If you are visually impaired or blind, you can visit the PDF version by Pressing CONTROL + ALT + 4
You need a JavaScript-enabled browser to view this Publication
Please follow these steps to view the Publication:
Enable JavaScript in your browser
Refresh this page
Best regards
Zmags
MPERAFSOURMEAMNECNET®
THE JOURNAL OF
THE PERFORMANCE MEASUREMENT RESOURCE VOLUME 22 : NUMBER 3
INSIDE THIS ISSUE - SPRING 2018
n INVESTMENT RISK
n PARAMETRIC RISK AND “MEAN RETURN”
WHICH µ IS FOR YOU?
n THE JOURNAL INTERVIEW - ELSKE VAN DE BURGT
n AN OPTIMIZATION APPROACH FOR CONTENT DETERMINATION
IN A PERFORMANCE ATTRIBUTION REPORT
n A PRACTICAL JOURNEY THROUGH RISK FOR PERFORMANCE ANALYSTS
n TRANSACTION- VS. HOLDINGS-BASED ATTRIBUTION:
THE DIFFERENCES ARE NOT SO CLEAR, BUT QUITE IMPORTANT
A PUBLICATION OF THE SPAULDING GROUP, INC.
PEARL 8
Guided workflow | Superior models | Fast and efficient
Master Co plexity, Enhance Perfor ance.
m
m
www.ortec-finance.com
www.PEARL8.com
Rotterdam / Amsterdam / London / Pfäffikon / Toronto / Hong Kong
MPERAFSOURMEAMNECNET® THE JOURNAL OF THE PERFOR
PEARL 8 Guided workflow | Superior models | Fast a
The Journal of Performance Measurement
The Journal of Performance Measure
I I I I I I
Letter from the Editor Our advisory board has s
The Journal of Performance Measurement’s® WOMEN
Letter from the Publisher Doug stole my thunder
Investment Risk This paper discusses investment r
Figure 1 fund's long horizon investment
100 Figure 2 860 240 20 -40 Aus Eq Total R
mately five times in every 20 years. It follows t
19701 19789789234589034589034586712671267 290909
Option Australian Equities CashOYver 7 ears Tabl
tions as noted in the table above, an investment
Parametric Risk and “Mean Return” Which µ is for
ture profits and losses garnered by any particula
12345 -136810 -253400 --124250 --21020 -14750
GDayin1234s/Losses in period* L ay 5 Voss at Use
ZĞůĂƚŝǀĞsĂZͲɲΎʍ ďƐŽůƵƚĞsĂZͲƵͲɲΎʍ ʍсϮ͘ϬϬ͕
ZĞůĂƚŝǀĞsĂZͲɲΎʍ ďƐŽůƵƚĞsĂZͲƵͲɲΎʍ ʍсϮ͘ϬϬ͕ɲс
the σ we see of 1.1582% by √12 ie 4.0121 percent.
The Journal Interview Elske van de Burgt, CFA hol
entiate themselves by tailored or specialized inv
dynamic re-allocations, liability-driven investme
we've seen an enormous increase in the usage of t
An Optimization Approach for Content Determinatio
several hundred conference presentations and revi
egories will be open to automation within two dec
marizing source event data was described by Maybu
which the user is comparing the results of a mana
dustry and ease of illustration as the attributio
less than or equal to the market average.
effect was ignored since it is not control
for Statistical Computing, 2013). Another advanta
ments or over performance in particular areas whi
ment, 15(2), pp. 8-20, 2010. Fama, Eugene and Ken
market capitalization, The Journal of Portfolio M
A Practical Journey through Risk for Performance
holding/nominal and price) • Duration and accrued
3. EX-ANTE RISK MEASUREMENT While the performance
Table 1: Historic Data for Monte Carlo Simulation
distribution has its own set of parameters, but i
uity and Equity) equals 1 because Equity (column
i.e., n=52 or 156. In this paper, we use week
higher value for n. You want to have extreme e
first quarter of 2008 are based on less than 52 d
cally regards new information as more important t
something that happens in a portfolio, a benchmar
thought around the challenges that occur in the d
Transaction- vs. Holdings-based Attribution: The
The method that I use for transaction attribution
CRSP was the source for individual security price
held at the beginning of the period. The sixth, s
n VE VB ¦Ci
vides the ability to do multiple comparisons in a
20% 40% T6o0t%al 0.9560431 0.903220747543612.07.3
ance, when in reality it helped it. This e
which approach (transaction or holdings) is bette
In addition, when there is no portfolio activity,
APPENDIX B: CONSOLIDATED RESULTS lection, and
The Journal of Performance Measurement -60-
Spring 2018 -61- The J
The Journal of Performance Measurement -62-
Spring 2018 -63- The J
APPENDIX C: RESIDUALS The J
APPENDIX D: TEST DATA FOR RETURN DIFFERENCES
The Journal of Performance Measurement -66-
Spring 2018 -67- The J
The Journal of Performance Measurement -68-
Spring 2018 -69- The J
The Journal of Performance Measurement -70-
Appendix E: Test Results for Return Difference An
The Journal of Performance Measurement -72-
Spring 2018 -73- The J
The Journal of Performance Measurement -74-
Spring 2018 -75- The J
ENDNOTES 1 Much of this paper comes fr
The Journal