An Integrated Framework for Style Analysis and Performance Measurement

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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.

Authors: Noel Amenc, Ph.D., Daphne Sfeir, Ph.D., Lionel Martellini, Ph.D.

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.

An Integrated Framework for Style Analysis and Performance Measurement

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The Journal of Performance Measurement

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