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<br /> MPERAFSOURMEAMNECNET®<br /> THE JOURNAL OF<br /> THE PERFORMANCE MEASUREMENT RESOURCE VOLUME 23 : NUMBER 1<br /> INSIDE THIS ISSUE - FALL 2018<br /> n ON THE RELATION BETWEEN MONEY- AND TIME-WEIGHTED RATES OF RETURN<br /> AND ITS IMPLICATIONS<br /> n TARGET DATE FUND BENCHMARKS<br /> n THE JOURNAL INTERVIEW - MICHAEL S. CACCESE, ESQ.<br /> n PUBLIC MARKET EQUIVALENTS: METHODS AND CONSIDERATIONS<br /> n PERFORMANCE MEASUREMENT: RIPE FOR DISRUPTION<br /> n ABNORMAL RETURNS: PART 2<br /> RETURNS FOR SHORT POSITIONS AND PORTFOLIOS<br /> A PUBLICATION OF THE SPAULDING GROUP, INC.<br /> <br /> The Journal of Performance Measurement<br /> Editor Managing Editor<br /> Douglas Spaulding (DougSpaulding@SpauldingGrp.com) Patrick W. Fowler (PFowler@SpauldingGrp.com)<br /> Publisher<br /> <a title="JPM_Fall2018_23-1 page 1" href="http://viewer.zmags.com/publication/5a29b06c?page=1"> MPERAFSOURMEAMNECNET® THE JOURNAL OF THE PERF</a> <a title="JPM_Fall2018_23-1 page 2" href="http://viewer.zmags.com/publication/5a29b06c?page=2"> </a> <a title="JPM_Fall2018_23-1 page 3" href="http://viewer.zmags.com/publication/5a29b06c?page=3"> The Journal of Performance Measurement </a> <a title="JPM_Fall2018_23-1 page 4" href="http://viewer.zmags.com/publication/5a29b06c?page=4"> The Journal of Performance Measure</a> <a title="JPM_Fall2018_23-1 page 5" href="http://viewer.zmags.com/publication/5a29b06c?page=5"> Letter from the Editor As we enter our 23rd year</a> <a title="JPM_Fall2018_23-1 page 6" href="http://viewer.zmags.com/publication/5a29b06c?page=6"> Letter from the Publisher I want to begin by tha</a> <a title="JPM_Fall2018_23-1 page 7" href="http://viewer.zmags.com/publication/5a29b06c?page=7"> </a> <a title="JPM_Fall2018_23-1 page 8" href="http://viewer.zmags.com/publication/5a29b06c?page=8"> On the Relation Between Money- and Time-Weighted </a> <a title="JPM_Fall2018_23-1 page 9" href="http://viewer.zmags.com/publication/5a29b06c?page=9"> DietzAnn23-1_Layout 1 12/20/2018 9:47 AM Page 1 </a> <a title="JPM_Fall2018_23-1 page 10" href="http://viewer.zmags.com/publication/5a29b06c?page=10"> receiving any period t dividends and before the m</a> <a title="JPM_Fall2018_23-1 page 11" href="http://viewer.zmags.com/publication/5a29b06c?page=11"> m = 0.1972 . (15) so</a> <a title="JPM_Fall2018_23-1 page 12" href="http://viewer.zmags.com/publication/5a29b06c?page=12"> uity Markets and Long-Term Decision Making, notin</a> <a title="JPM_Fall2018_23-1 page 13" href="http://viewer.zmags.com/publication/5a29b06c?page=13"> (Myners, 2001, §50, p. 12). We conclude that exam</a> <a title="JPM_Fall2018_23-1 page 14" href="http://viewer.zmags.com/publication/5a29b06c?page=14"> Target Date Fund Benchmarks At $2 trillion and gr</a> <a title="JPM_Fall2018_23-1 page 15" href="http://viewer.zmags.com/publication/5a29b06c?page=15"> $0 to about $150 billion in just two short years.</a> <a title="JPM_Fall2018_23-1 page 16" href="http://viewer.zmags.com/publication/5a29b06c?page=16"> Morningstar. · SMART Target Date Fund Indexes are</a> <a title="JPM_Fall2018_23-1 page 17" href="http://viewer.zmags.com/publication/5a29b06c?page=17"> Exhibit 3: Human Capital and Financial Capital Tr</a> <a title="JPM_Fall2018_23-1 page 18" href="http://viewer.zmags.com/publication/5a29b06c?page=18"> Exhibit 4: “To” Funds and “Through” Funds lo</a> <a title="JPM_Fall2018_23-1 page 19" href="http://viewer.zmags.com/publication/5a29b06c?page=19"> Exhibit 5: Entire Family of TDX Indexes Exhibit 6</a> <a title="JPM_Fall2018_23-1 page 20" href="http://viewer.zmags.com/publication/5a29b06c?page=20"> Exhibit 7: Big 3 Glide Paths tion prior </a> <a title="JPM_Fall2018_23-1 page 21" href="http://viewer.zmags.com/publication/5a29b06c?page=21"> Exhibit 8: Beneficiaries Want to be Protected in </a> <a title="JPM_Fall2018_23-1 page 22" href="http://viewer.zmags.com/publication/5a29b06c?page=22"> The following graph shows these preferences in co</a> <a title="JPM_Fall2018_23-1 page 23" href="http://viewer.zmags.com/publication/5a29b06c?page=23"> S&P indexes are lowest beyond that. RESOURCES The</a> <a title="JPM_Fall2018_23-1 page 24" href="http://viewer.zmags.com/publication/5a29b06c?page=24"> The Journal Interview Michael S. Caccese, Esq. is</a> <a title="JPM_Fall2018_23-1 page 25" href="http://viewer.zmags.com/publication/5a29b06c?page=25"> the 20/20 GIPS Standards Exposure Draft goes a lo</a> <a title="JPM_Fall2018_23-1 page 26" href="http://viewer.zmags.com/publication/5a29b06c?page=26"> low hanging fruit. The Boston office of the SEC i</a> <a title="JPM_Fall2018_23-1 page 27" href="http://viewer.zmags.com/publication/5a29b06c?page=27"> Public Market Equivalents: Methods and Considerat</a> <a title="JPM_Fall2018_23-1 page 28" href="http://viewer.zmags.com/publication/5a29b06c?page=28"> another, and analysis of an already subjective pr</a> <a title="JPM_Fall2018_23-1 page 29" href="http://viewer.zmags.com/publication/5a29b06c?page=29"> years to acquire. A portfolio of col- </a> <a title="JPM_Fall2018_23-1 page 30" href="http://viewer.zmags.com/publication/5a29b06c?page=30"> shall see, one should not be so careless to think</a> <a title="JPM_Fall2018_23-1 page 31" href="http://viewer.zmags.com/publication/5a29b06c?page=31"> · Constructed in a disciplined and objective man</a> <a title="JPM_Fall2018_23-1 page 32" href="http://viewer.zmags.com/publication/5a29b06c?page=32"> public market index. Index shares are purchased c</a> <a title="JPM_Fall2018_23-1 page 33" href="http://viewer.zmags.com/publication/5a29b06c?page=33"> multiple which measures the wealth effect of inve</a> <a title="JPM_Fall2018_23-1 page 34" href="http://viewer.zmags.com/publication/5a29b06c?page=34"> Table 1 </a> <a title="JPM_Fall2018_23-1 page 35" href="http://viewer.zmags.com/publication/5a29b06c?page=35"> NAV as % of Total Committed Capital % of Committ</a> <a title="JPM_Fall2018_23-1 page 36" href="http://viewer.zmags.com/publication/5a29b06c?page=36"> capital flow for ICM is much larger to clear the </a> <a title="JPM_Fall2018_23-1 page 37" href="http://viewer.zmags.com/publication/5a29b06c?page=37"> return stream generated with a $1,500 initial inv</a> <a title="JPM_Fall2018_23-1 page 38" href="http://viewer.zmags.com/publication/5a29b06c?page=38"> accept that a single-benchmark approach to portfo</a> <a title="JPM_Fall2018_23-1 page 39" href="http://viewer.zmags.com/publication/5a29b06c?page=39"> 1998. <http://www.gipsstandards.org/resources/Doc</a> <a title="JPM_Fall2018_23-1 page 40" href="http://viewer.zmags.com/publication/5a29b06c?page=40"> Performance Measurement: Ripe for Disruption In t</a> <a title="JPM_Fall2018_23-1 page 41" href="http://viewer.zmags.com/publication/5a29b06c?page=41"> key themes and the “story” of how the investment </a> <a title="JPM_Fall2018_23-1 page 42" href="http://viewer.zmags.com/publication/5a29b06c?page=42"> ledgers and blockchain. Many are predicting that </a> <a title="JPM_Fall2018_23-1 page 43" href="http://viewer.zmags.com/publication/5a29b06c?page=43"> Performance: The Power to Disrupt divi</a> <a title="JPM_Fall2018_23-1 page 44" href="http://viewer.zmags.com/publication/5a29b06c?page=44"> matically as we would all have the licences and a</a> <a title="JPM_Fall2018_23-1 page 45" href="http://viewer.zmags.com/publication/5a29b06c?page=45"> Abnormal Returns Part 2: Returns for Short Positi</a> <a title="JPM_Fall2018_23-1 page 46" href="http://viewer.zmags.com/publication/5a29b06c?page=46"> In fact, this return formula can be used at all l</a> <a title="JPM_Fall2018_23-1 page 47" href="http://viewer.zmags.com/publication/5a29b06c?page=47"> weight (due to its negative value) correctly gene</a> <a title="JPM_Fall2018_23-1 page 48" href="http://viewer.zmags.com/publication/5a29b06c?page=48"> ypy Start market value £m End of month 1</a> <a title="JPM_Fall2018_23-1 page 49" href="http://viewer.zmags.com/publication/5a29b06c?page=49"> Month 1 Month 2 Month 3 Quarter Lo</a> <a title="JPM_Fall2018_23-1 page 50" href="http://viewer.zmags.com/publication/5a29b06c?page=50"> compounded with -10%, the resulting return is not</a> <a title="JPM_Fall2018_23-1 page 51" href="http://viewer.zmags.com/publication/5a29b06c?page=51"> results in a positive allocation effect of 0.7% r</a> <a title="JPM_Fall2018_23-1 page 52" href="http://viewer.zmags.com/publication/5a29b06c?page=52"> The Journal</a>