<br />
THE JOURNAL OF<br />
PERFORMANCE<br />
MEASUREMENT®<br />
THE PERFORMANCE MEASUREMENT RESOURCE VOLUME 23 : NUMBER 4<br />
INSIDETHISISUE- SUMMER 2019<br />
n RISK-ADJUSTED PERFORMANCE ATRIBUTION<br />
n THE KAPPA-CALMAR RISK-ADJUSTED PERFORMANCE RATIO<br />
FOR CAPITAL PROTECTION<br />
n THE JOURNAL INTERVIEW - CARL BACON<br />
n MULTI-PERIOD CONTRIBUTION ANALYSIS - PART 2<br />
n A METHOD TO ESTIMATE TRANSACTION COSTS<br />
n COMBINING ATRIBUTION EFECTS OVER TIME<br />
A PUBLICATION OF THE SPAULDING GROUP, INC.<br />
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measurement & attributi<a title="JPM_Summer2019_23-4 page 1" href="http://viewer.zmags.com/publication/84d7f2bd?page=1"> THE JOURNAL OF PERFORMANCE MEASUREMENT® THE PER</a>
<a title="JPM_Summer2019_23-4 page 2" href="http://viewer.zmags.com/publication/84d7f2bd?page=2"> Enhan master invest Delive n Maste C rI r ce</a>
<a title="JPM_Summer2019_23-4 page 3" href="http://viewer.zmags.com/publication/84d7f2bd?page=3"> The Journal of Performance Measurement </a>
<a title="JPM_Summer2019_23-4 page 4" href="http://viewer.zmags.com/publication/84d7f2bd?page=4"> The Journal of Performance Measurement </a>
<a title="JPM_Summer2019_23-4 page 5" href="http://viewer.zmags.com/publication/84d7f2bd?page=5"> Train Your Entire Performance Staff for HALF PRIC</a>
<a title="JPM_Summer2019_23-4 page 6" href="http://viewer.zmags.com/publication/84d7f2bd?page=6"> Letter from the Editor It's hard to beli</a>
<a title="JPM_Summer2019_23-4 page 7" href="http://viewer.zmags.com/publication/84d7f2bd?page=7"> Letter from the Publisher The 2020 GIPS </a>
<a title="JPM_Summer2019_23-4 page 8" href="http://viewer.zmags.com/publication/84d7f2bd?page=8"> THE COLUMNISTS JPM asks six performance professio</a>
<a title="JPM_Summer2019_23-4 page 9" href="http://viewer.zmags.com/publication/84d7f2bd?page=9"> JACK O'BRIEN The 2020 Standards represent a co</a>
<a title="JPM_Summer2019_23-4 page 10" href="http://viewer.zmags.com/publication/84d7f2bd?page=10"> Risk-Adjusted Performance Measurement Performan</a>
<a title="JPM_Summer2019_23-4 page 11" href="http://viewer.zmags.com/publication/84d7f2bd?page=11"> fails to take overlay strategies based on derivat</a>
<a title="JPM_Summer2019_23-4 page 12" href="http://viewer.zmags.com/publication/84d7f2bd?page=12"> Now, the weights and returns measure above are de</a>
<a title="JPM_Summer2019_23-4 page 13" href="http://viewer.zmags.com/publication/84d7f2bd?page=13"> we have chosen a Value at Risk model. Ideally, th</a>
<a title="JPM_Summer2019_23-4 page 14" href="http://viewer.zmags.com/publication/84d7f2bd?page=14"> Figure 2: Return Calculus - Risk-Adjusted weight</a>
<a title="JPM_Summer2019_23-4 page 15" href="http://viewer.zmags.com/publication/84d7f2bd?page=15"> all asset classes but has active management manda</a>
<a title="JPM_Summer2019_23-4 page 16" href="http://viewer.zmags.com/publication/84d7f2bd?page=16"> Figure 3: Market Value Weight and Risk Weights fo</a>
<a title="JPM_Summer2019_23-4 page 17" href="http://viewer.zmags.com/publication/84d7f2bd?page=17"> Figure 3: Risk Weights for Portfolio and Benchmar</a>
<a title="JPM_Summer2019_23-4 page 18" href="http://viewer.zmags.com/publication/84d7f2bd?page=18"> Table 5 Portfolio Asset Class MV W </a>
<a title="JPM_Summer2019_23-4 page 19" href="http://viewer.zmags.com/publication/84d7f2bd?page=19"> outperformance). This effect is separated out in </a>
<a title="JPM_Summer2019_23-4 page 20" href="http://viewer.zmags.com/publication/84d7f2bd?page=20"> The Kappa-Calmar Risk-Adjusted Performance Ratio </a>
<a title="JPM_Summer2019_23-4 page 21" href="http://viewer.zmags.com/publication/84d7f2bd?page=21"> 1 INTRODUCTION AND BACKGROUND Risk-adjusted perf</a>
<a title="JPM_Summer2019_23-4 page 22" href="http://viewer.zmags.com/publication/84d7f2bd?page=22"> necessarily how most investors will experience it</a>
<a title="JPM_Summer2019_23-4 page 23" href="http://viewer.zmags.com/publication/84d7f2bd?page=23"> measure. Barberis (2013) gives a review of the Pr</a>
<a title="JPM_Summer2019_23-4 page 24" href="http://viewer.zmags.com/publication/84d7f2bd?page=24"> HFN database. Hedge funds are generally more rele</a>
<a title="JPM_Summer2019_23-4 page 25" href="http://viewer.zmags.com/publication/84d7f2bd?page=25"> is therefore a very conservative measure that pen</a>
<a title="JPM_Summer2019_23-4 page 26" href="http://viewer.zmags.com/publication/84d7f2bd?page=26"> Figure 5: Variables used in the Calculation on th</a>
<a title="JPM_Summer2019_23-4 page 27" href="http://viewer.zmags.com/publication/84d7f2bd?page=27"> Figure 6: The Values of the Kappa-Time Ratio, as </a>
<a title="JPM_Summer2019_23-4 page 28" href="http://viewer.zmags.com/publication/84d7f2bd?page=28"> arrangement, | <100% =</a>
<a title="JPM_Summer2019_23-4 page 29" href="http://viewer.zmags.com/publication/84d7f2bd?page=29"> losses, but these losses are recovered relatively</a>
<a title="JPM_Summer2019_23-4 page 30" href="http://viewer.zmags.com/publication/84d7f2bd?page=30"> Figure 8: The Relationship Between MDDK and Tup f</a>
<a title="JPM_Summer2019_23-4 page 31" href="http://viewer.zmags.com/publication/84d7f2bd?page=31"> Table 4: Calculated Values of CalmarK, KT and KC </a>
<a title="JPM_Summer2019_23-4 page 32" href="http://viewer.zmags.com/publication/84d7f2bd?page=32"> Table 5: Calculated Values of CalmarK, KT and KC </a>
<a title="JPM_Summer2019_23-4 page 33" href="http://viewer.zmags.com/publication/84d7f2bd?page=33"> Table 6: Rankings of Indices According to the Ris</a>
<a title="JPM_Summer2019_23-4 page 34" href="http://viewer.zmags.com/publication/84d7f2bd?page=34"> Figure 9: VAMI of the Historical and Kappa Series</a>
<a title="JPM_Summer2019_23-4 page 35" href="http://viewer.zmags.com/publication/84d7f2bd?page=35"> Figure 11: VAMI of the HFN Macro Index and Kappa </a>
<a title="JPM_Summer2019_23-4 page 36" href="http://viewer.zmags.com/publication/84d7f2bd?page=36"> from Table 4 on a bubble plot. The indices with t</a>
<a title="JPM_Summer2019_23-4 page 37" href="http://viewer.zmags.com/publication/84d7f2bd?page=37"> tion of objects in order, one after another. The </a>
<a title="JPM_Summer2019_23-4 page 38" href="http://viewer.zmags.com/publication/84d7f2bd?page=38"> The Journal Interview Carl Bacon, CIPM founded </a>
<a title="JPM_Summer2019_23-4 page 39" href="http://viewer.zmags.com/publication/84d7f2bd?page=39"> less. Yes, we've seen consolidation and revised, </a>
<a title="JPM_Summer2019_23-4 page 40" href="http://viewer.zmags.com/publication/84d7f2bd?page=40"> that's a step too far – there is clearly a balanc</a>
<a title="JPM_Summer2019_23-4 page 41" href="http://viewer.zmags.com/publication/84d7f2bd?page=41"> Multi-Period Contribution Analysis - Part 2 Pa</a>
<a title="JPM_Summer2019_23-4 page 42" href="http://viewer.zmags.com/publication/84d7f2bd?page=42"> saw in Part 1, differences can arise resulting in</a>
<a title="JPM_Summer2019_23-4 page 43" href="http://viewer.zmags.com/publication/84d7f2bd?page=43"> Figure 2: Total Portfolio with New Money Fully We</a>
<a title="JPM_Summer2019_23-4 page 44" href="http://viewer.zmags.com/publication/84d7f2bd?page=44"> Figure 3: Total Portfolio with New Money 75% Weig</a>
<a title="JPM_Summer2019_23-4 page 45" href="http://viewer.zmags.com/publication/84d7f2bd?page=45"> Figure 5: Past Method Contribution Smoothing Ret</a>
<a title="JPM_Summer2019_23-4 page 46" href="http://viewer.zmags.com/publication/84d7f2bd?page=46"> Figure 6: Reconciliation Without New Money - Feib</a>
<a title="JPM_Summer2019_23-4 page 47" href="http://viewer.zmags.com/publication/84d7f2bd?page=47"> Figure 7: Reconciliation Without New Money - Cari</a>
<a title="JPM_Summer2019_23-4 page 48" href="http://viewer.zmags.com/publication/84d7f2bd?page=48"> Figure 8 Figure 9: Reconciliation with New Money </a>
<a title="JPM_Summer2019_23-4 page 49" href="http://viewer.zmags.com/publication/84d7f2bd?page=49"> Figure 10: Reconciliation with New Money 75% Weig</a>
<a title="JPM_Summer2019_23-4 page 50" href="http://viewer.zmags.com/publication/84d7f2bd?page=50"> Figure 11: Summary of Contributions Without New M</a>
<a title="JPM_Summer2019_23-4 page 51" href="http://viewer.zmags.com/publication/84d7f2bd?page=51"> contributions although the adjusted contributions</a>
<a title="JPM_Summer2019_23-4 page 52" href="http://viewer.zmags.com/publication/84d7f2bd?page=52"> A Method to Estimate Transaction Costs The 2020</a>
<a title="JPM_Summer2019_23-4 page 53" href="http://viewer.zmags.com/publication/84d7f2bd?page=53"> also has non-wrap, meaning portfolios that pay a </a>
<a title="JPM_Summer2019_23-4 page 54" href="http://viewer.zmags.com/publication/84d7f2bd?page=54"> Table 2: Holding and Transaction Details with Est</a>
<a title="JPM_Summer2019_23-4 page 55" href="http://viewer.zmags.com/publication/84d7f2bd?page=55"> Table 4: Example Where We Deal with a Large Cash </a>
<a title="JPM_Summer2019_23-4 page 56" href="http://viewer.zmags.com/publication/84d7f2bd?page=56"> The benefits of incorporating such an approach ar</a>
<a title="JPM_Summer2019_23-4 page 57" href="http://viewer.zmags.com/publication/84d7f2bd?page=57"> Combining Attribution Effects Over Time Followin</a>
<a title="JPM_Summer2019_23-4 page 58" href="http://viewer.zmags.com/publication/84d7f2bd?page=58"> R−R≠(1+R1−R1)(1+R2−R2)!(1+RT−RT)−1. Is there a </a>
<a title="JPM_Summer2019_23-4 page 59" href="http://viewer.zmags.com/publication/84d7f2bd?page=59"> Table 1 Formulas for Single-Period Effects in the</a>
<a title="JPM_Summer2019_23-4 page 60" href="http://viewer.zmags.com/publication/84d7f2bd?page=60"> RPA breaks the difference R − R into the sum of </a>
<a title="JPM_Summer2019_23-4 page 61" href="http://viewer.zmags.com/publication/84d7f2bd?page=61"> ~ A = ektAt −1 (3) t may b</a>
<a title="JPM_Summer2019_23-4 page 62" href="http://viewer.zmags.com/publication/84d7f2bd?page=62"> Figure 2 graphs the difference between </a>
<a title="JPM_Summer2019_23-4 page 63" href="http://viewer.zmags.com/publication/84d7f2bd?page=63"> </a>
<a title="JPM_Summer2019_23-4 page 64" href="http://viewer.zmags.com/publication/84d7f2bd?page=64"> Tabl</a>
<a title="JPM_Summer2019_23-4 page 65" href="http://viewer.zmags.com/publication/84d7f2bd?page=65"> </a>
<a title="JPM_Summer2019_23-4 page 66" href="http://viewer.zmags.com/publication/84d7f2bd?page=66"> Principles of Investment Management. Homewood, Il</a>
<a title="JPM_Summer2019_23-4 page 67" href="http://viewer.zmags.com/publication/84d7f2bd?page=67"> The Journal</a>