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Performance and Risk Reporting
Performance and Risk Reporting
This programme aims to adapt the portfolio performance and style analysis models and methods to tactical allocation and to new forms of investments. Research looks at performance evaluation in traditional classes–investigating socially responsible investing or analysing rating methods for long-only funds–and at performance evaluation in the hedge fund universe (implementing dynamic factor models).

The programme has led to a business partnership with SIX Telekurs and to the offering of the EuroPerformance-EDHEC style ratings, a service measuring the quality of active management in the European fund management industry.

This programme also benefits from the contribution of new research launched in 2013 in the area of risk reporting as part of the new research chair, “New Frontiers in Risk Assessment and Performance Reporting”, supported by CACEIS.
The purpose of this specialized section is to highlight some specific characteristics of hedge funds and their implications in terms of performance measurement. It also presents the EDHEC-Risk Institute/EuroPerformance Alpha League Table, the first European ranking of asset management firms based on an accurate measure of risk-adjusted performance.
A study presenting the state of the art of performance measurement in the area of traditional investment, from a simple evaluation of portfolio return to the more sophisticated techniques including risk in its various acceptations. It also describes models that take a step away from modern portfolio theory and allow a consideration of cases beyond mean-variance theory.
Information about the CACEIS "New Frontiers in Risk Assessment and Performance Reporting" Research Chair.