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

See Also

#MyMBAStory – Levelling Up with Nintendo – Patricia Segil Palacios, EDHEC Global MBA alumna
News
- 16-06-2021
Patricia’s plan was to move to Europe, get her MBA degree and return home. An executive...
The International Students Office: A team you can trust
News
- 15-06-2021
“To help the students, you have to try to put yourself in their shoes and guide them...
Exprimez votre raison d'être pour renverser la logique de l'engagement
Publication
- 14-06-2021
Après la parution du livre blanc sur la nouvelle donne de l’engagement des nouvelles...
#MyMBAStory – Building Her Way to Amazon – Adriana Molnar-Barton, EDHEC Global MBA alumna
News
- 10-06-2021
Adriana is used to working in a man’s world. Working within the construction industry,...