An Integrated Framework for Style Analysis and Performance Measurement

Noël Amenc, Lionel Martellini, Daphné Sfeir: In this paper, we propose an integrated framework for assessing the risk-adjusted performance of mutual fund managers.

Author(s) :

Noel Amenc

Professor of Finance, EDHEC Graduate School of Business

Lionel Martellini

Assistant Professor of Finance, Marshall School of BusinessAssociate Researcher, EDHEC Graduate School of Business

Daphne Sfeir

Research Engineer, EDHEC Risk and Asset Management Research Centre

Presentation :

The methodology is designed so as to be consistent not only with modern portfolio theory but also with constraints imposed by practical implementation in a context where the presence of a variety of investment styles needs to be accounted for.
An Integrated Framework for Style Analysis and Performance Measurement...
(-1.00 B)
Type : Working paper
Date : le 01/01/2002
Extra information : For more information, please contact EDHEC Research and Development Department [ ]
Research Cluster : Finance

See Also

- 08-09-2017
Ranked 4th in France, EDHEC reinforces its position in the world’s Top 20 (16th place) in the 2017 Financial Times Master in Management Ranking, among prestigious international institutions...
- 30-08-2017
EDHEC welcomes students and participants who are back to school in the upcoming weeks. A positive and international atmosphere (more than 100 nationalities expected) shines through our...
Innovation with limited resources (Video)
- 18-08-2017
The article "Innovation with Limited Resources: Management Lessons from the German...
Station F successfully inaugurated in the presence of Emmanuel Macron and EDHEC
- 29-06-2017
EDHEC announced this May that it had joined Station F, the world’s biggest start-up...