Peut-on encore parler des mesures de performance ?

One is able again to speak of performance measures?

Mohamed Ali Trabelsi

MPRA Paper from University Library of Munich, Germany

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).

Keywords: Efficience; Gestion de portefeuille; Performance; Marché boursier (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G19 (search for similar items in EconPapers)
Date: 2008
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https://mpra.ub.uni-muenchen.de/25443/1/MPRA_paper_25443.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/76882/1/MPRA_paper_76882.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/77002/1/MPRA_paper_76882.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/77089/1/MPRA_paper_76882.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/77190/1/MPRA_paper_76882.pdf revised version (application/pdf)

Related works:
Working Paper: Peut-on encore parler des mesures de performance ? (2008)
Working Paper: Les nouveaux modèles de décision dans le risque et l’incertain: quel apport ? (2006)
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