Research and publications
Methodology Applied for the Agefi Asset Management Awards
Fund performance measurement is an important issue both for professionals, for whom it is the justification of their remuneration, and for researchers, for whom the right evaluation of returns and risks constitutes the very core of modern portfolio theory. This twofold academic and professional issue underlies extensive research and numerous methods for evaluating the performance of funds. Indeed, the diversity of the resulting models and methods has consequences on fund performance rankings and the evaluation of fund performance. Identifying the best managers actually presupposes taking two areas into account - the risk and the management style. The modelling of those two areas is subject to substantial debate and theoretical and statistical options.
Author(s):
Noël Amenc, Lionel Martellini, Daphné Sfeir
Summary:
Fund performance measurement is an important issue both for professionals, for whom it is the justification of their remuneration, and for researchers, for whom the right evaluation of returns and risks constitutes the very core of modern portfolio theory. This twofold academic and professional issue underlies extensive research and numerous methods for evaluating the performance of funds. Indeed, the diversity of the resulting models and methods has consequences on fund performance rankings and the evaluation of fund performance. Identifying the best managers actually presupposes taking two areas into account - the risk and the management style. The modelling of those two areas is subject to substantial debate and theoretical and statistical options.
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Register/Log in| Type : | Working paper |
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| Date : | 10/10/2002 |
| Keywords : |
Performance |
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