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Peut-on encore parler des mesures de performance ?
[One is able again to speak of performance measures?]

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  • Trabelsi, Mohamed Ali

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).

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  • Trabelsi, Mohamed Ali, 2008. "Peut-on encore parler des mesures de performance ? [One is able again to speak of performance measures?]," MPRA Paper 25443, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:25443
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    1. Trabelsi, Mohamed Ali, 2019. "The new models of decision in risk: A review of the critical literature," MPRA Paper 92693, University Library of Munich, Germany, revised 2019.

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    More about this item

    Keywords

    Efficience; Gestion de portefeuille; Performance; Marché boursier;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G19 - Financial Economics - - General Financial Markets - - - Other

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