1.1. This paper has its origins in practical work carried out over the last 6 years on behalf of a number of pension funds whose trustees wished to obtain an independent assessment of their investment performance. Annual investigations have been made with two main objectives; first, to compare each fund's performance with that of the other funds under investigation and with investors in general; secondly, to analyse the factors which affected performance in the year and to explain differences between the results obtained by the participating funds. It was hoped that, in addition to providing a historical record, the investigations would reveal strengths and weaknesses in past practice, leading to suggestions for improving performance in the future. As the results for successive years became known it was possible to make statistical analyses over lengthening periods, to reach some tentative conclusions about longer-term performance and to attempt an assessment of the value of investment performance analysis in the practical world where trustees, investment managers and advisers have to operate.