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

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.

Type: Working paper
Date: le 01/01/2002
Research Cluster : Finance

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