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Arno E. Weber Wins the 2024 Peter Dietz Award for
“Excellence in the Field of Performance Measurement Literature”
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For his paper: “A Decision-based Approach to Risk-Adjusted Performance Attribution”
Somerset, NJ – January 29, 2025
The Advisory Board of The Journal of Performance Measurement® (JPM) has announced that the recipient of the 2024 Peter O. Dietz Award is Arno E. Weber. The advisory board panel selected Weber’s article, “A Decision-based Approach to Risk-Adjusted Performance Attribution” as one “among a select group of articles chosen to recognize excellence in performance measurement literature.” About the paper, Weber explains, “The article proposes an expansion to the classic Brinson method, in which we provide additional insights. For example, whether a particular selection effect was achieved mainly due to taking risk or by a superior stock picking process which delivered risk-adjusted outperformance. Since investment decisions like allocations or selections change the risk profile of a portfolio deliberately, it is useful to make explicit how the risk management side of each decision impacted its contribution.”
The award, established in 2001, is named for Peter O. Dietz whose seminal work, “Pension Funds-Measuring Investment Performance,” was the basis for the Bank Administration Institute’s performance reporting standards (“Measuring the Investment Performance of Pension Funds”). Mr. Dietz also developed the well-known Modified Dietz Method and other formulas to calculate rates of return, which are still widely used today.
“By winning the 2024 Dietz Award, of course I feel honored that my efforts put in the article are so much appreciated,” said author Weber. “It shows that the topic is of great relevance within the industry, and I am happy to contribute to the research and development of performance attribution methods.”
Honorable Mention Award recipients are four-time Dietz Award recipient Stephen Campisi, CFA (“Managing and Evaluating Regret Risk to Create Sustainable Asset Allocation Strategies”); Luke Petrus (“A Practical Guide to the Performance Measurement Process: Reflections and Consideration”); and Alex Shafran, CFA; Ian Thompson, Ph.D.; and Shankar Venkatraman, CFA, FRM (“Performance Analytics Technology). “Congratulations to Arno and all of our award recipients,” said Douglas Spaulding, editor of The Journal. “We look forward to the continued impact of your research and insights.”
With offices across the United States, and now in Canada, TSG is the leader in providing investment performance measurement information, through its products and services. TSG provides consulting along with GIPS® and non-GIPS verification services; offers unique and proprietary Software Certification and Operation Review services; publishes The Journal of Performance Measurement®, a quarterly publication launched in 1996; and hosts the Performance Measurement Forum. The firm also sponsors the annual Performance Measurement, Attribution and Risk (PMAR) North America and Europe conferences. TSG’s Institute of Performance Measurement offers in-person and online performance measurement training, including both performance fundamentals and attribution courses, and a class on portfolio risk. TSG is proud to have been the creator of Women in Performance Measurement (WiPM), a business resource for women by women to network, share, and learn together. For more information visit www.TSGPerformance.com.
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