La mesure de performance de la gestion indicielle française

Amir Rezaee ()
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Amir Rezaee: LEO - Laboratoire d'économie d'Orleans [2008-2011] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique

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Abstract: This article analyses the performance of french index funds by using tracking error as an appropriate measure of indexation. Despite the considerable growth of index funds in French and U.S. since 90's, research on their performance is negligile. Based on a dataset of 23 index funds, this article documents a monthly returns tracking error between French index funds and CAC40 index from 0.1 to 2.5 basis points. This highlights the excellent performance of French index funds compared to that achieved by Australian or American funds. This article also analyses the impact of strategy adopted by management in order to duplicate Benchmark return, on magnitude of tracking error.

Keywords: Index funds; Indexation; Fund performance; Tracking error; Fonds indiciel; gestion indicielle; mesure de performance; erreur de suivi (search for similar items in EconPapers)
Date: 2006-01-27
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00008393
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