<br />
THE JOURNAL OF<br />
PERFORMANCE<br />
MEASUREMENT®<br />
THE PERFORMANCE MEASUREMENT RESOURCE VOLUME24 : NUMBER 4<br />
VOLUME26 : NUMBER 2<br />
INSIDE THIS ISSUE - WINTER 2021/2022<br />
n HIDDEN ERRORS IN REGRESSION-BASED ATTRIBUTION<br />
®<br />
n THE SPAULDING GROUP'S 2020 GIPS STANDARDS SURVEY RESULTS<br />
n THE JOURNAL INTERVIEW - KATHLEEN SEAGLE, CIPM<br />
n LOOK BEFORE YOU LEAP: A RISK-BASED FRAMEWORK TO AID MIDDLE- AND<br />
BACK-OFFICE OUTSOURCING<br />
n PRACTICAL GUIDELINE FOR FUNDING/SOLVENCY RATIO ATTRIBUTION<br />
n LANDMARK ARTICLE: THE CHALLENGES OF AFTER-TAX<br />
PERFORMANCE REPORTING<br />
APUBLICATIONOFTHESPAULDINGGROUP, INC.<br />
APUBLICATIONOFTHESPAULDINGGROUP, INC.<br />
Enhanc<br />
maste<a title="JPM_Winter2021/2022_26-2 page 1" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=1"> THE JOURNAL OF PERFORMANCE MEASUREMENT® THE PERF</a>
<a title="JPM_Winter2021/2022_26-2 page 2" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=2"> Enhanc master invest Delive n Maste Co rI </a>
<a title="JPM_Winter2021/2022_26-2 page 3" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=3"> The Journal of Performance Measurement </a>
<a title="JPM_Winter2021/2022_26-2 page 4" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=4"> The Journal of Performance Measurement </a>
<a title="JPM_Winter2021/2022_26-2 page 5" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=5"> Train Your Entire Performance staff for half pric</a>
<a title="JPM_Winter2021/2022_26-2 page 6" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=6"> Letter from the Editor In 2013, we introduce</a>
<a title="JPM_Winter2021/2022_26-2 page 7" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=7"> 7KH 3HUIRUPDQFH DQG 5LVN 0HDVXUHPHQW +DOO RI )DPH</a>
<a title="JPM_Winter2021/2022_26-2 page 8" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=8"> Letter from the Publisher As I write this,</a>
<a title="JPM_Winter2021/2022_26-2 page 9" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=9"> We're Everything You Need in a GIPS® Standards Ve</a>
<a title="JPM_Winter2021/2022_26-2 page 10" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=10"> THE COLUMNISTS JPM asks six performance professio</a>
<a title="JPM_Winter2021/2022_26-2 page 11" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=11"> DOUGLAS LEMPEREUR Before I became focused on Pe</a>
<a title="JPM_Winter2021/2022_26-2 page 12" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=12"> Hidden Errors in Regression-Based Attribution Q</a>
<a title="JPM_Winter2021/2022_26-2 page 13" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=13"> forecast or “alpha.” For active strategies, these</a>
<a title="JPM_Winter2021/2022_26-2 page 14" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=14"> Figure 1: Exact Return Attribution for </a>
<a title="JPM_Winter2021/2022_26-2 page 15" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=15"> Figure 3: Summary of Return Attribution for </a>
<a title="JPM_Winter2021/2022_26-2 page 16" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=16"> Figure 5: Summary of Return Attribution of Portfo</a>
<a title="JPM_Winter2021/2022_26-2 page 17" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=17"> Figure 6: Return Attribution of Portfolio Built w</a>
<a title="JPM_Winter2021/2022_26-2 page 18" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=18"> sion. These results enable determination of the e</a>
<a title="JPM_Winter2021/2022_26-2 page 19" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=19"> Grinold, Richard, “Attribution,” Journal of Portf</a>
<a title="JPM_Winter2021/2022_26-2 page 20" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=20"> The Spaulding Group's 2020 GIPS® Standards Survey</a>
<a title="JPM_Winter2021/2022_26-2 page 21" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=21"> Table 1</a>
<a title="JPM_Winter2021/2022_26-2 page 22" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=22"> Table 2: Does Your Firm/Organization Claim </a>
<a title="JPM_Winter2021/2022_26-2 page 23" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=23"> Table 4: Does Your Firm/Organization Und</a>
<a title="JPM_Winter2021/2022_26-2 page 24" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=24"> overall responses shown in Figure 3. The number </a>
<a title="JPM_Winter2021/2022_26-2 page 25" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=25"> Table 9: Have You Adopted the Option to </a>
<a title="JPM_Winter2021/2022_26-2 page 26" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=26"> Table 11: Have You Replaced the Use of Time-</a>
<a title="JPM_Winter2021/2022_26-2 page 27" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=27"> Table 13: If You Have Proprietary Limited Distrib</a>
<a title="JPM_Winter2021/2022_26-2 page 28" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=28"> and sees no use for the pooled fund reports. Coul</a>
<a title="JPM_Winter2021/2022_26-2 page 29" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=29"> ating composites for pooled funds if the strategy</a>
<a title="JPM_Winter2021/2022_26-2 page 30" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=30"> We see a sizable adoption of the new options, whi</a>
<a title="JPM_Winter2021/2022_26-2 page 31" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=31"> The Journal Interview Kathleen Seagle, CIPM is a</a>
<a title="JPM_Winter2021/2022_26-2 page 32" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=32"> ask for, or what you'll learn from a colleague or</a>
<a title="JPM_Winter2021/2022_26-2 page 33" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=33"> KS: Thanks for having me. It's been an honor work</a>
<a title="JPM_Winter2021/2022_26-2 page 34" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=34"> Look Before You Leap: A Risk-Based Framework to A</a>
<a title="JPM_Winter2021/2022_26-2 page 35" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=35"> second millennium. It led to farming out of non-c</a>
<a title="JPM_Winter2021/2022_26-2 page 36" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=36"> Squeezing fee compressions makes investment manag</a>
<a title="JPM_Winter2021/2022_26-2 page 37" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=37"> they offer new or different ways to perform vario</a>
<a title="JPM_Winter2021/2022_26-2 page 38" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=38"> vider on the firm's processes; service provider t</a>
<a title="JPM_Winter2021/2022_26-2 page 39" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=39"> Table 1 Typical POC vs POD Proof of Concept </a>
<a title="JPM_Winter2021/2022_26-2 page 40" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=40"> example, regulatory) conditions. Could service pr</a>
<a title="JPM_Winter2021/2022_26-2 page 41" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=41"> Practical Guideline for Funding/Solvency Ratio At</a>
<a title="JPM_Winter2021/2022_26-2 page 42" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=42"> costs) (e.g., an update in life expectancy tables</a>
<a title="JPM_Winter2021/2022_26-2 page 43" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=43"> At the bottom, we come to the traditional startin</a>
<a title="JPM_Winter2021/2022_26-2 page 44" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=44"> Table 4: Calculated Returns Assets Start </a>
<a title="JPM_Winter2021/2022_26-2 page 45" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=45"> we became more pessimistic on future asset class </a>
<a title="JPM_Winter2021/2022_26-2 page 46" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=46"> ܣ݈݈ܿܽݐ݅݊ = (ݓ െ ݓᇱ) . (ݎ െ ܴ) ݈ܵ݁݁ܿݐ݅</a>
<a title="JPM_Winter2021/2022_26-2 page 47" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=47"> Table A2: Calculated Effects (Arithmetic) We may </a>
<a title="JPM_Winter2021/2022_26-2 page 48" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=48"> smoothing method by (Cariño, 1999) to resolve to </a>
<a title="JPM_Winter2021/2022_26-2 page 49" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=49"> In a similar way as with the allocation effects, </a>
<a title="JPM_Winter2021/2022_26-2 page 50" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=50"> there are some other contributors as well. Please</a>
<a title="JPM_Winter2021/2022_26-2 page 51" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=51"> REFERENCES Cariño, David R., “Combining Attribut</a>
<a title="JPM_Winter2021/2022_26-2 page 52" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=52"> The Challenges of After-Tax Performance Reporting</a>
<a title="JPM_Winter2021/2022_26-2 page 53" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=53"> Unfortunately, early software packages, developed</a>
<a title="JPM_Winter2021/2022_26-2 page 54" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=54"> end of the year for each holding and make necessa</a>
<a title="JPM_Winter2021/2022_26-2 page 55" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=55"> trusts higher yielding equity strategies may be a</a>
<a title="JPM_Winter2021/2022_26-2 page 56" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=56"> tax rates and another in order to include the acc</a>
<a title="JPM_Winter2021/2022_26-2 page 57" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=57"> CONCLUSION After-tax performance reporting certa</a>
<a title="JPM_Winter2021/2022_26-2 page 58" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=58"> The Journal of Performance Measurement - List of </a>
<a title="JPM_Winter2021/2022_26-2 page 59" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=59"> Separating the Impact of Portfolio Management Dec</a>
<a title="JPM_Winter2021/2022_26-2 page 60" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=60"> Attribution with Style Ronald J. Surz, CIMA, Rox</a>
<a title="JPM_Winter2021/2022_26-2 page 61" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=61"> Process Attribution - Measuring the Performance o</a>
<a title="JPM_Winter2021/2022_26-2 page 62" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=62"> Risk Adjusted Performance Attribution: A New Para</a>
<a title="JPM_Winter2021/2022_26-2 page 63" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=63"> Regression-based Performance Attribution David C.</a>
<a title="JPM_Winter2021/2022_26-2 page 64" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=64"> Fixed Income Attribution Model Mathieu Cubilie, S</a>
<a title="JPM_Winter2021/2022_26-2 page 65" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=65"> Fixed Income Attribution with Minimum Raw Materia</a>
<a title="JPM_Winter2021/2022_26-2 page 66" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=66"> A Model for a Global Investment Attribution Analy</a>
<a title="JPM_Winter2021/2022_26-2 page 67" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=67"> A Case for Arithmetic Attribution Mark R. David, </a>
<a title="JPM_Winter2021/2022_26-2 page 68" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=68"> The Associative Property of Attribution Linking Y</a>
<a title="JPM_Winter2021/2022_26-2 page 69" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=69"> Performance Attribution for Passive Strategies Da</a>
<a title="JPM_Winter2021/2022_26-2 page 70" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=70"> The Next Step in the Evolution of Decision-based </a>
<a title="JPM_Winter2021/2022_26-2 page 71" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=71"> Defining Investment Benchmarks, Performance Objec</a>
<a title="JPM_Winter2021/2022_26-2 page 72" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=72"> Hedge Funds What Can Hedge Funds Do to Enhance T</a>
<a title="JPM_Winter2021/2022_26-2 page 73" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=73"> The Journal Interview Matt E. Forstenhausler, Ern</a>
<a title="JPM_Winter2021/2022_26-2 page 74" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=74"> Cecilia Wong, Base-Two Investment Systems John Fe</a>
<a title="JPM_Winter2021/2022_26-2 page 75" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=75"> Mark Osterkamp, Wilshire Associates John Simpson,</a>
<a title="JPM_Winter2021/2022_26-2 page 76" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=76"> Glenn Skidmore, Informa Ron Walker, SunGard David</a>
<a title="JPM_Winter2021/2022_26-2 page 77" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=77"> The Journal Interview Jim Trotter, Northern Trust</a>
<a title="JPM_Winter2021/2022_26-2 page 78" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=78"> The Journal Interview Joseph McDonagh, CFA, BNY M</a>
<a title="JPM_Winter2021/2022_26-2 page 79" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=79"> The Roundtable Interview Hicham el Bonne, Ortec F</a>
<a title="JPM_Winter2021/2022_26-2 page 80" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=80"> Mutual Funds What Drives the Momentum in Mutual </a>
<a title="JPM_Winter2021/2022_26-2 page 81" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=81"> What's in Your Platform (of Funds?)AMessage to In</a>
<a title="JPM_Winter2021/2022_26-2 page 82" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=82"> Should U.S. Money Managers Care About GIPS? David</a>
<a title="JPM_Winter2021/2022_26-2 page 83" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=83"> A Wake-up Call for Private Equity on GIPS Carol K</a>
<a title="JPM_Winter2021/2022_26-2 page 84" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=84"> End the Performance Shell Game and Improve the Ev</a>
<a title="JPM_Winter2021/2022_26-2 page 85" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=85"> Adjustments to Prior Period Returns David Spauldi</a>
<a title="JPM_Winter2021/2022_26-2 page 86" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=86"> Properties of the IRR Equation with Regard to Amb</a>
<a title="JPM_Winter2021/2022_26-2 page 87" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=87"> Some Problems of the IRR in Measuring PEI with Pe</a>
<a title="JPM_Winter2021/2022_26-2 page 88" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=88"> The Current State of Enterprise Risk Technology D</a>
<a title="JPM_Winter2021/2022_26-2 page 89" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=89"> The Upside Potential Ratio Frank A. Sortino, Ph.D</a>
<a title="JPM_Winter2021/2022_26-2 page 90" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=90"> A Jigsaw Puzzle of Basic Risk-adjusted Performanc</a>
<a title="JPM_Winter2021/2022_26-2 page 91" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=91"> Management School of the University of Liege (Vol</a>
<a title="JPM_Winter2021/2022_26-2 page 92" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=92"> Rethinking Portfolio Risk in Asset Management Cha</a>
<a title="JPM_Winter2021/2022_26-2 page 93" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=93"> A Periodic Table of Risk Measures – Version 2 Car</a>
<a title="JPM_Winter2021/2022_26-2 page 94" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=94"> Puzzles in Risk and Performance: Part 4 Marcus He</a>
<a title="JPM_Winter2021/2022_26-2 page 95" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=95"> Style Analysis Style Analysis Mark Beardall, Aon</a>
<a title="JPM_Winter2021/2022_26-2 page 96" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=96"> Performance Measurement Technology Survey - User </a>
<a title="JPM_Winter2021/2022_26-2 page 97" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=97"> Challenges with Developing Portfolio Accounting S</a>
<a title="JPM_Winter2021/2022_26-2 page 98" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=98"> 3, Issue #3) The Role of Simulation in Measuring</a>
<a title="JPM_Winter2021/2022_26-2 page 99" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=99"> Morningstar's Investor Return - Capturing the Col</a>
<a title="JPM_Winter2021/2022_26-2 page 100" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=100"> Richard E. Maihos, Meradia (Vol. 25, Issue #4) I</a>
<a title="JPM_Winter2021/2022_26-2 page 101" href="https://secure.viewer.zmags.com/publication/9db6c9f9?page=101"> The Journal of Performance Measurement Manuscript</a>