<br />
THE JOURNAL OF<br />
PERFORMANCE<br />
MEASUREMENT®<br />
THE PERFORMANCE MEASUREMENT RESOURCE VOLUME 24 : NUMBER 4<br />
VOLUME 27 : NUMBER 4<br />
INSIDE THIS ISSUE - SUMMER 2023<br />
n HISTORICAL PERFORMANCE METRICS FOR SIX ASSET ALLOCATION MODELS<br />
n BEST OF PMAR 2023: TALENT RECRUITMENT AND RETENTION<br />
n FIXED INCOME ATTRIBUTION - TOWARD A GENERIC MODEL? PART 2<br />
n THE JOURNAL INTERVIEW - BUILDING AND AUTOMATING A FIXED INCOME<br />
ATTRIBUTION MODEL TO ENHANCE CLIENT REPORTING AT ALBERTA<br />
INVESTMENT MANAGEMENT CORPORATION<br />
n TSG TIME: EPISODE SEVEN TRANSCRIPT<br />
AN INTERVIEW WITH ELSKE VAN DE BURGT, CFA<br />
n WHAT THE COO NEEDS TO KNOW ABOUT PERFORMANCE MEASUREMENT:<br />
AN UPDATE<br />
A PUBLIC<a title="JPM_Summer2023_27-4 page 1" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=1"> THE JOURNAL OF PERFORMANCE MEASUREMENT® THE PERF</a>
<a title="JPM_Summer2023_27-4 page 2" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=2"> The Journal of Performance Measurement® </a>
<a title="JPM_Summer2023_27-4 page 3" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=3"> The Journal of Performance Measurement </a>
<a title="JPM_Summer2023_27-4 page 4" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=4"> LEARN MORE</a>
<a title="JPM_Summer2023_27-4 page 5" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=5"> Letter from the Editor The 2022/2023 Journal</a>
<a title="JPM_Summer2023_27-4 page 6" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=6"> We’re Everything You Need in a GIPS® Standards Ve</a>
<a title="JPM_Summer2023_27-4 page 7" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=7"> Letter from the Publisher The Summer issue a</a>
<a title="JPM_Summer2023_27-4 page 8" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=8"> Train Your Entire Performance staff for half pric</a>
<a title="JPM_Summer2023_27-4 page 9" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=9"> Who's Who in Performance & Risk Measurement Trici</a>
<a title="JPM_Summer2023_27-4 page 10" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=10"> Bradley Vincent-Barnes Ortec Finance How long ha</a>
<a title="JPM_Summer2023_27-4 page 11" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=11"> Historical Performance Metrics for Six Asset Allo</a>
<a title="JPM_Summer2023_27-4 page 12" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=12"> Table 1: 50-Year Portfolio Performance: Januar</a>
<a title="JPM_Summer2023_27-4 page 13" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=13"> data: (1) a lump sum investment, (2) no additiona</a>
<a title="JPM_Summer2023_27-4 page 14" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=14"> retiree had an average annual RMD withdrawal of j</a>
<a title="JPM_Summer2023_27-4 page 15" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=15"> points higher than the 80/20 model and the two mo</a>
<a title="JPM_Summer2023_27-4 page 16" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=16"> Best of PMAR 2023: Talent Recruitment and Retenti</a>
<a title="JPM_Summer2023_27-4 page 17" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=17"> Patrick Fowler: So, as our panelists take the sta</a>
<a title="JPM_Summer2023_27-4 page 18" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=18"> some cases, the things that really get lost when </a>
<a title="JPM_Summer2023_27-4 page 19" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=19"> pull back when these things happen. You have to l</a>
<a title="JPM_Summer2023_27-4 page 20" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=20"> are, where their nuclear families are and where t</a>
<a title="JPM_Summer2023_27-4 page 21" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=21"> quite drastically. At the forum, we had this exte</a>
<a title="JPM_Summer2023_27-4 page 22" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=22"> they do it, the more they're interested in doing </a>
<a title="JPM_Summer2023_27-4 page 23" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=23"> work comes from. The second is, yeah, you need to</a>
<a title="JPM_Summer2023_27-4 page 24" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=24"> body's coming for you and then, much more collabo</a>
<a title="JPM_Summer2023_27-4 page 25" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=25"> Fixed Income Attribution – Toward a Generic Model</a>
<a title="JPM_Summer2023_27-4 page 26" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=26"> from a common set of investment positions and mar</a>
<a title="JPM_Summer2023_27-4 page 27" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=27"> The following similarities/differences in compari</a>
<a title="JPM_Summer2023_27-4 page 28" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=28"> 4) will not exactly reconcile across models. Com</a>
<a title="JPM_Summer2023_27-4 page 29" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=29"> Figure 1: Emerging Generic Reporting Structure </a>
<a title="JPM_Summer2023_27-4 page 30" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=30"> Figure 3: Key Attribution Algorithms Used in Mode</a>
<a title="JPM_Summer2023_27-4 page 31" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=31"> Figure 3 (continued) FIA Return – Bottom Up Typ</a>
<a title="JPM_Summer2023_27-4 page 32" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=32"> Figure 4: Model Returns Summer 2023 </a>
<a title="JPM_Summer2023_27-4 page 33" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=33"> Figure 4 (continued) REFERENCES Sinthunont, Pau</a>
<a title="JPM_Summer2023_27-4 page 34" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=34"> The Journal Interview: Building and Automating a </a>
<a title="JPM_Summer2023_27-4 page 35" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=35"> PH: We try to explain the sources of a portfolio'</a>
<a title="JPM_Summer2023_27-4 page 36" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=36"> FC: The FIA model at AIMCo is maintained via the </a>
<a title="JPM_Summer2023_27-4 page 37" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=37"> TSG Time: Episode Seven Transcript An Interview w</a>
<a title="JPM_Summer2023_27-4 page 38" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=38"> Finance given that I've been there for over 25 ye</a>
<a title="JPM_Summer2023_27-4 page 39" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=39"> And of course, when they have internal asset mana</a>
<a title="JPM_Summer2023_27-4 page 40" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=40"> of the calculations and we have to think about th</a>
<a title="JPM_Summer2023_27-4 page 41" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=41"> results in research papers that we might submit s</a>
<a title="JPM_Summer2023_27-4 page 42" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=42"> teners, other people that just started in this in</a>
<a title="JPM_Summer2023_27-4 page 43" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=43"> Patrick Fowler: Great. Well, thank you and stay t</a>
<a title="JPM_Summer2023_27-4 page 44" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=44"> What the COO Needs to Know About Performance Meas</a>
<a title="JPM_Summer2023_27-4 page 45" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=45"> Just about everyone calculates time-weighted retu</a>
<a title="JPM_Summer2023_27-4 page 46" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=46"> ticated clients, find this confusing, and underst</a>
<a title="JPM_Summer2023_27-4 page 47" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=47"> accordance with the policies, and are these polic</a>
<a title="JPM_Summer2023_27-4 page 48" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=48"> look into it. (See Barney, et al, (2016) for the </a>
<a title="JPM_Summer2023_27-4 page 49" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=49"> measures include Treynor ratio (or measure), Sort</a>
<a title="JPM_Summer2023_27-4 page 50" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=50"> Spaulding, David. 2016/2017 “What the COO Needs t</a>
<a title="JPM_Summer2023_27-4 page 51" href="https://secure.viewer.zmags.com/publication/062ae0ec?page=51"> The Journal of Performance Measurement Manuscript</a>