Liability-driven Performance Attribution

Auke Plantinga and Robert van der Meer
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Robert van der Meer: Robert A. H. van der Meer is a part-time professor of Investments at the University of Groningen and is a member of the Executive Board of Aegon

The Geneva Papers on Risk and Insurance - Issues and Practice, 1995, vol. 20, issue 1, 16-29

Abstract: 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.

Date: 1995
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