<br />
MPERAFSOURMEAMNECNET®<br />
THE JOURNAL OF<br />
THE PERFORMANCE MEASUREMENT RESOURCE VOLUME 22 : NUMBER 3<br />
INSIDE THIS ISSUE - SPRING 2018<br />
n INVESTMENT RISK<br />
n PARAMETRIC RISK AND “MEAN RETURN”<br />
WHICH µ IS FOR YOU?<br />
n THE JOURNAL INTERVIEW - ELSKE VAN DE BURGT<br />
n AN OPTIMIZATION APPROACH FOR CONTENT DETERMINATION<br />
IN A PERFORMANCE ATTRIBUTION REPORT<br />
n A PRACTICAL JOURNEY THROUGH RISK FOR PERFORMANCE ANALYSTS<br />
n TRANSACTION- VS. HOLDINGS-BASED ATTRIBUTION:<br />
THE DIFFERENCES ARE NOT SO CLEAR, BUT QUITE IMPORTANT<br />
A PUBLICATION OF THE SPAULDING GROUP, INC.<br />
PEARL 8<br />
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Rotterdam / Amsterdam / London / Pfäffikon / Toronto / Hong Kong<b<a title="JPM_Spring2018_22-3 page 1" href="http://viewer.zmags.com/publication/e57bec6f?page=1"> MPERAFSOURMEAMNECNET® THE JOURNAL OF THE PERFOR</a>
<a title="JPM_Spring2018_22-3 page 2" href="http://viewer.zmags.com/publication/e57bec6f?page=2"> PEARL 8 Guided workflow | Superior models | Fast a</a>
<a title="JPM_Spring2018_22-3 page 3" href="http://viewer.zmags.com/publication/e57bec6f?page=3"> The Journal of Performance Measurement </a>
<a title="JPM_Spring2018_22-3 page 4" href="http://viewer.zmags.com/publication/e57bec6f?page=4"> The Journal of Performance Measure</a>
<a title="JPM_Spring2018_22-3 page 5" href="http://viewer.zmags.com/publication/e57bec6f?page=5"> I I I I I I </a>
<a title="JPM_Spring2018_22-3 page 6" href="http://viewer.zmags.com/publication/e57bec6f?page=6"> Letter from the Editor Our advisory board has s</a>
<a title="JPM_Spring2018_22-3 page 7" href="http://viewer.zmags.com/publication/e57bec6f?page=7"> The Journal of Performance Measurement’s® WOMEN </a>
<a title="JPM_Spring2018_22-3 page 8" href="http://viewer.zmags.com/publication/e57bec6f?page=8"> Letter from the Publisher Doug stole my thunder</a>
<a title="JPM_Spring2018_22-3 page 9" href="http://viewer.zmags.com/publication/e57bec6f?page=9"> Investment Risk This paper discusses investment r</a>
<a title="JPM_Spring2018_22-3 page 10" href="http://viewer.zmags.com/publication/e57bec6f?page=10"> Figure 1 fund's long horizon investment</a>
<a title="JPM_Spring2018_22-3 page 11" href="http://viewer.zmags.com/publication/e57bec6f?page=11"> 100 Figure 2 860 240 20 -40 Aus Eq Total R</a>
<a title="JPM_Spring2018_22-3 page 12" href="http://viewer.zmags.com/publication/e57bec6f?page=12"> mately five times in every 20 years. It follows t</a>
<a title="JPM_Spring2018_22-3 page 13" href="http://viewer.zmags.com/publication/e57bec6f?page=13"> 19701 19789789234589034589034586712671267 290909</a>
<a title="JPM_Spring2018_22-3 page 14" href="http://viewer.zmags.com/publication/e57bec6f?page=14"> Option Australian Equities CashOYver 7 ears Tabl</a>
<a title="JPM_Spring2018_22-3 page 15" href="http://viewer.zmags.com/publication/e57bec6f?page=15"> tions as noted in the table above, an investment </a>
<a title="JPM_Spring2018_22-3 page 16" href="http://viewer.zmags.com/publication/e57bec6f?page=16"> Parametric Risk and “Mean Return” Which µ is for </a>
<a title="JPM_Spring2018_22-3 page 17" href="http://viewer.zmags.com/publication/e57bec6f?page=17"> ture profits and losses garnered by any particula</a>
<a title="JPM_Spring2018_22-3 page 18" href="http://viewer.zmags.com/publication/e57bec6f?page=18"> 12345 -136810 -253400 --124250 --21020 -14750 </a>
<a title="JPM_Spring2018_22-3 page 19" href="http://viewer.zmags.com/publication/e57bec6f?page=19"> GDayin1234s/Losses in period* L ay 5 Voss at Use</a>
<a title="JPM_Spring2018_22-3 page 20" href="http://viewer.zmags.com/publication/e57bec6f?page=20"> ZĞůĂƚŝǀĞsĂZͲɲΎʍ ďƐŽůƵƚĞsĂZͲƵͲɲΎʍ ʍсϮ͘ϬϬ͕</a>
<a title="JPM_Spring2018_22-3 page 21" href="http://viewer.zmags.com/publication/e57bec6f?page=21"> ZĞůĂƚŝǀĞsĂZͲɲΎʍ ďƐŽůƵƚĞsĂZͲƵͲɲΎʍ ʍсϮ͘ϬϬ͕ɲс</a>
<a title="JPM_Spring2018_22-3 page 22" href="http://viewer.zmags.com/publication/e57bec6f?page=22"> the σ we see of 1.1582% by √12 ie 4.0121 percent.</a>
<a title="JPM_Spring2018_22-3 page 23" href="http://viewer.zmags.com/publication/e57bec6f?page=23"> The Journal Interview Elske van de Burgt, CFA hol</a>
<a title="JPM_Spring2018_22-3 page 24" href="http://viewer.zmags.com/publication/e57bec6f?page=24"> entiate themselves by tailored or specialized inv</a>
<a title="JPM_Spring2018_22-3 page 25" href="http://viewer.zmags.com/publication/e57bec6f?page=25"> dynamic re-allocations, liability-driven investme</a>
<a title="JPM_Spring2018_22-3 page 26" href="http://viewer.zmags.com/publication/e57bec6f?page=26"> we've seen an enormous increase in the usage of t</a>
<a title="JPM_Spring2018_22-3 page 27" href="http://viewer.zmags.com/publication/e57bec6f?page=27"> An Optimization Approach for Content Determinatio</a>
<a title="JPM_Spring2018_22-3 page 28" href="http://viewer.zmags.com/publication/e57bec6f?page=28"> several hundred conference presentations and revi</a>
<a title="JPM_Spring2018_22-3 page 29" href="http://viewer.zmags.com/publication/e57bec6f?page=29"> egories will be open to automation within two dec</a>
<a title="JPM_Spring2018_22-3 page 30" href="http://viewer.zmags.com/publication/e57bec6f?page=30"> marizing source event data was described by Maybu</a>
<a title="JPM_Spring2018_22-3 page 31" href="http://viewer.zmags.com/publication/e57bec6f?page=31"> which the user is comparing the results of a mana</a>
<a title="JPM_Spring2018_22-3 page 32" href="http://viewer.zmags.com/publication/e57bec6f?page=32"> dustry and ease of illustration as the attributio</a>
<a title="JPM_Spring2018_22-3 page 33" href="http://viewer.zmags.com/publication/e57bec6f?page=33"> less than or equal to the market average. </a>
<a title="JPM_Spring2018_22-3 page 34" href="http://viewer.zmags.com/publication/e57bec6f?page=34"> effect was ignored since it is not control</a>
<a title="JPM_Spring2018_22-3 page 35" href="http://viewer.zmags.com/publication/e57bec6f?page=35"> for Statistical Computing, 2013). Another advanta</a>
<a title="JPM_Spring2018_22-3 page 36" href="http://viewer.zmags.com/publication/e57bec6f?page=36"> ments or over performance in particular areas whi</a>
<a title="JPM_Spring2018_22-3 page 37" href="http://viewer.zmags.com/publication/e57bec6f?page=37"> ment, 15(2), pp. 8-20, 2010. Fama, Eugene and Ken</a>
<a title="JPM_Spring2018_22-3 page 38" href="http://viewer.zmags.com/publication/e57bec6f?page=38"> market capitalization, The Journal of Portfolio M</a>
<a title="JPM_Spring2018_22-3 page 39" href="http://viewer.zmags.com/publication/e57bec6f?page=39"> A Practical Journey through Risk for Performance </a>
<a title="JPM_Spring2018_22-3 page 40" href="http://viewer.zmags.com/publication/e57bec6f?page=40"> holding/nominal and price) • Duration and accrued</a>
<a title="JPM_Spring2018_22-3 page 41" href="http://viewer.zmags.com/publication/e57bec6f?page=41"> 3. EX-ANTE RISK MEASUREMENT While the performance</a>
<a title="JPM_Spring2018_22-3 page 42" href="http://viewer.zmags.com/publication/e57bec6f?page=42"> Table 1: Historic Data for Monte Carlo Simulation</a>
<a title="JPM_Spring2018_22-3 page 43" href="http://viewer.zmags.com/publication/e57bec6f?page=43"> distribution has its own set of parameters, but i</a>
<a title="JPM_Spring2018_22-3 page 44" href="http://viewer.zmags.com/publication/e57bec6f?page=44"> uity and Equity) equals 1 because Equity (column </a>
<a title="JPM_Spring2018_22-3 page 45" href="http://viewer.zmags.com/publication/e57bec6f?page=45"> i.e., n=52 or 156. In this paper, we use week</a>
<a title="JPM_Spring2018_22-3 page 46" href="http://viewer.zmags.com/publication/e57bec6f?page=46"> higher value for n. You want to have extreme e</a>
<a title="JPM_Spring2018_22-3 page 47" href="http://viewer.zmags.com/publication/e57bec6f?page=47"> first quarter of 2008 are based on less than 52 d</a>
<a title="JPM_Spring2018_22-3 page 48" href="http://viewer.zmags.com/publication/e57bec6f?page=48"> cally regards new information as more important t</a>
<a title="JPM_Spring2018_22-3 page 49" href="http://viewer.zmags.com/publication/e57bec6f?page=49"> something that happens in a portfolio, a benchmar</a>
<a title="JPM_Spring2018_22-3 page 50" href="http://viewer.zmags.com/publication/e57bec6f?page=50"> thought around the challenges that occur in the d</a>
<a title="JPM_Spring2018_22-3 page 51" href="http://viewer.zmags.com/publication/e57bec6f?page=51"> Transaction- vs. Holdings-based Attribution: The </a>
<a title="JPM_Spring2018_22-3 page 52" href="http://viewer.zmags.com/publication/e57bec6f?page=52"> The method that I use for transaction attribution</a>
<a title="JPM_Spring2018_22-3 page 53" href="http://viewer.zmags.com/publication/e57bec6f?page=53"> CRSP was the source for individual security price</a>
<a title="JPM_Spring2018_22-3 page 54" href="http://viewer.zmags.com/publication/e57bec6f?page=54"> held at the beginning of the period. The sixth, s</a>
<a title="JPM_Spring2018_22-3 page 55" href="http://viewer.zmags.com/publication/e57bec6f?page=55"> n VE VB ¦Ci </a>
<a title="JPM_Spring2018_22-3 page 56" href="http://viewer.zmags.com/publication/e57bec6f?page=56"> vides the ability to do multiple comparisons in a</a>
<a title="JPM_Spring2018_22-3 page 57" href="http://viewer.zmags.com/publication/e57bec6f?page=57"> 20% 40% T6o0t%al 0.9560431 0.903220747543612.07.3</a>
<a title="JPM_Spring2018_22-3 page 58" href="http://viewer.zmags.com/publication/e57bec6f?page=58"> ance, when in reality it helped it. This e</a>
<a title="JPM_Spring2018_22-3 page 59" href="http://viewer.zmags.com/publication/e57bec6f?page=59"> which approach (transaction or holdings) is bette</a>
<a title="JPM_Spring2018_22-3 page 60" href="http://viewer.zmags.com/publication/e57bec6f?page=60"> In addition, when there is no portfolio activity,</a>
<a title="JPM_Spring2018_22-3 page 61" href="http://viewer.zmags.com/publication/e57bec6f?page=61"> APPENDIX B: CONSOLIDATED RESULTS lection, and</a>
<a title="JPM_Spring2018_22-3 page 62" href="http://viewer.zmags.com/publication/e57bec6f?page=62"> The Journal of Performance Measurement -60- </a>
<a title="JPM_Spring2018_22-3 page 63" href="http://viewer.zmags.com/publication/e57bec6f?page=63"> Spring 2018 -61- The J</a>
<a title="JPM_Spring2018_22-3 page 64" href="http://viewer.zmags.com/publication/e57bec6f?page=64"> The Journal of Performance Measurement -62- </a>
<a title="JPM_Spring2018_22-3 page 65" href="http://viewer.zmags.com/publication/e57bec6f?page=65"> Spring 2018 -63- The J</a>
<a title="JPM_Spring2018_22-3 page 66" href="http://viewer.zmags.com/publication/e57bec6f?page=66"> APPENDIX C: RESIDUALS The J</a>
<a title="JPM_Spring2018_22-3 page 67" href="http://viewer.zmags.com/publication/e57bec6f?page=67"> APPENDIX D: TEST DATA FOR RETURN DIFFERENCES </a>
<a title="JPM_Spring2018_22-3 page 68" href="http://viewer.zmags.com/publication/e57bec6f?page=68"> The Journal of Performance Measurement -66- </a>
<a title="JPM_Spring2018_22-3 page 69" href="http://viewer.zmags.com/publication/e57bec6f?page=69"> Spring 2018 -67- The J</a>
<a title="JPM_Spring2018_22-3 page 70" href="http://viewer.zmags.com/publication/e57bec6f?page=70"> The Journal of Performance Measurement -68- </a>
<a title="JPM_Spring2018_22-3 page 71" href="http://viewer.zmags.com/publication/e57bec6f?page=71"> Spring 2018 -69- The J</a>
<a title="JPM_Spring2018_22-3 page 72" href="http://viewer.zmags.com/publication/e57bec6f?page=72"> The Journal of Performance Measurement -70- </a>
<a title="JPM_Spring2018_22-3 page 73" href="http://viewer.zmags.com/publication/e57bec6f?page=73"> Appendix E: Test Results for Return Difference An</a>
<a title="JPM_Spring2018_22-3 page 74" href="http://viewer.zmags.com/publication/e57bec6f?page=74"> The Journal of Performance Measurement -72- </a>
<a title="JPM_Spring2018_22-3 page 75" href="http://viewer.zmags.com/publication/e57bec6f?page=75"> Spring 2018 -73- The J</a>
<a title="JPM_Spring2018_22-3 page 76" href="http://viewer.zmags.com/publication/e57bec6f?page=76"> The Journal of Performance Measurement -74- </a>
<a title="JPM_Spring2018_22-3 page 77" href="http://viewer.zmags.com/publication/e57bec6f?page=77"> Spring 2018 -75- The J</a>
<a title="JPM_Spring2018_22-3 page 78" href="http://viewer.zmags.com/publication/e57bec6f?page=78"> ENDNOTES 1 Much of this paper comes fr</a>
<a title="JPM_Spring2018_22-3 page 79" href="http://viewer.zmags.com/publication/e57bec6f?page=79"> The Journal</a>