Performance Concentration

La concentration de la performance

Christian Walter ()

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Abstract: The essence of performance analysis is to measure the value added by the service provided by the portfolio management. For investigating whether a fund manager helps to add value, in the context of the debate between pro and con indexation, we propose a new concept named ``performance concentration'', and a new type of performance measure which is related to this concept, the characteristic of which is twofold : it can be identified from market data; it is independant of any asset pricing model. By using the term ``performance concentration'', we means that the performance of a given portfolio is highly concentrated on very few stocks or very few days. The purpose of this paper is to exhibit and emphasize this new stylized fact and to introduce this new performance measure. A real managed portolio data set is also used to demonstrate how the measurement method developed here can be applied.

Date: 2005-09-07
Note: View the original document on HAL open archive server: https://hal.science/hal-04567931v1
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Published in AFIR-ERM (Financial Risks and ERM) 2005 Colloquium, International Actuarial Association, Sep 2005, Zurich (CH), Switzerland

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