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Abstract

Responses to a survey of investment management practitioners in Europe show that most practitioners are aware of key academic concepts in portfolio construction. But they still resort to ad hoc heuristics when they construct portfolios. Consideration of risk–return matters is less common in performance evaluation than in portfolio construction. An economically significant firm-size effect plays a role in the use of sophisticated (versus unsophisticated) portfolio construction but not in performance measurement.

About the Author(s)

Noël Amenc
Felix Goltz

Felix Goltz is head of applied research at EDHEC-Risk Institute, where he supervises a team of researchers who conduct industry surveys and applied research projects on exchange-traded funds, portfolio construction, performance measurement, and reporting. He also co-heads EDHEC-Risk Institute's program on indices and benchmarking. His research focuses on asset allocation with alternative assets and on indexing and passive investment across traditional and alternative investments. His work on hedge fund indices, equity indices, exchange-traded funds, and asset allocation has appeared in leading academic and practitioner journals. Dr. Goltz has contributed to various reference texts on exchange-traded funds, investment management, and hedge funds and teaches postgraduate and executive education courses.

Abraham Lioui