This paper addresses issues in closed-loop performance monitoring. Particular attention is paid to detecting whether an observed deviation from nominal performance is due to a disturbance or due to a control relevant system change. This is achieved by introducing a novel performance measure that allows feasible application of a standard CUSUM change detector. The paper includes explicit results on the risk of mistaking a disturbance for a system change. The algorithm has been implemented in real time on a DSP and evaluated on a DC motor.