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La persistance de la performance des fonds de pension individuels britanniques : une étude empirique sur des fonds investis en actions et des fonds obligataires

  • Fabrice Herve

    (Laboratoire Orléanais de Gestion)

Dans ce présent cahier de recherche, nous nous proposons d’étudier la stabilité des performances de certains fonds de retraite anglais à cotisations définies : les fonds de pension individuels (Personal Pension Scheme). Il s’agit de fonds – pratiquant une gestion active - investissant principalement dans les actions britanniques et de fonds détenant majoritairement des obligations anglaises durant la période novembre 1990 – novembre 2000. Les données sur les fonds de pension individuels proviennent de la base de données UK PENSION de Standard & Poor’s Fund Services et sont de fréquence mensuelle. Nous utilisons des tests paramétriques de l’existence de la persistance, plusieurs mesures de performance (rentabilité, ratio de Sharpe, ratio de Sortino, mesures de Jensen non conditionnelles et conditionnelles) et différents indices de référence afin d’éprouver la robustesse de l’analyse. Nos résultats montrent que les fonds investis en actions sont caractérisés par une réversion de leurs performances alors que les fonds obligataires connaissent une certaine pérennité dans leurs performances. Cependant, les deux types de fonds voient les performances des fonds les meilleurs persister. Les performances passées des fonds les meilleurs fournissent donc une information sur leurs performances futures. Ainsi, un individu désireux d’épargner pour sa retraite aurait eu tout intérêt à choisir son Personal Pension Scheme en considérant sa performance passée.

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Paper provided by Laboratoire Orléanais de Gestion - université d'Orléans in its series Working Papers with number 2002-3.

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Date of creation: 2002
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Handle: RePEc:log:wpaper:2002-3
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