AustralieFrV1, Hal, Checkpoint, bibRecord, 000519

La mesure de performance de la gestion indicielle française

Identifieur interne : 000519 ( Hal/Checkpoint ); précédent : 000518; suivant : 000520

La mesure de performance de la gestion indicielle française

Auteurs : Amir Rezaee [France]

Source :

RBID : Hal:halshs-00008393

Descripteurs français

mix :
- Fonds indiciel, erreur de suivi, gestion indicielle, mesure de performance.

English descriptors

mix :
- Fund performance, Index funds, Indexation, Tracking error.

Abstract

This article analyses the performance of french index funds by using tracking error as an appropriate measure of indexation. Despite the considerable growth of index funds in French and U.S. since 90's, research on their performance is negligile. Based on a dataset of 23 index funds, this article documents a monthly returns tracking error between French index funds and CAC40 index from 0.1 to 2.5 basis points. This highlights the excellent performance of French index funds compared to that achieved by Australian or American funds. This article also analyses the impact of strategy adopted by management in order to duplicate Benchmark return, on magnitude of tracking error.

Url:

https://halshs.archives-ouvertes.fr/halshs-00008393

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to stream Hal, to step Corpus: 000457
to stream Hal, to step Curation: 000457

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Hal:halshs-00008393

Le document en format XML

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<front><div type="abstract" xml:lang="en">This article analyses the performance of french index funds by using tracking error as an appropriate measure of indexation. Despite the considerable growth of index funds in French and U.S. since 90's, research on their performance is negligile. Based on a dataset of 23 index funds, this article documents a monthly returns tracking error between French index funds and CAC40 index from 0.1 to 2.5 basis points. This highlights the excellent performance of French index funds compared to that achieved by Australian or American funds. This article also analyses the impact of strategy adopted by management in order to duplicate Benchmark return, on magnitude of tracking error.</div>
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            <abstract xml:lang="en">This article analyses the performance of french index funds by using tracking error as an appropriate measure of indexation. Despite the considerable growth of index funds in French and U.S. since 90's, research on their performance is negligile. Based on a dataset of 23 index funds, this article documents a monthly returns tracking error between French index funds and CAC40 index from 0.1 to 2.5 basis points. This highlights the excellent performance of French index funds compared to that achieved by Australian or American funds. This article also analyses the impact of strategy adopted by management in order to duplicate Benchmark return, on magnitude of tracking error.</abstract>
            <abstract xml:lang="fr">Cet article analyse la performance à long terme des fonds indiciels français en utilisant l'erreur de suivi (Tracking error) comme la mesure la plus appropriée dans le domaine de la gestion indicielle. Malgré la forte croissance des fonds indiciels en France et aux Etats-Unis depuis 1990, leurs performances n'ont guère été étudiées. A partir d'une base de données comprenant 23 fonds indiciels, cet article montre l'existence d'erreur de suivi significative pour les fonds indiciels français, la différence entre la rentabilité mensuelle des fonds et celle de l'indice CAC40 pour une durée de douze ans est entre 0,1 et 2,5 point de base. Ceci est un bilan très honorable pour ce mode de gestion en France par rapport aux autres pays dont l'étude sur erreur de suivi a été faite, notamment l'Australie et les Etats-Unis. cet article analyse aussi l'effet de la stratégie adoptée par les gestionnaires pour dupliquer la rentabilité de Bechmark, sur l'erreur de suivi.</abstract>
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La mesure de performance de la gestion indicielle française

La mesure de performance de la gestion indicielle française

Source :

Descripteurs français

English descriptors

Abstract

Links toward previous steps (curation, corpus...)

Links to Exploration step

Le document en format XML

Pour manipuler ce document sous Unix (Dilib)

Pour mettre un lien sur cette page dans le réseau Wicri