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THE PERFORMANCE MEASUREMENT RESOURCE
MPERAFSOURMEAMNECNET®
THE JOURNAL OF
VOLUME 19 : NUMBER 3
INSIDE THIS ISSUE - SPRING 2015
INSIDE THIS ISSUE - SPRING 2015
n THE SHARPE RATIO REVISITED: WHAT IT REALLY TELLS US
n COMPARING EX-ANTE TRACKING ERROR ESTIMATES ACROSS TIME
n THE JOURNAL INTERVIEW - DAX JOHNSON
n A PERIODIC TABLE OF RISK MEASURES - VERSION 2
n RISK-ADJUSTED PERFORMANCE RATIOS: PART 1
n MULTIPLE-PERIOD ATTRIBUTION: RESIDUAL AND COMPOUNDING
A PUBLICATION OF THE SPAULDING GROUP, INC.
What key investment decisions
influence your performance?
Performance, Attribution and Risk
A unique ability to quantify the top-down decision making process enables us to provide insight
into the added value throughout the decision making process, not just the bottom up decisions
that are often given focus
THE PERFORMANCE MEASUREMENT RESOURCE MPERAFSOURM
What key investment decisions influence your perfo
The Journal of Performance Measurement
The Journal of Performance Measure
Train Your Entire Performance Staff for HALF PRIC
Letter from the Editor “The cities where the ba
Letter from the Publisher In our last issue I r
The Sharpe Ratio Revisited: What It Really Tells
the Sharpe Ratio, and interestingly very few prac
positive - even those for which the mean differen
and the RAP have the same volatility. The authors
. (9)
skill and only rankings based on the M-cube provi
CONCLUSION This paper sought to revisit the Sharp
Comparing Ex-Ante1 Tracking Error Estimates Acros
way for an investment advisor to gauge what their
COMPARING THE RISK MODEL TRACKING ERROR STABILITY
bets versus Target over the entire test, it is in
tistics like active share and portfolio character
Model I Quarterly Test Results The Journal
Model II Quarterly Test Results ENDNOTES
The Journal Interview Dax Johnson, CFA is head of
rency changes and the ability to roll up constitu
see increased demand for book of record functions
Who’s Who in Performance and Risk Measurement
How long have you been in performance and risk me
A Periodic Table of Risk Measures – Version 2 A p
DESCRIPTIVE STATISTICS 1st moment 2nd m
The 3rd moment, skewness their ow
value at risk or VaR. I pondered the order of thi
Risk-Adjusted Performance Ratios: Part 1 This art
is to the investor, and a prudent investment mana
Table 1: Two Managers: Same Average Return, but t
When we calculate the standard deviation, we basi
in my 10-year history of performance, let’s say I
calculation. Downside deviation is focusing on lo
ear regression, so for a Cartesian system (see Ta
Table 5: Tracking Error Example annu
15 $5,000 10
Drawdown 4 (26 to 28): skill tha
for our traditional portfolios, two types of meas
being risk-free? That’s the Sharpe Ratio. Graphic
vations of performance. The risk-free rate here,
than the other portfolio. In terms of a number, i
risky, and then the same thing with the risk-adju
benchmark and to see what that adjustment to risk
Figure 6 it in the form of a return, some would s
Figure 7: Visualizing What's Going on with the M-
manager is exhibiting better skill, and that’s be
Multiple-Period Attribution: Residuals and Compou
difference between the portfolio’s actual added v
for this problem by reducing the length of time u
Table1:ExampleofaMultiple-PeriodAttribution Spri
Table 2: Weighted Risk Premiums Table 3
many Brinson Partners investment managers and ana
The Journal
Be confident in the results you deliver ● Levera