<br />
THE JOURNAL OF<br />
PERFORMANCE<br />
MEASUREMENT®<br />
THE PERFORMANCE MEASUREMENT RESOURCE VOLUME 24 : NUMBER 4<br />
VOLUME 28 : NUMBER 2<br />
INSIDE THIS ISSUE - WINTER 2023/2024<br />
n “REALATIVITY” IN FINANCE: HOW A SIMPLE ASSUMPTION LED<br />
TO MANY CRISES<br />
n MONETIZING EXCESS RETURNS<br />
n THE JOURNAL INTERVIEW - LEAH MODIGLIANI<br />
n A DECISION-BASED APPROACH TO RISK-ADJUSTED<br />
PERFORMANCE ATTRIBUTION<br />
n TSG TIME: EPISODE TWELVE TRANSCRIPT<br />
AN INTERVIEW WITH MELISSA AHERN, CIPM<br />
n LANDMARK ARTICLE: A SIMPLIFIED FIXED INCOME PERFORMANCE<br />
ATTRIBUTION MODEL<br />
A PUBLICATION OF THE SPAULDING GROUP, INC.<br />
The Journal of Performance Measurement®<br />
<a title="JPM_Winter 2023/2024_28-2 page 1" href="https://secure.viewer.zmags.com/publication/05362163?page=1"> THE JOURNAL OF PERFORMANCE MEASUREMENT® THE PERF</a>
<a title="JPM_Winter 2023/2024_28-2 page 2" href="https://secure.viewer.zmags.com/publication/05362163?page=2"> The Journal of Performance Measurement® </a>
<a title="JPM_Winter 2023/2024_28-2 page 3" href="https://secure.viewer.zmags.com/publication/05362163?page=3"> The Journal of Performance Measurement </a>
<a title="JPM_Winter 2023/2024_28-2 page 4" href="https://secure.viewer.zmags.com/publication/05362163?page=4"> Need to Find a Balance? Preparing accurate, consi</a>
<a title="JPM_Winter 2023/2024_28-2 page 5" href="https://secure.viewer.zmags.com/publication/05362163?page=5"> Letter from the Editor I'm excited to annou</a>
<a title="JPM_Winter 2023/2024_28-2 page 6" href="https://secure.viewer.zmags.com/publication/05362163?page=6"> We’re Everything You Need in a GIPS® Standards Ve</a>
<a title="JPM_Winter 2023/2024_28-2 page 7" href="https://secure.viewer.zmags.com/publication/05362163?page=7"> Letter from the Publisher As I write this, </a>
<a title="JPM_Winter 2023/2024_28-2 page 8" href="https://secure.viewer.zmags.com/publication/05362163?page=8"> The Performance and Risk Measurement Hall of Fame</a>
<a title="JPM_Winter 2023/2024_28-2 page 9" href="https://secure.viewer.zmags.com/publication/05362163?page=9"> Who's Who in Performance & Risk Measurement Lando</a>
<a title="JPM_Winter 2023/2024_28-2 page 10" href="https://secure.viewer.zmags.com/publication/05362163?page=10"> Train Your Entire Performance staff for half pric</a>
<a title="JPM_Winter 2023/2024_28-2 page 11" href="https://secure.viewer.zmags.com/publication/05362163?page=11"> “Realativity” in Finance: How a Simple Assumption</a>
<a title="JPM_Winter 2023/2024_28-2 page 12" href="https://secure.viewer.zmags.com/publication/05362163?page=12"> Retirement Association (LACERA) reveal the academ</a>
<a title="JPM_Winter 2023/2024_28-2 page 13" href="https://secure.viewer.zmags.com/publication/05362163?page=13"> any reduction in such fees leads to higher net re</a>
<a title="JPM_Winter 2023/2024_28-2 page 14" href="https://secure.viewer.zmags.com/publication/05362163?page=14"> risk-adjust the performance of agents to remove t</a>
<a title="JPM_Winter 2023/2024_28-2 page 15" href="https://secure.viewer.zmags.com/publication/05362163?page=15"> Capital Asset Prices: With and Without Negative H</a>
<a title="JPM_Winter 2023/2024_28-2 page 16" href="https://secure.viewer.zmags.com/publication/05362163?page=16"> Train Your Entire Performance staff for half pric</a>
<a title="JPM_Winter 2023/2024_28-2 page 17" href="https://secure.viewer.zmags.com/publication/05362163?page=17"> Monetizing Excess Returns At various venues over</a>
<a title="JPM_Winter 2023/2024_28-2 page 18" href="https://secure.viewer.zmags.com/publication/05362163?page=18"> When external cash flows occur, we must first dec</a>
<a title="JPM_Winter 2023/2024_28-2 page 19" href="https://secure.viewer.zmags.com/publication/05362163?page=19"> Table 2 ple's case, $1,000,000) as the benchmark'</a>
<a title="JPM_Winter 2023/2024_28-2 page 20" href="https://secure.viewer.zmags.com/publication/05362163?page=20"> Table 4 $1,120,616). We next calculate the bench</a>
<a title="JPM_Winter 2023/2024_28-2 page 21" href="https://secure.viewer.zmags.com/publication/05362163?page=21"> Table 5 them at the end of each period, as well a</a>
<a title="JPM_Winter 2023/2024_28-2 page 22" href="https://secure.viewer.zmags.com/publication/05362163?page=22"> deprives the benchmark of what it has done. Becau</a>
<a title="JPM_Winter 2023/2024_28-2 page 23" href="https://secure.viewer.zmags.com/publication/05362163?page=23"> compared over the two-month horizon. Adding these</a>
<a title="JPM_Winter 2023/2024_28-2 page 24" href="https://secure.viewer.zmags.com/publication/05362163?page=24"> Consider Table 10, which is perhaps a more realis</a>
<a title="JPM_Winter 2023/2024_28-2 page 25" href="https://secure.viewer.zmags.com/publication/05362163?page=25"> FUTURE RESEARCH / AREAS TO ADDRESS There is much</a>
<a title="JPM_Winter 2023/2024_28-2 page 26" href="https://secure.viewer.zmags.com/publication/05362163?page=26"> The Journal Interview Leah Modigliani is the fo</a>
<a title="JPM_Winter 2023/2024_28-2 page 27" href="https://secure.viewer.zmags.com/publication/05362163?page=27"> knew anything about his career or his academics. </a>
<a title="JPM_Winter 2023/2024_28-2 page 28" href="https://secure.viewer.zmags.com/publication/05362163?page=28"> plain the story behind how you and he came up wit</a>
<a title="JPM_Winter 2023/2024_28-2 page 29" href="https://secure.viewer.zmags.com/publication/05362163?page=29"> to any one specific risk measure, but I don't thi</a>
<a title="JPM_Winter 2023/2024_28-2 page 30" href="https://secure.viewer.zmags.com/publication/05362163?page=30"> use it, and certainly why I use it as a tool to b</a>
<a title="JPM_Winter 2023/2024_28-2 page 31" href="https://secure.viewer.zmags.com/publication/05362163?page=31"> portfolio, not the historical risk. The historica</a>
<a title="JPM_Winter 2023/2024_28-2 page 32" href="https://secure.viewer.zmags.com/publication/05362163?page=32"> LM: That's very interesting. I haven't spent a lo</a>
<a title="JPM_Winter 2023/2024_28-2 page 33" href="https://secure.viewer.zmags.com/publication/05362163?page=33"> A Decision-based Approach to Risk-adjusted Perfor</a>
<a title="JPM_Winter 2023/2024_28-2 page 34" href="https://secure.viewer.zmags.com/publication/05362163?page=34"> section and the appendices, we will show how the </a>
<a title="JPM_Winter 2023/2024_28-2 page 35" href="https://secure.viewer.zmags.com/publication/05362163?page=35"> Figure 2: Brinson-Fachler Attribution In the sta</a>
<a title="JPM_Winter 2023/2024_28-2 page 36" href="https://secure.viewer.zmags.com/publication/05362163?page=36"> Figure 4: Weights and Returns per Sector Figure 5</a>
<a title="JPM_Winter 2023/2024_28-2 page 37" href="https://secure.viewer.zmags.com/publication/05362163?page=37"> is used to obtain these covariances. One way is t</a>
<a title="JPM_Winter 2023/2024_28-2 page 38" href="https://secure.viewer.zmags.com/publication/05362163?page=38"> where: � is the weight of security s within the</a>
<a title="JPM_Winter 2023/2024_28-2 page 39" href="https://secure.viewer.zmags.com/publication/05362163?page=39"> Figure 7: Risk Analytics been obtained by applyin</a>
<a title="JPM_Winter 2023/2024_28-2 page 40" href="https://secure.viewer.zmags.com/publication/05362163?page=40"> Figure 8: Visualization of the Risk Decomposition</a>
<a title="JPM_Winter 2023/2024_28-2 page 41" href="https://secure.viewer.zmags.com/publication/05362163?page=41"> Analysis per Decision Now suppose that two inves</a>
<a title="JPM_Winter 2023/2024_28-2 page 42" href="https://secure.viewer.zmags.com/publication/05362163?page=42"> the data from Figure 7, for the overall portfolio</a>
<a title="JPM_Winter 2023/2024_28-2 page 43" href="https://secure.viewer.zmags.com/publication/05362163?page=43"> Figure 12: Visualization of the Brinson-Fachler E</a>
<a title="JPM_Winter 2023/2024_28-2 page 44" href="https://secure.viewer.zmags.com/publication/05362163?page=44"> segment impacts the risk of the portfolio, but si</a>
<a title="JPM_Winter 2023/2024_28-2 page 45" href="https://secure.viewer.zmags.com/publication/05362163?page=45"> ≔ − − . (47) And</a>
<a title="JPM_Winter 2023/2024_28-2 page 46" href="https://secure.viewer.zmags.com/publication/05362163?page=46"> a passive allocation decision was made, therefore</a>
<a title="JPM_Winter 2023/2024_28-2 page 47" href="https://secure.viewer.zmags.com/publication/05362163?page=47"> the investment portfolio. The general idea could </a>
<a title="JPM_Winter 2023/2024_28-2 page 48" href="https://secure.viewer.zmags.com/publication/05362163?page=48"> The short-term Sharpe ratio of this notional port</a>
<a title="JPM_Winter 2023/2024_28-2 page 49" href="https://secure.viewer.zmags.com/publication/05362163?page=49"> Calculating these deltas for a sample of random p</a>
<a title="JPM_Winter 2023/2024_28-2 page 50" href="https://secure.viewer.zmags.com/publication/05362163?page=50"> When the selection effects need to be calculated </a>
<a title="JPM_Winter 2023/2024_28-2 page 51" href="https://secure.viewer.zmags.com/publication/05362163?page=51"> the segment representing the fund's base currency</a>
<a title="JPM_Winter 2023/2024_28-2 page 52" href="https://secure.viewer.zmags.com/publication/05362163?page=52"> ≔ ( − −1) ∙ −1, (87) </a>
<a title="JPM_Winter 2023/2024_28-2 page 53" href="https://secure.viewer.zmags.com/publication/05362163?page=53"> TSG Time: Episode 12 Transcript An Interview with</a>
<a title="JPM_Winter 2023/2024_28-2 page 54" href="https://secure.viewer.zmags.com/publication/05362163?page=54"> Melissa Ahern: Yeah, mine's probably boring. I st</a>
<a title="JPM_Winter 2023/2024_28-2 page 55" href="https://secure.viewer.zmags.com/publication/05362163?page=55"> had many managers, I've left State Street, I've c</a>
<a title="JPM_Winter 2023/2024_28-2 page 56" href="https://secure.viewer.zmags.com/publication/05362163?page=56"> across the landscape, across every asset class, i</a>
<a title="JPM_Winter 2023/2024_28-2 page 57" href="https://secure.viewer.zmags.com/publication/05362163?page=57"> A Simplified Fixed Income Performance Attribution</a>
<a title="JPM_Winter 2023/2024_28-2 page 58" href="https://secure.viewer.zmags.com/publication/05362163?page=58"> Figure 1 Shows the Duration </a>
<a title="JPM_Winter 2023/2024_28-2 page 59" href="https://secure.viewer.zmags.com/publication/05362163?page=59"> Figure 2 The Sector Manage</a>
<a title="JPM_Winter 2023/2024_28-2 page 60" href="https://secure.viewer.zmags.com/publication/05362163?page=60"> as output from their performance platforms or fro</a>
<a title="JPM_Winter 2023/2024_28-2 page 61" href="https://secure.viewer.zmags.com/publication/05362163?page=61"> Figure 3 Shows the government pric</a>
<a title="JPM_Winter 2023/2024_28-2 page 62" href="https://secure.viewer.zmags.com/publication/05362163?page=62"> R(T)market using our curve fits as detailed in th</a>
<a title="JPM_Winter 2023/2024_28-2 page 63" href="https://secure.viewer.zmags.com/publication/05362163?page=63"> captured as sector allocation. There would then b</a>
<a title="JPM_Winter 2023/2024_28-2 page 64" href="https://secure.viewer.zmags.com/publication/05362163?page=64"> attributed with the fx. Using a simplified interp</a>
<a title="JPM_Winter 2023/2024_28-2 page 65" href="https://secure.viewer.zmags.com/publication/05362163?page=65"> is made more difficult. We showed extracts from o</a>
<a title="JPM_Winter 2023/2024_28-2 page 66" href="https://secure.viewer.zmags.com/publication/05362163?page=66"> sectors, portions of a couple of which are shown </a>
<a title="JPM_Winter 2023/2024_28-2 page 67" href="https://secure.viewer.zmags.com/publication/05362163?page=67"> here as currency blocks) that are not in the benc</a>
<a title="JPM_Winter 2023/2024_28-2 page 68" href="https://secure.viewer.zmags.com/publication/05362163?page=68"> Affecting Bond Returns,” Journal of Fixe</a>
<a title="JPM_Winter 2023/2024_28-2 page 69" href="https://secure.viewer.zmags.com/publication/05362163?page=69"> The Journal of Performance Measurement Manuscript</a>