Measuring the Performance of Pension Funds using
Liability-Driven Performance Attribution
ABSTRACT
This practitioner note discusses a simple method for measuring the
investment performance of pension funds, taking into account the
liability side of the balance sheet. We show that there are four
components to liability-driven performance attribution: the return on
general assets, the return due to stock selection, the return due to
market timing and the return due to a funding mismatch.
ISSN 1367-580x.