IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/25443.html
   My bibliography  Save this paper

Peut-on encore parler des mesures de performance ?
[One is able again to speak of performance measures?]

Author

Listed:
  • Trabelsi, Mohamed Ali

Abstract

The 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 [1965], Sharpe [1966] and Jensen [1968]. 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 [1972], Moses, Cheney and Veit [1987] and finally the measure of Modigliani-Modigliani [1997]. However, these measures present the handicap to be based on the capital asset pricing model (CAPM).

Suggested Citation

  • Trabelsi, Mohamed Ali, 2008. "Peut-on encore parler des mesures de performance ?
    [One is able again to speak of performance measures?]
    ," MPRA Paper 25443, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:25443
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/25443/1/MPRA_paper_25443.pdf
    File Function: original version
    Download Restriction: no

    File URL: https://mpra.ub.uni-muenchen.de/76882/1/MPRA_paper_76882.pdf
    File Function: revised version
    Download Restriction: no

    File URL: https://mpra.ub.uni-muenchen.de/77002/1/MPRA_paper_76882.pdf
    File Function: revised version
    Download Restriction: no

    File URL: https://mpra.ub.uni-muenchen.de/77089/1/MPRA_paper_76882.pdf
    File Function: revised version
    Download Restriction: no

    File URL: https://mpra.ub.uni-muenchen.de/77190/1/MPRA_paper_76882.pdf
    File Function: revised version
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. 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.
    2. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
    3. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, May.
    4. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
    5. Demers, Fanny & Demers, Michel, 1990. "Price uncertainty, the competitive firm and the dual theory of choice under risk," European Economic Review, Elsevier, vol. 34(6), pages 1181-1199, September.
    6. Wakker, Peter, 1993. "Counterexamples to Segal's Measure Representation Theorem," Journal of Risk and Uncertainty, Springer, vol. 6(1), pages 91-98, January.
    7. Chateauneuf, Alain & Cohen, Michele, 1994. "Risk Seeking with Diminishing Marginal Utility in a Non-expected Utility Model," Journal of Risk and Uncertainty, Springer, vol. 9(1), pages 77-91, July.
    8. 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.
    9. Jean-Marc Tallon, 1997. "Risque microéconomique, aversion à l'incertitude et indétermination de l'équilibre," Annals of Economics and Statistics, GENES, issue 48, pages 211-226.
    10. William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119-119.
    11. Doherty, Neil A & Eeckhoudt, Louis, 1995. "Optimal Insurance without Expected Utility: The Dual Theory and the Linearity of Insurance Contracts," Journal of Risk and Uncertainty, Springer, vol. 10(2), pages 157-179, March.
    12. Tversky, Amos & Kahneman, Daniel, 1992. "Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
    13. Cohen, Michele & Jaffray, Jean-Yves & Said, Tanios, 1987. "Experimental comparison of individual behavior under risk and under uncertainty for gains and for losses," Organizational Behavior and Human Decision Processes, Elsevier, vol. 39(1), pages 1-22, February.
    14. Loomes, Graham & Sugden, Robert, 1982. "Regret Theory: An Alternative Theory of Rational Choice under Uncertainty," Economic Journal, Royal Economic Society, vol. 92(368), pages 805-824, December.
    15. Roll, Richard, 1977. "A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory," Journal of Financial Economics, Elsevier, vol. 4(2), pages 129-176, March.
    16. Grinblatt, Mark & Titman, Sheridan, 1992. " The Persistence of Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 47(5), pages 1977-1984, December.
    17. Handa, Jagdish, 1977. "Risk, Probabilities, and a New Theory of Cardinal Utility," Journal of Political Economy, University of Chicago Press, vol. 85(1), pages 97-122, February.
    18. Jean-Pascal Gayant, 1995. "Généralisation de l'espérance d'utilité en univers risqué : représentation et estimation," Revue Économique, Programme National Persée, vol. 46(4), pages 1047-1061.
    19. Sandmo, Agnar, 1971. "On the Theory of the Competitive Firm under Price Uncertainty," American Economic Review, American Economic Association, vol. 61(1), pages 65-73, March.
    20. Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
    21. Schoemaker, Paul J. H., 1991. "Choices involving uncertain probabilities : Tests of generalized utility models," Journal of Economic Behavior & Organization, Elsevier, vol. 16(3), pages 295-317, December.
    22. 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.
    23. Hadar, Josef & Russell, William R, 1969. "Rules for Ordering Uncertain Prospects," American Economic Review, American Economic Association, vol. 59(1), pages 25-34, March.
    24. Tallon, J-M, 1996. "Risque microeconomique et prix d'actifs dans un modele d'equilibre general avec esperance d'utilite dependante du rang," Papiers d'Economie Mathématique et Applications 96.94, Université Panthéon-Sorbonne (Paris 1).
    25. Leland, Hayne E, 1972. "Theory of the Firm Facing Uncertain Demand," American Economic Review, American Economic Association, vol. 62(3), pages 278-291, June.
    26. Fama, Eugene F & French, Kenneth R, 1995. " Size and Book-to-Market Factors in Earnings and Returns," Journal of Finance, American Finance Association, vol. 50(1), pages 131-155, March.
    27. Chateauneuf, A. & Cohen, M. & Meilijson, I., 1997. "New Tools to Better Model Behavior Under Risk and UNcertainty: An Oevrview," Papiers d'Economie Mathématique et Applications 97.55, Université Panthéon-Sorbonne (Paris 1).
    28. 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 425-461, June.
    29. Chris Starmer, 1992. "Testing New Theories of Choice under Uncertainty using the Common Consequence Effect," Review of Economic Studies, Oxford University Press, vol. 59(4), pages 813-830.
    30. Camerer, Colin F & Ho, Teck-Hua, 1994. "Violations of the Betweenness Axiom and Nonlinearity in Probability," Journal of Risk and Uncertainty, Springer, vol. 8(2), pages 167-196, March.
    31. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    32. Machina, Mark J, 1982. ""Expected Utility" Analysis without the Independence Axiom," Econometrica, Econometric Society, vol. 50(2), pages 277-323, March.
    33. Peterson, David & Rice, Michael L, 1980. " A Note on Ambiguity in Portfolio Performance Measures," Journal of Finance, American Finance Association, vol. 35(5), pages 1251-1256, December.
    34. Eeckhoudt, Louis & Gollier, Christian & Schlesinger, Harris, 1996. "Changes in Background Risk and Risk-Taking Behavior," Econometrica, Econometric Society, vol. 64(3), pages 683-689, May.
    35. Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, vol. 47(2), pages 263-291, March.
    36. Trabelsi, Mohamed Ali, 2010. "Choix de portefeuille: comparaison des différentes stratégies
      [Portfolio selection: comparison of different strategies]
      ," MPRA Paper 82946, University Library of Munich, Germany, revised 01 Dec 2010.
    37. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    38. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-587, May.
    39. McDonald, John G, 1973. "French Mutual Fund Performance: Evaluation of Internationally-Diversified Portfolios," Journal of Finance, American Finance Association, vol. 28(5), pages 1161-1180, December.
    40. Claude Broquet & Robert Cobbaut & Roland Gillet & André Van Den Berg, 2004. "Gestion de portefeuille," ULB Institutional Repository 2013/14359, ULB -- Universite Libre de Bruxelles.
    41. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    42. Milton Friedman & L. J. Savage, 1948. "The Utility Analysis of Choices Involving Risk," Journal of Political Economy, University of Chicago Press, vol. 56, pages 279-279.
    43. Tversky, Amos & Wakker, Peter, 1995. "Risk Attitudes and Decision Weights," Econometrica, Econometric Society, vol. 63(6), pages 1255-1280, November.
    44. Friend, Irwin & Blume, Marshall E, 1975. "The Demand for Risky Assets," American Economic Review, American Economic Association, vol. 65(5), pages 900-922, December.
    45. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
    46. Camerer, Colin F, 1989. "An Experimental Test of Several Generalized Utility Theories," Journal of Risk and Uncertainty, Springer, vol. 2(1), pages 61-104, April.
    47. Battalio, Raymond C & Kagel, John H & Jiranyakul, Komain, 1990. "Testing between Alternative Models of Choice under Uncertainty: Some Initial Results," Journal of Risk and Uncertainty, Springer, vol. 3(1), pages 25-50, March.
    48. Jean-Marc Tallon, 2014. "Décision dans le risque et l'incertain," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01026078, HAL.
    49. Wakker, Peter & Tversky, Amos, 1993. "An Axiomatization of Cumulative Prospect Theory," Journal of Risk and Uncertainty, Springer, vol. 7(2), pages 147-175, October.
    50. Karni, Edi & Schmeidler, David, 1991. "Utility theory with uncertainty," Handbook of Mathematical Economics,in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 33, pages 1763-1831 Elsevier.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Efficience; Gestion de portefeuille; Performance; Marché boursier;

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:25443. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.