Peut-on encore parler des mesures de performance ?
[One is able again to speak of performance measures?]
AbstractThe performance measurement of portfolio managers is a topic of major importance in finance. The utility of performance measures rests, indeed, on the hypothesis that funds whose performance is judged " good " (or " bad ") in the past, will continue to display of good (bad) performances in the future. Says otherwise, the persistence of performances would allow rational investors to choose to invest in the best " funds. It remains, nevertheless, to define a measure of performance that makes sense and numerous measures have been proposed in an abundant literature. We begin, so, this paper by bringing back expressions and interpretations of the traditional measures of performance to know those of Treynor , Sharpe  and Jensen . We will show that these are in mound to numerous critiques. They have, besides, the disadvantage to valorize the specific risk of a portfolio like its systematic risk. This remark led to several corrections of the classic measures of performance and made be born of news measures that take account of this failing to know those of Fama , Moses, Cheney and Veit  and finally the measure of Modigliani-Modigliani . However, these measures present the handicap to be based on the capital asset pricing model (CAPM).
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 25443.
Date of creation: 2008
Date of revision:
Efficience; Gestion de portefeuille; Performance; Marché boursier;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G19 - Financial Economics - - General Financial Markets - - - Other
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Rodney L. White Center for Financial Research Working Papers
23-88, Wharton School Rodney L. White Center for Financial Research.
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