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Performance Concentration
[La concentration de la performance]

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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 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.

Suggested Citation

  • Christian Walter, 2005. "Performance Concentration [La concentration de la performance]," Post-Print hal-04567931, HAL.
    • Handle: RePEc:hal:journl:hal-04567931
    Note: View the original document on HAL open archive server: https://hal.science/hal-04567931
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    References listed on IDEAS

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    1. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, May.
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    3. Chen, Nai-Fu & Copeland, Thomas E. & Mayers, David, 1987. "A Comparison of Single and Multifactor Portfolio Performance Methodologies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(4), pages 401-417, December.
    4. Roll, Richard, 1978. "Ambiguity when Performance is Measured by the Securities Market Line," Journal of Finance, American Finance Association, vol. 33(4), pages 1051-1069, September.
    5. Connor, Gregory & Korajczyk, Robert A., 1986. "Performance measurement with the arbitrage pricing theory : A new framework for analysis," Journal of Financial Economics, Elsevier, vol. 15(3), pages 373-394, March.
    6. Glosten, L. R. & Jagannathan, R., 1994. "A contingent claim approach to performance evaluation," Journal of Empirical Finance, Elsevier, vol. 1(2), pages 133-160, January.
    7. Chen, Nai-fu & Copeland, Thomas E. & Mayers, David, 1987. "A Comparison of Single and Multifactor Portfolio Performance Methodologies (formerly WP #13-83)," University of California at Los Angeles, Anderson Graduate School of Management qt1tw5w5rs, Anderson Graduate School of Management, UCLA.
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