Less Can Be More!

Hayette Gatfoui and Christian Walter ()
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Hayette Gatfoui: IÉSEG School Of Management [Puteaux]

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Abstract: We focus here on the specific management style of a French insurance company SMA BTP. The employed management style allows the management team to improve its diversified portfolio's return. Indeed, the stock sub-portfolio of this insurance company outperforms some known benchmarks such as Euro Stoxx index, CAC 40 French stock index or Euro Stoxx 50 index. We show that SMA BTP's specific management style is optimal in the lens of two basic important criteria, namely the portfolio's excess return and its performance persistence. Such a persistence profile is driven by the trade-off between portfolio diversification and performance concentration.

Keywords: asset allocation; asset selection; concentration; excess return; market timing; performance; stock-picking (search for similar items in EconPapers)
Date: 2009-12
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Published in Journal of Money, Investment and Banking, 2009, 9, pp.59-77

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