GIPS Performance Measurement TSG

The Implementation of Daily Performance Measurement and Attribution

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Over a period of seven years, from 1993 to 2000, Deutsche Asset Management (DeAM) made several attempts to implement new performance systems before the program described in this paper was begun in March 2000.  Implementing performance systems in any large, complex investment management business is very much a non-trivial process, but most of the reasons for this are actually outside the performance team.

Author: Peter Ellis, Ph.D. Deutsche Asset Management

Over a period of seven years, from 1993 to 2000, Deutsche Asset Management (DeAM) made several attempts to implement new performance systems before the program described in this paper was begun in March 2000.  Implementing performance systems in any large, complex investment management business is very much a non-trivial process, but most of the reasons for this are actually outside the performance team.  As in any other investment management operation, the calculation of accurate performance statistics (returns and attribution effects) is a core competency at DeAM, and, therefore, the existence of an efficient and effective production platform is an essential business requirement.

The Implementation of Daily Performance Measurement and Attribution

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