Predictability in hedge fund returns (corrected)

N Amenc, S El Bied, L Martellini - Financial Analysts Journal, 2003 - Taylor & Francis
A significant amount of research has been devoted to the predictability of traditional asset
classes, but little is known about the predictability of returns emanating from alternative …

The Performance of Characteristics‐based Indices1

N Amenc, F Goltz, V Le Sourd - European Financial …, 2009 - Wiley Online Library
This paper analyses a set of characteristics‐based indices that, it has been argued, outperform
market cap‐weighted indices. We analyse the performance of an exhaustive list of these …

[PDF][PDF] Choose your betas: Benchmarking alternative equity index strategies

N Amenc, F Goltz, A Lodh - The Journal of Portfolio Management, 2012 - hillsdaleinv.com
There has been increasing interest in so-called alternative equity index strategies or advanced
beta strategies, which try to generate outperformance over the standard market indices. …

Macroeconomic risks in equity factor investing

N Amenc, M Esakia, F Goltz… - The Journal of Portfolio …, 2019 - jpm.pm-research.com
There is a consensus that equity factors are cyclical and depend on macroeconomic
conditions. To build well-diversified portfolios of factors, one needs to account for the fact that …

[PDF][PDF] Efficient indexation: An alternative to cap-weighted indices

N Amenc, F Goltz, L Martellini, P Retkowsky - Journal of Investment …, 2011 - joim.com
This paper introduces a novel method for the construction of equity indices that, unlike their
cap-weighted counterparts, offer an efficient risk/return trade-off. The index construction …

Portfolio optimization and hedge fund style allocation decisions

N Amenc, L Martellini - Available at SSRN 305006, 2002 - papers.ssrn.com
This paper attempts to evaluate the out-of-sample performance of an improved estimator of
the covariance structure of hedge fund index returns, focusing on its use for optimal portfolio …

[BOOK][B] Portfolio theory and performance analysis

N Amenc, V Le Sourd - 2005 - books.google.com
For many years asset management was considered to be a marginal activity, but today, it is
central to the development of financial industry throughout the world. Asset management's …

Passive hedge fund replication–Beyond the linear case

N Amenc, L Martellini, JC Meyfredi… - European Financial …, 2010 - Wiley Online Library
In this paper we extend Hasanhodzic and Lo (2007) by assessing the out‐of‐sample
performance of various non‐linear and conditional hedge fund replication models. We find that …

[PDF][PDF] The alpha and omega of hedge fund performance measurement

N Amenc, S Curtis, L Martellini - Edhec Risk and …, 2003 - performance-measurement.org
That hedge funds start gaining wide acceptance while they still remain a somewhat mysterious
asset class enhances the need for a better measurement of their performance. This paper …

Inflation-hedging properties of real assets and implications for asset–liability management decisions

N Amenc, L Martellini… - The Journal of Portfolio …, 2009 - jpm.pm-research.com
Recent increases in inflation uncertainty have increased investor awareness of the need to
hedge against unexpected changes in price levels. Given that the capacity of the inflation-…