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Aux origines de la mesure de performance des fonds d’investissement. Les travaux d’Alfred Cowles

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  • Christian Walter

    (LAP - Laboratoire d’anthropologie politique – Approches interdisciplinaires et critiques des mondes contemporains, UMR 8177 - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique)

Abstract

. The Origins of Performance Measurement in the Investment Management Industry. The Works of Alfred Cowles. Related to the importance of the economic and financial stakes of performance measurement issues for the investment management industry, and considering the conceptual problems associated with the academic research side, performance measurement appears today as a key factor in both industry and research. This topic, inspiring statistical studies of return's behavior in the 1930s, also shifted the view of prices process, leading the academics and practitionners to consider stock market movements as the result of random changes, i.e. unpredictable. Alfred Cowles' pioneering works paved the way for further academic researches and launched the challenging and conflicting idea that the market practitioners are unable to outperform the indexes, an idea which progressively clashed with most practioners, before becoming a new paradigm in the industry.

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  • Christian Walter, 1999. "Aux origines de la mesure de performance des fonds d’investissement. Les travaux d’Alfred Cowles," Post-Print hal-04560304, HAL.
    • Handle: RePEc:hal:journl:hal-04560304
    DOI: 10.3406/hism.1999.1506
    Note: View the original document on HAL open archive server: https://hal.science/hal-04560304
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    References listed on IDEAS

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    1. J. Tobin, 1958. "Liquidity Preference as Behavior Towards Risk," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 25(2), pages 65-86.
    2. Daniel, Kent, et al, 1997. "Measuring Mutual Fund Performance with Characteristic-Based Benchmarks," Journal of Finance, American Finance Association, vol. 52(3), pages 1035-1058, July.
    3. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    4. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
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    Cited by:

    1. Boudewijn de Bruin & Christian Walter, 2017. "Research Habits in Financial Modelling: The Case of Non-normality of Market Returns in the 1970s and the 1980s," Post-Print hal-04561125, HAL.

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