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Les fonds de pension protègent-ils les investisseurs des évolutions du marché?

  • Fabrice Hervé

    ()

    (Université de Bourgogne)

(VF)Cet article étudie la performance des fonds de pension individuels britanniques (Individual Personal Pension Scheme). Moskowitz (2000) suggère que les fonds pourraient protéger les investisseurs contre les états défavorables de la nature. C’est pourquoi, nous proposons de mesurer la performance des fonds activement gérés sur les phases du cycle de marché durant la période octobre 1990 – novembre 2004. L’identification des phases (haussières et baissières) du marché des actions anglais s’appuie sur la méthode de Pagan et Sossounov (2003). Nos résultats sont moins prégnants que dans la littérature antérieure sur la performance des fonds mutuels pendant les phases du cycle de marché / cycle économique : les fonds de pension produisent des performances moindres en période de marché haussier et certains fonds protègent les investisseurs en marché baissier.(VA)This article studies the performance of UK individual personal pension scheme. Moskowitz (2000) suggests that mutual funds could protect investors against undesirable states of nature. Therefore, we measure the performance of actively managed pension funds during phases of the stock market cycle over the period October 1990 - November 2004. The identification of the phases (bear and bull) of the stock market relies on Pagan and Sossounov method (2003). Our results are less striking than in previous literature on the performance of mutual funds during phases of the market/business cycle: funds produce inferior performance during bull market and some funds protect investors during bear market.

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Paper provided by Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations in its series Working Papers CREGO with number 1060101.

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Length: 35 pages
Date of creation: Jan 2006
Date of revision:
Handle: RePEc:dij:wpfarg:1060101
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  8. Blake, David & Lehmann, Bruce N & Timmermann, Allan, 1999. "Asset Allocation Dynamics and Pension Fund Performance," The Journal of Business, University of Chicago Press, vol. 72(4), pages 429-61, October.
  9. 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.
  10. Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1996. "The Persistence of Risk-Adjusted Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 69(2), pages 133-57, April.
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  12. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
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  16. Hamilton, James D., 2003. "Comment on "A comparison of two business cycle dating methods"," Journal of Economic Dynamics and Control, Elsevier, vol. 27(9), pages 1691-1693, July.
  17. Jacobsen, Ben & Dannenburg, Dennis, 2003. "Volatility clustering in monthly stock returns," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 479-503, September.
  18. Fabozzi, Frank J & Francis, Jack C, 1979. "Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination," Journal of Finance, American Finance Association, vol. 34(5), pages 1243-50, December.
  19. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
  20. Adrian R. Pagan & Kirill A. Sossounov, 2003. "A simple framework for analysing bull and bear markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 23-46.
  21. Henriksson, Roy D, 1984. "Market Timing and Mutual Fund Performance: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 57(1), pages 73-96, January.
  22. Fabozzi, Frank J & Francis, Jack Clark, 1977. "Stability Tests for Alphas and Betas over Bull and Bear Market Conditions," Journal of Finance, American Finance Association, vol. 32(4), pages 1093-99, September.
  23. Maheu, John M & McCurdy, Thomas H, 2000. "Identifying Bull and Bear Markets in Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 100-112, January.
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