EDHEC-Risk - Portfolio Theory and Performance Analysis

EDHEC-Risk Concept Industry Analysis Featured Analysis Latest EDHEC-Risk Surveys Research News Research Papers Books Features Interviews Indexes and Benchmarking EDHEC-Risk Efficient Equity Indices FTSE EDHEC-Risk ERAFP SRI Index Equity Index Research EDHEC-Risk Alternative Indexes Hedge Fund Index Research EDHEC-Risk IEIF Commercial Property Indices Amundi ETF "Core-Satellite and ETF Investment" Research Chair Solvency II Benchmarks Style and Performance Analysis Hedge Fund Performance EuroPerformance/EDHEC-Risk Institute Style Ratings Performance Measurement for Traditional Investment Asset Allocation and Alternative Diversification Real Assets Newedge "Advanced Modelling for Alternative Investments" Research Chair CME Group "Exploring the Commodity Futures Risk Premium: Implications for Asset Allocation and Regulation" Strategic Research Project SGCIB "Structured Equity Investment Strategies for Long-Term Asian Investors" Strategic Research Project Asset Allocation and Derivative Instruments Structured Forms of Investment Strategies FBF "Structured Products and Derivatives" Research Chair Eurex "The Benefits of Volatility Derivatives in Equity Portfolio Management" Strategic Research Project ALM and Asset Management AXA Investment Managers "Regulation and Institutional Investment" Research Chair BNP Paribas Investment Partners "ALM and Institutional Investment Management" Research Chair Deutsche Bank "Asset-Liability Management Techniques for Sovereign Wealth Fund Management" Research Chair Ontario Teachers' Pension Plan "Advanced Investment Solutions for Liability Hedging for Inflation Risk" Research Chair Rothschild & Cie "The Case for Inflation-Linked Corporate Bonds: Issuers' and Investors' Perspectives" Research Chair Russell Investments "Solvency II Benchmarks" Research Chair Operational Risks and Performance Best Execution: MiFID and TCA Mitigating Hedge Funds Operational Risks CACEIS "Risk and Regulation in the European Fund Management Industry" Research Chair EDHEC-Risk Publications Reports, Studies, Surveys and Position Papers Academic Publications All EDHEC-Risk Publications Events Events organised by EDHEC-Risk Institute Analysing Sovereign Risk for Portfolio Management Decisions Seminar, London, 12-13 June, 2012 CFA Institute/EDHEC-Risk Institute Advances in Asset Allocation Seminar, New York, 12-14 June, 2012 Advanced Commodity Investment Seminar, London, 19-20 June, 2012, New York, 16-17 July, 2012 New Frontiers in Equity Investing Seminar, Boston, 26-27 June, 2012 Events involving EDHEC-Risk Institute's participation EDHEC-Risk Institute Presentation Research Programmes Research Chairs and Strategic Research Projects Partnership IPE EDHEC-Risk Institute Research Insights International Advisory Board Team EDHEC-Risk News EDHEC-Risk Newsletter EDHEC-Risk Press Releases EDHEC-Risk in the Press Careers EDHEC Business School EDHEC-Risk Executive Education EDHEC-Risk Institute PhD in Finance EDHEC-Risk Institute Executive MSc in Risk and Investment Management Investment Management Seminars Contact Us Contact Us

Performance


	Portfolio Theory and Performance Analysis Authors: Noël Amenc, Véronique Le Sourd Editions: John Wiley & Sons Pages: 256 pages Date: September 2003 Purchase this book

Summary

For many years, asset management was considered to be a marginal activity, but today, it is central to the development of the financial industry throughout the world. Asset management's transition from an "art and craft" to an industry has inevitably called integrated business models into question, favouring specialisation strategies based on cost optimisation and learning curve objectives. This book connects each of these major categories of techniques and practices to the unifying and seminal conceptual developments of modern portfolio theory.

About the Authors:

Noël Amenc started his career as Researcher at the Microeconomic Research Centre of Nice-Sophia Antipolis University. Assistant Professor in Finance at the CERAM business school, he was in charge of the Finance-Accountancy-Management Control department before creating in 1989, a specialised masters in Back-office, then, in 1992, a specialised masters in international capital management. Concurrently with his teaching activities, Noël Amenc has had numerous consultancy roles with eminent French and foreign financial organisations. From 1993 to 1999, he was founder and president of SIP SA, a company specialised in commercial and decisional information technology relating to asset management. He was then Director of Research for Misys Asset Management Systems, managing the group's "Asset Management" Research and Development activity, based in Sophia-Antipolis (France) and Birmingham (UK). Noël Amenc is associate editor of the Journal of Alternative Investment. He is currently Professor of Finance at EDHEC Business School and Director of EDHEC-Risk Institute.

Véronique Le Sourd has a Master’s Degree in Applied Mathematics from the Pierre and Marie Curie University in Paris. From 1992 to 1996, she worked as Research Assistant within the Finance and Economics Department of the French Business School, HEC and then as a Researcher for Misys Asset Management Systems. She is currently Senior Research Engineer at EDHEC-Risk Institute.

FTSE EDHEC-Risk Efficient Indexes: April 2012

United States	0.21%
United Kingdom	-0.91%
Eurobloc	-3.13%
Developed Europe	-1.42%
Dev. Europe ex. UK	-2.49%
Japan	-5.29%
Dev. Asia ex. Jap.	-0.17%
Asia-Pac. ex. Jap.	-0.07%
Asia-Pacific	-0.89%
Developed	-0.41%
Emerging	-0.95%
All World ex. US	-1.02%
All World ex. UK	-0.57%
All World	-0.47%

EDHEC-Risk Alternative Indexes: Apr 2012 (Estimates)

Conv. Arb.	-0.23%
CTA Global	-0.01%
Dist. Sec.	-0.11%
Emg. Mkts	-0.45%
Eq. Mkt Neut.	-0.08%
Event Driven	-0.14%
Fix. Inc. Arb.	0.50%
Global Macro	-0.49%
L/S Equity	-0.65%
Merger Arb.	-0.13%
Rel. Value	-0.23%
Short Selling	1.02%
FoF	-0.27%

EDHEC-Risk IEIF Commercial Property: April 2012

Price (FR)	0.64%
Total Return (FR)	1.90%