Allocation d’actifs, variation des primes de risque et benchmarks

Olivier Davanne and Thierry Pujol

Revue d'Économie Financière, 2005, vol. 79, issue 2, 95-111

Abstract: [eng] Asset allocation, changes in risk premia and benchmarks . Asset allocation typically involves a two-step process with, first, a rigid strategic allocation, second, a time-varying tactical allocation whose performances are properly controlled through the use of benchmarks. This widely-accepted process, however, led most investors to be overly exposed to equity markets when they reached a peak in 1999-2000. It would be a mistake to consider that this overexposure was simply an unfortunate accident. In fact, it is an indication that this asset allocation process does not perform well when markets valuations are exposed to cyclical fluctuations. Since, these valuation cycles are unlikely to wane, a change in the asset-allocation process is in order. In particular, an improved process would render the strategic allocation more responsive to changes in assets’ relative valuations. Various solutions to the current crisis could be considered, differing in particular by the extent of the delegation granted to asset managers. . JEL classification : G11, G12, G14 [fre] Le processus dominant d’allocation d’actifs, fondé sur le triptyque allocation stratégique rigide, allocation tactique mobile et benchmarking des performances tactiques, a conduit la plupart des investisseurs à être surexposés aux actions, au pic du marché en 1999-2000. Cet accident n’est pas dû au hasard : ce processus dominant apparaît structurellement incapable de répondre aux besoins des investisseurs quand les marchés connaissent des cycles importants dans leurs valorisations relatives. Or, il est peu probable que ces cycles disparaissent. Une amélioration des processus d’allocation d’actifs apparaît ainsi nécessaire et elle suppose de savoir modifier l’allocation stratégique quand l’évolution des valorisations relatives le justifie. Différents « scénarios de sortie de crise » sont cependant possibles, selon notamment l’évolution des modes de délégation de gestion. . Classification JEL : G11, G12, G14

Date: 2005
Note: DOI:10.3406/ecofi.2005.3973
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