http://viewer.zmags.com/publication/2777abe9?page=8"> THE COLUMNISTS JPM asks six perfo</a> <a title="JPM_Fall2019_24-1 page 9" href="http://viewer.zmags.com/publication/2777abe9?page=9"> DARREN CROWLEY We look for individuals who are</a> <a title="JPM_Fall2019_24-1 page 10" href="http://viewer.zmags.com/publication/2777abe9?page=10"> Measuring the Contributions of SRI/ESG Investment</a> <a title="JPM_Fall2019_24-1 page 11" href="http://viewer.zmags.com/publication/2777abe9?page=11"> The Journal of Performance Measureme</a> <a title="JPM_Fall2019_24-1 page 12" href="http://viewer.zmags.com/publication/2777abe9?page=12"> not fully integrated in market prices, which mean</a> <a title="JPM_Fall2019_24-1 page 13" href="http://viewer.zmags.com/publication/2777abe9?page=13"> Table 1: All Scores Have Been Rounded Criteria </a> <a title="JPM_Fall2019_24-1 page 14" href="http://viewer.zmags.com/publication/2777abe9?page=14"> SECTION 2 - ESG ATTRIBUTION MODELS 2.1 MODEL FOR</a> <a title="JPM_Fall2019_24-1 page 15" href="http://viewer.zmags.com/publication/2777abe9?page=15"> ��,�. �� = ����,� We can also write returns for </a> <a title="JPM_Fall2019_24-1 page 16" href="http://viewer.zmags.com/publication/2777abe9?page=16"> Table 3 ESG Consumer discretionary Metrics ��</a> <a title="JPM_Fall2019_24-1 page 17" href="http://viewer.zmags.com/publication/2777abe9?page=17"> create one intermediary ESG benchmark used for st</a> <a title="JPM_Fall2019_24-1 page 18" href="http://viewer.zmags.com/publication/2777abe9?page=18"> industry level and not the overall effect. In thi</a> <a title="JPM_Fall2019_24-1 page 19" href="http://viewer.zmags.com/publication/2777abe9?page=19"> ESG effect is obtained as follows: ��� ������ = </a> <a title="JPM_Fall2019_24-1 page 20" href="http://viewer.zmags.com/publication/2777abe9?page=20"> And </a> <a title="JPM_Fall2019_24-1 page 21" href="http://viewer.zmags.com/publication/2777abe9?page=21"> Verified, but are you really compliant? If you'</a> <a title="JPM_Fall2019_24-1 page 22" href="http://viewer.zmags.com/publication/2777abe9?page=22"> The Next Step in the Evolution of Decision-Based </a> <a title="JPM_Fall2019_24-1 page 23" href="http://viewer.zmags.com/publication/2777abe9?page=23"> agement in that investment decisions should be ba</a> <a title="JPM_Fall2019_24-1 page 24" href="http://viewer.zmags.com/publication/2777abe9?page=24"> SECTION II. A SIMPLE TWO-TIER (QUANTITATIVE OR </a> <a title="JPM_Fall2019_24-1 page 25" href="http://viewer.zmags.com/publication/2777abe9?page=25"> gregate, and then the conditionality within the r</a> <a title="JPM_Fall2019_24-1 page 26" href="http://viewer.zmags.com/publication/2777abe9?page=26"> Figure 2: The Micro-Level IDP and th</a> <a title="JPM_Fall2019_24-1 page 27" href="http://viewer.zmags.com/publication/2777abe9?page=27"> derperforming legs. This might release additional</a> <a title="JPM_Fall2019_24-1 page 28" href="http://viewer.zmags.com/publication/2777abe9?page=28"> should go overweight or underweight. The same can</a> <a title="JPM_Fall2019_24-1 page 29" href="http://viewer.zmags.com/publication/2777abe9?page=29"> Ryan, Timothy P. 2001. “Separating the Impact of </a> <a title="JPM_Fall2019_24-1 page 30" href="http://viewer.zmags.com/publication/2777abe9?page=30"> The Journal Interview Bas Leerink, CIPM is head</a> <a title="JPM_Fall2019_24-1 page 31" href="http://viewer.zmags.com/publication/2777abe9?page=31"> a fairly strong presence in the asset owners spac</a> <a title="JPM_Fall2019_24-1 page 32" href="http://viewer.zmags.com/publication/2777abe9?page=32"> both asset managers and asset owners, and that is</a> <a title="JPM_Fall2019_24-1 page 33" href="http://viewer.zmags.com/publication/2777abe9?page=33"> one if not multiple additional dimensions are inc</a> <a title="JPM_Fall2019_24-1 page 34" href="http://viewer.zmags.com/publication/2777abe9?page=34"> dustry is the availability of data. Each investme</a> <a title="JPM_Fall2019_24-1 page 35" href="http://viewer.zmags.com/publication/2777abe9?page=35"> A Framework for Benchmarking Private Investments </a> <a title="JPM_Fall2019_24-1 page 36" href="http://viewer.zmags.com/publication/2777abe9?page=36"> have developed a framework that seeks to address </a> <a title="JPM_Fall2019_24-1 page 37" href="http://viewer.zmags.com/publication/2777abe9?page=37"> is the most appropriate measure for private inves</a> <a title="JPM_Fall2019_24-1 page 38" href="http://viewer.zmags.com/publication/2777abe9?page=38"> Figure 2: The Disconnect Between IRRs and TWRs fo</a> <a title="JPM_Fall2019_24-1 page 39" href="http://viewer.zmags.com/publication/2777abe9?page=39"> a distribution). TWRs and IRRs are equivalent ove</a> <a title="JPM_Fall2019_24-1 page 40" href="http://viewer.zmags.com/publication/2777abe9?page=40"> Convergence of TWRs and IRRs Is Not a Given Many</a> <a title="JPM_Fall2019_24-1 page 41" href="http://viewer.zmags.com/publication/2777abe9?page=41"> Figure 3: Early Performance Strongly Influences </a> <a title="JPM_Fall2019_24-1 page 42" href="http://viewer.zmags.com/publication/2777abe9?page=42"> Figure 5: Median Number of Years to Settle into F</a> <a title="JPM_Fall2019_24-1 page 43" href="http://viewer.zmags.com/publication/2777abe9?page=43"> Figure 6: Number of Quartile Rankings Experienced</a> <a title="JPM_Fall2019_24-1 page 44" href="http://viewer.zmags.com/publication/2777abe9?page=44"> investors should pay little attention to any comp</a> <a title="JPM_Fall2019_24-1 page 45" href="http://viewer.zmags.com/publication/2777abe9?page=45"> ment contributions are invested in public market </a> <a title="JPM_Fall2019_24-1 page 46" href="http://viewer.zmags.com/publication/2777abe9?page=46"> with a largely illiquid portfolio or with fewer a</a> <a title="JPM_Fall2019_24-1 page 47" href="http://viewer.zmags.com/publication/2777abe9?page=47"> stream of cash flows that is representative of re</a> <a title="JPM_Fall2019_24-1 page 48" href="http://viewer.zmags.com/publication/2777abe9?page=48"> 100% 90% 80% 70% 60% 50% Percentage of</a> <a title="JPM_Fall2019_24-1 page 49" href="http://viewer.zmags.com/publication/2777abe9?page=49"> Figure 10: Case Study: Did Allocating to Privates</a> <a title="JPM_Fall2019_24-1 page 50" href="http://viewer.zmags.com/publication/2777abe9?page=50"> Figure 12: Case Study: Did Manager Selection Add </a> <a title="JPM_Fall2019_24-1 page 51" href="http://viewer.zmags.com/publication/2777abe9?page=51"> benchmark scenarios. For this particular portfoli</a> <a title="JPM_Fall2019_24-1 page 52" href="http://viewer.zmags.com/publication/2777abe9?page=52"> An Analysis of a Generalization of the Modified D</a> <a title="JPM_Fall2019_24-1 page 53" href="http://viewer.zmags.com/publication/2777abe9?page=53"> period, it is often assumed – for the sake of sim</a> <a title="JPM_Fall2019_24-1 page 54" href="http://viewer.zmags.com/publication/2777abe9?page=54"> period both investments had an outgoing cash flow</a> <a title="JPM_Fall2019_24-1 page 55" href="http://viewer.zmags.com/publication/2777abe9?page=55"> and thus a random variable itself. We will call t</a> <a title="JPM_Fall2019_24-1 page 56" href="http://viewer.zmags.com/publication/2777abe9?page=56"> and if we assume further that every random variab</a> <a title="JPM_Fall2019_24-1 page 57" href="http://viewer.zmags.com/publication/2777abe9?page=57"> Table 1: Deviations of Various Rates of Return fr</a> <a title="JPM_Fall2019_24-1 page 58" href="http://viewer.zmags.com/publication/2777abe9?page=58"> when C tends to zero? Note that when C tends to z</a> <a title="JPM_Fall2019_24-1 page 59" href="http://viewer.zmags.com/publication/2777abe9?page=59"> ED-rates). If the Convergence Condition holds, th</a> <a title="JPM_Fall2019_24-1 page 60" href="http://viewer.zmags.com/publication/2777abe9?page=60"> function of tj if GCj > 0 (resp. if GCj < 0), </a> <a title="JPM_Fall2019_24-1 page 61" href="http://viewer.zmags.com/publication/2777abe9?page=61"> a. R is a strictly increasing (strictly dec</a> <a title="JPM_Fall2019_24-1 page 62" href="http://viewer.zmags.com/publication/2777abe9?page=62"> It follows from (5) and (7) that both A and G + A</a> <a title="JPM_Fall2019_24-1 page 63" href="http://viewer.zmags.com/publication/2777abe9?page=63"> Chestopalov, Iourii and Sergei Beliaev, “A simpli</a> <a title="JPM_Fall2019_24-1 page 64" href="http://viewer.zmags.com/publication/2777abe9?page=64"> AnOptimAipzperdotaoLcihnkAitntgribEuftfieocnts Ov</a> <a title="JPM_Fall2019_24-1 page 65" href="http://viewer.zmags.com/publication/2777abe9?page=65"> SINGLE-PAERRITOHDMETIC Similtahtrelrmyi</a> <a title="JPM_Fall2019_24-1 page 66" href="http://viewer.zmags.com/publication/2777abe9?page=66"> Howevera,pptrhoixsibrmeadtokwisnofonrlarrg­e Thpe</a> <a title="JPM_Fall2019_24-1 page 67" href="http://viewer.zmags.com/publication/2777abe9?page=67"> proafaccht,koforpertiodsdefinbeytdhfoellowIi­tisn</a> <a title="JPM_Fall2019_24-1 page 68" href="http://viewer.zmags.com/publication/2777abe9?page=68"> monthlpoyrtfolainod Figu1re </a> <a title="JPM_Fall2019_24-1 page 69" href="http://viewer.zmags.com/publication/2777abe9?page=69"> tosreleic1st4i.op1ne8rcent. Usitnhgoepmtizceodfe</a> <a title="JPM_Fall2019_24-1 page 70" href="http://viewer.zmags.com/publication/2777abe9?page=70"> Tab1le 0g)anOdptim(i/3z?1eCdoeff</a> <a title="JPM_Fall2019_24-1 page 71" href="http://viewer.zmags.com/publication/2777abe9?page=71"> The Journal</a>