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Indexes "Performance & Risk Measurement in Alternative Investment" Seminar 18 June, 2002 - Paris, France Organised by the Edhec Risk and Asset Management Research Centre with the support of Misys Asset Management Systems
Based on the research work carried out within the context of Edhec's "Risk and Asset Management" research programme, the seminar is based on a genuine state-of-the-art analysis of the international professional and academic scene.

It presents a summary of the methods and practices used in performance and risk measurement in the alternative universe and defines their limits.

A new method for constructing composite indexes for the alternative universe is presented for the first time in France.

  • Measuring absolute performance in the alternative universe

    • The use of risk-adjusted return indicators
    • Methods used for evaluating alphas and selecting managers in the alternative universe
    • Problems posed by the dynamic character and non-linearity of alternative returns

    Noël Amenc, Professor at Edhec
    Director of Research - Misys Asset Management Systems

  • Measuring relative performance in the alternative universe

    • Problems posed by indexes
    • The heterogeneity of the different alternative indexes
    • How to solve the problems posed when constructing or selecting indexes:
      • Extraction of a pure style index (statistical approach)
      • Extraction of an index of indexes (portfolio approach)
      • Minimisation of bias
      • Maximisation of representativity

    Lionel Martellini, Professor of Finance at the Los Angeles USC
    Associate Researcher at Edhec

  • Analysis of styles and risks in the alternative universe

    • Measuring the risk of alternative investments
    • How to transpose style analysis to the alternative universe
    • The implementation of a style VaR within the context of alternative multi-management
    • Style-based risk allocation

    François-Serge Lhabitant, Director of Quantitative Research, AAMG Union Bancaire Privée, Geneva
    Professor of Finance at H.E.C. University of Lausanne
    Associate Researcher at Edhec
Event Details
  When   Between 18/06/2004 05:30 PM and 18/06/2004 07:30 PM
Where   Pavillon Ledoyen, Paris, France
Contact Details
Phone   +33 (0)4 92 96 89 50