<br />
THE JOURNAL OF<br />
PERFORMANCE<br />
MEASUREMENT®<br />
THE PERFORMANCE MEASUREMENT RESOURCE VOLUME 24 : NUMBER 3<br />
INSIDE THIS ISSUE - SPRING 2020<br />
n RISK STATISTICS IN PERFORMANCE CALCULATORS: SUITABLE AND SCALABLE?<br />
n ANNUALIZING RETURNS, CONTRIBUTIONS, AND ATTRIBUTION EFFECTS<br />
n THE JOURNAL INTERVIEW - ASHLEY REEVES, CIPM<br />
n THE FOUR HORSEMEN OF THE INVESTMENT APOCALYPSE:<br />
PANDEMIC, WAR, CORRUPTION, AND CLIMATE CHANGE<br />
n ATTRIBUTION-DRIVEN INVESTMENT DECISION PROCESSES<br />
n HELPING THOSE WHO SELL FOR YOU (AND OTHERS) UNDERSTAND THE MATH<br />
A PUBLICATION OF THE SPAULDING GROUP, INC.<br />
Enhanc<br />
master<br />
invest<br />
Delive n<br />
Maste Co<br />
rI<br />
r<br />
e your performance by<br />
ing the complexity of<br />
ment decision-making<br />
sights | Use Experts<b<a title="JPM_Spring2020_24-3 page 1" href="http://viewer.zmags.com/publication/bc67adeb?page=1"> THE JOURNAL OF PERFORMANCE MEASUREMENT® THE PER</a>
<a title="JPM_Spring2020_24-3 page 2" href="http://viewer.zmags.com/publication/bc67adeb?page=2"> Enhanc master invest Delive n Maste Co rI r e</a>
<a title="JPM_Spring2020_24-3 page 3" href="http://viewer.zmags.com/publication/bc67adeb?page=3"> The Journal of Performance Measurement </a>
<a title="JPM_Spring2020_24-3 page 4" href="http://viewer.zmags.com/publication/bc67adeb?page=4"> The Journal of Performance Measurement </a>
<a title="JPM_Spring2020_24-3 page 5" href="http://viewer.zmags.com/publication/bc67adeb?page=5"> Verified, but are you really compliant? If you'</a>
<a title="JPM_Spring2020_24-3 page 6" href="http://viewer.zmags.com/publication/bc67adeb?page=6"> Letter from the Editor This is our awards </a>
<a title="JPM_Spring2020_24-3 page 7" href="http://viewer.zmags.com/publication/bc67adeb?page=7"> Letter from the Publisher We’re in the age</a>
<a title="JPM_Spring2020_24-3 page 8" href="http://viewer.zmags.com/publication/bc67adeb?page=8"> THE COLUMNISTS JPM asks six per</a>
<a title="JPM_Spring2020_24-3 page 9" href="http://viewer.zmags.com/publication/bc67adeb?page=9"> MICK CARTWRIGHT The investment industry's swif</a>
<a title="JPM_Spring2020_24-3 page 10" href="http://viewer.zmags.com/publication/bc67adeb?page=10"> Risk Statistics in Performance Calculators: Suita</a>
<a title="JPM_Spring2020_24-3 page 11" href="http://viewer.zmags.com/publication/bc67adeb?page=11"> The Journal of Performance Measurement’s® WOMEN </a>
<a title="JPM_Spring2020_24-3 page 12" href="http://viewer.zmags.com/publication/bc67adeb?page=12"> ture, Best & worst periods, etc.) that are evalua</a>
<a title="JPM_Spring2020_24-3 page 13" href="http://viewer.zmags.com/publication/bc67adeb?page=13"> flow necessitates portfolio and benchmark returns</a>
<a title="JPM_Spring2020_24-3 page 14" href="http://viewer.zmags.com/publication/bc67adeb?page=14"> Table 1 time series represent the fastest grow</a>
<a title="JPM_Spring2020_24-3 page 15" href="http://viewer.zmags.com/publication/bc67adeb?page=15"> ple, let’s assume that Information Ratio must be </a>
<a title="JPM_Spring2020_24-3 page 16" href="http://viewer.zmags.com/publication/bc67adeb?page=16"> Organizational structure within asset managem</a>
<a title="JPM_Spring2020_24-3 page 17" href="http://viewer.zmags.com/publication/bc67adeb?page=17"> Annualizing Returns, Contributions, and Attributi</a>
<a title="JPM_Spring2020_24-3 page 18" href="http://viewer.zmags.com/publication/bc67adeb?page=18"> ANNUALIZING RETURNS Under an arithmetic attribut</a>
<a title="JPM_Spring2020_24-3 page 19" href="http://viewer.zmags.com/publication/bc67adeb?page=19"> step, subsequent to any linking, it works with an</a>
<a title="JPM_Spring2020_24-3 page 20" href="http://viewer.zmags.com/publication/bc67adeb?page=20"> = (1 + )3 65 − (1 + )3 65 </a>
<a title="JPM_Spring2020_24-3 page 21" href="http://viewer.zmags.com/publication/bc67adeb?page=21"> sector. Figure 2 converts those numbers into annu</a>
<a title="JPM_Spring2020_24-3 page 22" href="http://viewer.zmags.com/publication/bc67adeb?page=22"> Figure 2: Annualized Attribution Results for Mate</a>
<a title="JPM_Spring2020_24-3 page 23" href="http://viewer.zmags.com/publication/bc67adeb?page=23"> </a>
<a title="JPM_Spring2020_24-3 page 24" href="http://viewer.zmags.com/publication/bc67adeb?page=24"> </a>
<a title="JPM_Spring2020_24-3 page 25" href="http://viewer.zmags.com/publication/bc67adeb?page=25"> Figure 6: Annualized Attribution Results for Mate</a>
<a title="JPM_Spring2020_24-3 page 26" href="http://viewer.zmags.com/publication/bc67adeb?page=26"> Figure 8: Annualized Attribution Results for All </a>
<a title="JPM_Spring2020_24-3 page 27" href="http://viewer.zmags.com/publication/bc67adeb?page=27"> The Journal Interview Ashley Reeves, CIPM is a </a>
<a title="JPM_Spring2020_24-3 page 28" href="http://viewer.zmags.com/publication/bc67adeb?page=28"> accurate so our results would be reliable. I’m su</a>
<a title="JPM_Spring2020_24-3 page 29" href="http://viewer.zmags.com/publication/bc67adeb?page=29"> to perform a sort of catchall review is to look f</a>
<a title="JPM_Spring2020_24-3 page 30" href="http://viewer.zmags.com/publication/bc67adeb?page=30"> The Four Horsemen of the Investment Apocalypse: P</a>
<a title="JPM_Spring2020_24-3 page 31" href="http://viewer.zmags.com/publication/bc67adeb?page=31"> pandemic was not foreseeable in a traditional ban</a>
<a title="JPM_Spring2020_24-3 page 32" href="http://viewer.zmags.com/publication/bc67adeb?page=32"> 2020 the global situation remains deeply uncertai</a>
<a title="JPM_Spring2020_24-3 page 33" href="http://viewer.zmags.com/publication/bc67adeb?page=33"> cial rather than medical professionals so that th</a>
<a title="JPM_Spring2020_24-3 page 34" href="http://viewer.zmags.com/publication/bc67adeb?page=34"> PANDEMIC IMPLICATIONS FOR LONG-TERM INVESTORS Ev</a>
<a title="JPM_Spring2020_24-3 page 35" href="http://viewer.zmags.com/publication/bc67adeb?page=35"> ture on financial markets does not include rare b</a>
<a title="JPM_Spring2020_24-3 page 36" href="http://viewer.zmags.com/publication/bc67adeb?page=36"> ference about U.S. equity investor’s expectations</a>
<a title="JPM_Spring2020_24-3 page 37" href="http://viewer.zmags.com/publication/bc67adeb?page=37"> traded firm in the USA is about twenty years as a</a>
<a title="JPM_Spring2020_24-3 page 38" href="http://viewer.zmags.com/publication/bc67adeb?page=38"> Exhibit 3 Spread % 7 6 5 4 3 2 1 0</a>
<a title="JPM_Spring2020_24-3 page 39" href="http://viewer.zmags.com/publication/bc67adeb?page=39"> ratio of the value of debt to market capitalizati</a>
<a title="JPM_Spring2020_24-3 page 40" href="http://viewer.zmags.com/publication/bc67adeb?page=40"> Given the high coefficient of variation across ne</a>
<a title="JPM_Spring2020_24-3 page 41" href="http://viewer.zmags.com/publication/bc67adeb?page=41"> Exhibit 6 ture increases in temperatures. If one</a>
<a title="JPM_Spring2020_24-3 page 42" href="http://viewer.zmags.com/publication/bc67adeb?page=42"> Many asset owners are large investors in geograph</a>
<a title="JPM_Spring2020_24-3 page 43" href="http://viewer.zmags.com/publication/bc67adeb?page=43"> diBartolomeo, Dan. “Equity Risk, Credit Risk, Def</a>
<a title="JPM_Spring2020_24-3 page 44" href="http://viewer.zmags.com/publication/bc67adeb?page=44"> 6 See https://www.blackrock.com/corporate/</a>
<a title="JPM_Spring2020_24-3 page 45" href="http://viewer.zmags.com/publication/bc67adeb?page=45"> Attribution-driven Investment Decision Processes </a>
<a title="JPM_Spring2020_24-3 page 46" href="http://viewer.zmags.com/publication/bc67adeb?page=46"> Figure 1: Traditional Setup Figure 2: Attribution</a>
<a title="JPM_Spring2020_24-3 page 47" href="http://viewer.zmags.com/publication/bc67adeb?page=47"> example also demonstrates that unmanageable effec</a>
<a title="JPM_Spring2020_24-3 page 48" href="http://viewer.zmags.com/publication/bc67adeb?page=48"> countable for the resulting value of his attribut</a>
<a title="JPM_Spring2020_24-3 page 49" href="http://viewer.zmags.com/publication/bc67adeb?page=49"> 2020. The investment period starts on the 1st of </a>
<a title="JPM_Spring2020_24-3 page 50" href="http://viewer.zmags.com/publication/bc67adeb?page=50"> where: · wi is the portfolio weight for sect</a>
<a title="JPM_Spring2020_24-3 page 51" href="http://viewer.zmags.com/publication/bc67adeb?page=51"> Figure 4: Decomposition of Return Attribution Eff</a>
<a title="JPM_Spring2020_24-3 page 52" href="http://viewer.zmags.com/publication/bc67adeb?page=52"> Figure 5: Multi-period Decisions over both perio</a>
<a title="JPM_Spring2020_24-3 page 53" href="http://viewer.zmags.com/publication/bc67adeb?page=53"> Figure 6: Decomposition of Incremental Return Att</a>
<a title="JPM_Spring2020_24-3 page 54" href="http://viewer.zmags.com/publication/bc67adeb?page=54"> Figure 7: Weights and Returns Figure 8: Increme</a>
<a title="JPM_Spring2020_24-3 page 55" href="http://viewer.zmags.com/publication/bc67adeb?page=55"> Figure 9: Cariño-smoothed Return Attribution us</a>
<a title="JPM_Spring2020_24-3 page 56" href="http://viewer.zmags.com/publication/bc67adeb?page=56"> tion effects. Therefore, we propose to use the in</a>
<a title="JPM_Spring2020_24-3 page 57" href="http://viewer.zmags.com/publication/bc67adeb?page=57"> Figure 11: Monetary Attribution (Amounts to Milli</a>
<a title="JPM_Spring2020_24-3 page 58" href="http://viewer.zmags.com/publication/bc67adeb?page=58"> · [ , ] is the total portfolio return over</a>
<a title="JPM_Spring2020_24-3 page 59" href="http://viewer.zmags.com/publication/bc67adeb?page=59"> Figure 13: Incremental Return Attribution with Ex</a>
<a title="JPM_Spring2020_24-3 page 60" href="http://viewer.zmags.com/publication/bc67adeb?page=60"> decisions. Provided that the single-period effect</a>
<a title="JPM_Spring2020_24-3 page 61" href="http://viewer.zmags.com/publication/bc67adeb?page=61"> 3 Examples include small residuals in a return d</a>
<a title="JPM_Spring2020_24-3 page 62" href="http://viewer.zmags.com/publication/bc67adeb?page=62"> Helping Those Who Sell For You (and Others) Under</a>
<a title="JPM_Spring2020_24-3 page 63" href="http://viewer.zmags.com/publication/bc67adeb?page=63"> I will use the arithmetic approach, and will revi</a>
<a title="JPM_Spring2020_24-3 page 64" href="http://viewer.zmags.com/publication/bc67adeb?page=64"> Table 1, and 0.560% for Table 2, under the FeeAnn</a>
<a title="JPM_Spring2020_24-3 page 65" href="http://viewer.zmags.com/publication/bc67adeb?page=65"> Table 5 March June September Decem</a>
<a title="JPM_Spring2020_24-3 page 66" href="http://viewer.zmags.com/publication/bc67adeb?page=66"> Table 7 It’s different when it comes to client r</a>
<a title="JPM_Spring2020_24-3 page 67" href="http://viewer.zmags.com/publication/bc67adeb?page=67"> As Bacon (2008) explains, we need to calculate th</a>
<a title="JPM_Spring2020_24-3 page 68" href="http://viewer.zmags.com/publication/bc67adeb?page=68"> · We addressed the way to derive the quarterly</a>
<a title="JPM_Spring2020_24-3 page 69" href="http://viewer.zmags.com/publication/bc67adeb?page=69"> the GIPS report with the prospect or client the “</a>
<a title="JPM_Spring2020_24-3 page 70" href="http://viewer.zmags.com/publication/bc67adeb?page=70"> The Journal</a>
<a title="JPM_Spring2020_24-3 page 71" href="http://viewer.zmags.com/publication/bc67adeb?page=71"> Train Your Entire Performance Staff for HALF PRIC</a>