Research and publications
An Integrated Framework for Style Analysis and Performance Measurement
In this paper, we propose an integrated framework for assessing the risk-adjusted performance of mutual fund managers. 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. A revisited version of this paper was published in the Summer 2003 issue of the Journal of Performance Measurement.
Author(s):
Noël Amenc, Daphne Sfeir, Lionel Martellini
Summary:
In this paper, we propose an integrated framework for assessing the risk-adjusted performance of mutual fund managers. 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. A revisited version of this paper was published in the Summer 2003 issue of the Journal of Performance Measurement.
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Register/Log in| Type : | Working paper |
|---|---|
| Date : | 28/02/2002 |
| Keywords : |
Performance |
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