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).
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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; Insider Trading
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G19 - Financial Economics - - General Financial Markets - - - Other
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Peterson, David & Rice, Michael L, 1980. " A Note on Ambiguity in Portfolio Performance Measures," Journal of Finance, American Finance Association, vol. 35(5), pages 1251-56, December.
- Claude Broquet & Robert Cobbaut & Roland Gillet & André Van Den Berg, 2004. "Gestion de portefeuille," ULB Institutional Repository 2013/14359, ULB -- Universite Libre de Bruxelles.
- Grinblatt, Mark & Titman, Sheridan, 1993. "Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns," The Journal of Business, University of Chicago Press, vol. 66(1), pages 47-68, January.
- McDonald, John G, 1973. "French Mutual Fund Performance: Evaluation of Internationally-Diversified Portfolios," Journal of Finance, American Finance Association, vol. 28(5), pages 1161-80, December.
- Grinblatt, Mark & Titman, Sheridan, 1992. " The Persistence of Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 47(5), pages 1977-84, December.
- Mark Grinblatt & Sheridan Titman, .
"Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings,"
Rodney L. White Center for Financial Research Working Papers
23-88, Wharton School Rodney L. White Center for Financial Research.
- Grinblatt, Mark & Titman, Sheridan D, 1989. "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," The Journal of Business, University of Chicago Press, vol. 62(3), pages 393-416, July.
- William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119.
- Grinblatt, Mark & Titman, Sheridan, 1994. "A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(03), pages 419-444, September.
- Ferson, Wayne E & Schadt, Rudi W, 1996. " Measuring Fund Strategy and Performance in Changing Economic Conditions," Journal of Finance, American Finance Association, vol. 51(2), pages 425-61, June.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.