Liability-driven Performance Attribution

The subject of this paper is the performance measurement of the investment process of liability-driven investors, e.g. insurance companies and pension funds. It starts with a historical overview of the development of performance measurement in an “asset only” approach. However, when an investor introduces Asset-Liability Management, performance measurement based on an “asset only” approach can be misleading. Necessary conditions and solutions for a performance measurement system in a liability context will be discussed.