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Les styles de gestion de portefeuille existent-ils ?

Author

Listed:
  • Catherine Aaron
  • Isabelle Bilon
  • Sébastien Galanti
  • Yamina Tadjeddine

Abstract

[fre] L’exemple de la multigestion montre l’importance de savoir s’il existe réellement des styles de gestion pouvant différencier les pratiques des gérants. Cet article propose une classification et une analyse des styles de gestion fondées sur un questionnaire adressé aux gérants d’OPCVM. Les auteurs caractérisent six styles (indiciel, stock picking, quantitative, growth, value et sectoriel) en fonction (1) de l’existence d’un indice de référence (benchmark), (2) du rôle de ce benchmark dans la gestion et (3) de la logique de sélection des titres. Les résultats montrent que les fonds ayant un même style ont des caractéristiques (en termes de profil du fonds et du gérant, de sources d’information retenues ou d’impact potentiel sur le marché) homogènes, et distinctes des fonds ayant des styles différents. Les auteurs vérifient également que les styles peuvent expliquer les performances des fonds. . Classification JEL : C42, G11, G23 [eng] Do fund management styles exist ? . A « multi-manager » fund management style needs evidence of distinct management styles. This article uses a questionnaire sent to French equities mutual fund managers. The authors propose to characterize styles according to (1) the use of a benchmark (2) the commitment regarding the benchmark (3) the way stocks are selected. The result gives that six styles present homogeneous characteristics, not only concerning fund returns, but also in terms of organisation, information signals, and market impact. . JEL classification : C42, G11, G23

Suggested Citation

  • Catherine Aaron & Isabelle Bilon & Sébastien Galanti & Yamina Tadjeddine, 2005. "Les styles de gestion de portefeuille existent-ils ?," Revue d'Économie Financière, Programme National Persée, vol. 81(4), pages 171-188.
    • Handle: RePEc:prs:recofi:ecofi_0987-3368_2005_num_81_4_4018
    DOI: 10.3406/ecofi.2005.4018
    Note: DOI:10.3406/ecofi.2005.4018
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    References listed on IDEAS

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    1. Louis K. C. Chan & Hsiu-Lang Chen & Josef Lakonishok, 2002. "On Mutual Fund Investment Styles," The Review of Financial Studies, Society for Financial Studies, vol. 15(5), pages 1407-1437.
    2. Jean-François Boulier & Carlos Pardo, 2005. "Mini guide de la gestion pour compte de tiers ou ce que vous avez toujours voulu savoir sur la gestion d'actifs," Revue d'Économie Financière, Programme National Persée, vol. 79(2), pages 35-60.
    3. Didier Négiar & Andrès Hoyos Gomez, 2005. "Gestion d'actifs : les économies d'échelle existent, mais faut-il les rechercher à tout prix ?," Revue d'Économie Financière, Programme National Persée, vol. 79(2), pages 183-196.
    4. Jean-Pierre Berdot & Daniel Goyeau & Jacques Léonard, 2005. "Les fondements de la rotation sectorielle des portefeuilles," Revue d'Économie Financière, Programme National Persée, vol. 78(1), pages 345-362.
    5. Daniel Roy, 2005. "Les enjeux de la multigestion," Revue d'Économie Financière, Programme National Persée, vol. 79(2), pages 153-164.
    6. Kim, Moon & Shukla, Ravi & Tomas, Michael, 2000. "Mutual fund objective misclassification," Journal of Economics and Business, Elsevier, vol. 52(4), pages 309-323.
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    Cited by:

    1. Claude DUPUY & Matthieu MONTALBAN & Sylvain MOURA, 2009. "Finance and Industrial Dynamics (In French)," Cahiers du GREThA (2007-2019) 2009-24, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
    2. Giamporcaro, Stephanie, 2011. "A Market for Environmentally Responsible Investment? Identifying Obstacles and Enablers of Commodification of Environmental Risks in the South African Investment Industry," RFF Working Paper Series dp-11-01-efd, Resources for the Future.

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    More about this item

    JEL classification:

    • C42 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Survey Methods
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • C42 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Survey Methods
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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