Rethinking Investment Performance Attribution

7 Pages Posted: 17 Sep 2014

See all articles by Jagdeep Bachher

Jagdeep Bachher

University of California Office of Chief Investment Officer

Leo de Bever

Alberta Investment Management Corporation

Roman Chuyan

Alberta Investment Management Corporation

Ashby H. B. Monk

Stanford University - Global Projects Center

Date Written: September 17, 2014

Abstract

Proprietary information and data-processing systems have become key competitive differentiators for investors; better systems provide better data, which in turn drive better investment decisions and performance. But while the best systems are multifaceted and touch all aspects of the investment organization, one component of such systems is increasingly important: the measurement and attribution of investment performance. Performance attribution should do more than just explain the past; it should also be a tool to make better future investment decisions. This article describes the Alberta Investment Management Corporation’s journey to develop a performance attribution system as an investment management tool, in the hope of contributing to the institutional investor debate on how to best address this important topic.

Keywords: Decision Trees, Pension Fund, Performance Attribution, Performance Benchmarks, Performance Measurement

Suggested Citation

Bachher, Jagdeep and de Bever, Leo and Chuyan, Roman and Monk, Ashby H. B., Rethinking Investment Performance Attribution (September 17, 2014). Rotman International Journal of Pension Management, Vol. 7, No. 2, 2014. Available at SSRN: https://ssrn.com/abstract=2497513 or http://dx.doi.org/10.2139/ssrn.2497513

Jagdeep Bachher (Contact Author)

University of California Office of Chief Investment Officer ( email )

1111 Broadway
21st Floor
Oakland, CA 94607
United States

Leo De Bever

Alberta Investment Management Corporation ( email )

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

Roman Chuyan

Alberta Investment Management Corporation ( email )

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

Ashby H. B. Monk

Stanford University - Global Projects Center ( email )

United States

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