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Daryl Bradford, CFA, CIPM and Daniel Siliski, CAIA Win 2017 Peter Dietz Award for “excellence in the field of performance measurement literature” for their paper: “Performance Drawdowns in Asset Management: Extending Drawdown Analysis to Active Returns”
Somerset, NJ – January 30, 2018. The Advisory Board of The Journal of Performance Measurement® (JPM) has announced that the recipients of the 2017 Peter O. Dietz Award are Daryl Bradford, CFA, CIPM of Acadian Asset Management and Daniel Siliski, CAIA of Boston Partners Global Investors. The advisory board panel selected “Performance Drawdowns in Asset Management: Extending Drawdown Analysis to Active Returns” as one “among a select group of articles chosen to recognize excellence in performance measurement literature.” About the paper, the authors explain, “Active drawdown, or benchmark relative drawdown, is a natural extension of the performance drawdown calculation. Our article considers several possible methodologies for calculating active drawdown, proposes one methodology as the most adequate, and applies the methodology to the returns of indices and mutual funds to derive practical results. Investors can use active drawdown to analyze portfolio returns, evaluate investment strategies, and inform the manager selection process.”
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.
“It was an honor to have The Journal of Performance Measurement publish our article a year ago. Now, the Dietz Award makes me excited to have contributed something of value to The Journal and the industry,” said Siliski. Bradford added, “Our colleagues supported our initiative, and we feel deeply satisfied to win the Dietz Award, joining a distinguished list of prior winners.”
With offices in the New York City and Los Angeles metropolitan areas, TSG, Inc. is the leader in investment performance measurement products and services. TSG provides consulting along with GIPS and performance certification services; offers a unique Software Certification service; publishes The Journal of Performance Measurement, a quarterly publication launched in 1996; and hosts the Performance Measurement Forum and Asset Owner Roundtable. The firm also sponsors the annual Performance Measurement, Attribution and Risk (PMAR) North America, West and Europe conferences. TSG’s Institute of Performance Measurement offers performance measurement training, including a fundamentals course on performance measurement, a course on performance attribution, and a course on portfolio risk.