Towards the Next Generation of Performance Attribution for Institutional Investment Management

6 Pages Posted: 4 Jul 2013 Last revised: 31 Jul 2013

See all articles by Leo de Bever

Leo de Bever

Alberta Investment Management Corporation

Jagdeep Bachher

University of California Office of Chief Investment Officer

Roman Chuyan

Alberta Investment Management Corporation

Ashby Monk

Stanford University

Date Written: July 3, 2013

Abstract

Proprietary information and data processing systems have become key competitive differentiators for investors in today’s complex financial marketplace; better systems provide better data, which, in turn, drive better investment decisions and superior investment performance. But while the best systems are multifaceted and touch all aspects of the investment organization (see Clark and Monk 2013), one component of such systems is increasingly important: the measurement and attribution of performance. Today’s leading investors view performance attribution as more than just explaining the past; it is seen as a tool for making better investment decisions in the future. Accurate, timely, and detailed attribution helps measure skill and sources of active return and can thus help strengthen investment teams and improve portfolio performance. In this brief article, we describe our experience at the Alberta Investment Management Corporation (AIMCo) in developing performance attribution as an investment management tool in the hope that it may become part of a broader institutional investor discussion on this topic.

Keywords: institutional investment, benchmarks, performance attribution, big data, asset management

Suggested Citation

de Bever, Leo and Bachher, Jagdeep and Chuyan, Roman and Monk, Ashby, Towards the Next Generation of Performance Attribution for Institutional Investment Management (July 3, 2013). Available at SSRN: https://ssrn.com/abstract=2289562 or http://dx.doi.org/10.2139/ssrn.2289562

Leo De Bever

Alberta Investment Management Corporation ( email )

10830 Jasper Ave
Edmonton, Alberta T5J2B3
Canada
+1 7809068445 (Phone)

Jagdeep Bachher

University of California Office of Chief Investment Officer ( email )

1111 Broadway
21st Floor
Oakland, CA 94607
United States

Roman Chuyan

Alberta Investment Management Corporation ( email )

1100-10830 Jasper Avenue
Edmonton, Edmonton T5J 2B3
United States

Ashby Monk (Contact Author)

Stanford University ( email )

United States

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