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THE JOURNAL OF
PERFORMANCE
MEASUREMENT®
THE PERFORMANCE MEASUREMENT RESOURCE VOLUME 23 : NUMBER 3
INSIDE THIS ISSUE - SPRING 2019
n PORTFOLIO MANAGEMENT VIA A HOLISTIC AND
EFFICIENCY-DRIVEN DECISION PROCESS
n HOW BEST TO ANNUALIZE RATES OF RETURN
n THE JOURNAL INTERVIEW - BRIAN D. SINGER, CFA
n MULTI-PERIOD CONTRIBUTION ANALYSIS - PART 1
n HIGH AND HIGHER ACCURACY ANALYTICAL APPROXIMATIONS
OF THE INTERNAL RATE OF RETURN
n GLOBAL ASSET MANAGEMENT AND PERFORMANCE MANAGEMENT
A PUBLICATION OF THE SPAULDING GROUP, INC.
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THE JOURNAL OF PERFORMANCE MEASUREMENT® THE PER
Enhan master invest Delive n Maste C rI r ce
The Journal of Performance Measurement
The Journal of Performance Measurement
MISSING: GIPS VERIFIER Red flags that you may have
Letter from the Editor At this year's PMA
The Journal of Performance Measurement’s® WOMEN
Letter from the Publisher I write this on t
Portfolio Management via a Holistic and Efficienc
Table 2: Correlation Matrix for Portfolio Assets
Figure 1: Asset Classes, Constrained and Unconstr
Table 3: Sample Unconstrained Asset Strategy for
Table 4: Diversified Asset Allocation for a Targe
Figure 3: Efficiency as Contribution to Return Mi
Figure 4: Fund Universe Across All Asset Classes
Table 5: Correlation of Alpha for Funds Used in O
Figure 5: Micro Efficiency of Active Portfolio
#4 funds – with poorer rewards for the active ris
Naïve (unintentional) alpha diversification of Hi
garding an active investment, such as a mutual fu
ing profession. The performance specialist plays
allocation and fund selection. Therefore, our
Figure 10: Visualizing Attribution of Active Deci
PEELING THE “ATTRIBUTION ONION” TO UN- COVER ADDI
Table 11: Drivers of “Alpha Efficiency” By conv
Table 12: Decomposition of Client Value the abil
When we examine the sources of portfolio efficien
How Best to Annualize Rates of Return Chances a
strate why we compound returns. You can see we h
THE BASICS OF CALCULATING ANNUALIZED RETURNS: WHE
This is what makes deriving the annualized return
to at least put these ideas out before the next l
Table 6: Four-Year Annualized Return Compar
have found several other examples that offer furt
ENDNOTES 1 See https://spauldinggrp.com/fun
The Journal Interview This year marks the 25th a
vestment advisors, plan sponsors and vendors of v
here to the different ways of deriving return and
the strategy can be very, very different from wha
were much more common than they are today. There
Multi-Period Contribution Analysis - Part 1 Text
Figure 1: Purchases Only, End of Day Cash Flows,
• Variances between TWRR vs. MWRR where flows
Figure 5 As at end day 4 Summary MWRR and TW
Figure 7 As at end day 4 Summary MWRR and TW
the geometric contribution would be 1.54% i.e., h
a fully weighted disposal transaction (Figure 9):
Figure 12 (continued) Day 2 MV Start
CONCLUSION Reconciliation differences between th
High and Higher Accuracy Analytical Approximation
Chestopalov and Beliaev (2004) that uses a linear
for any n = 1, 2, … . It is clear that, given a
the formulas for calculating the x (the adjustmen
where t = T/2, that is where the cash flow occurr
6.1. COMPARISON OF THE MODIFIED DIETZ AND RATIONA
applies to the examples given in the next paragra
a] = R[m/n, Rk –1[m/n, a]]. As we discussed above
mial and Rational rates improves as one increases
3. HOW TO CALCULATE COEFFICIENTS OF A PADÉ APPROX
up to terms of the higher order. Proceeding to t
Global Asset Management and Performance Attributi
pensate for inflation and a premium to compensate
Financial Analysts, and AIMR, for their support a
the forward premiums and discounts that are impli
than the passive index. Which decision, market o
total portfolio return into components that are a
Figure 4: A Framework for Global Portfolio Return
Table 7: Summary of Calculations in Global Perfor
Table 7 (continued) Spring 2019
Table 7 provides a summary of the detailed formul
Table 9: Summary of Global Portfolio Returns Tabl
The chosen portfolio strategy produced a total do
Table 11: Proposed Value-Added Performance Attrib
Hensel (1992). 12 The segmentati
The Journal of Performance Measurement Manuscript
On the Scene PMAR 2019 - Philadelphia 1. W