{"id":176,"date":"2019-03-19T12:59:13","date_gmt":"2019-03-19T11:59:13","guid":{"rendered":"http:\/\/finance-chikh-grandin.com\/?p=176"},"modified":"2019-11-03T10:09:41","modified_gmt":"2019-11-03T09:09:41","slug":"la-gestion-smart-beta-ou-le-chant-des-sirenes-1","status":"publish","type":"post","link":"https:\/\/finance-chikh-grandin.com\/?p=176","title":{"rendered":"La gestion smart b\u00eata ou le chant des Sir\u00e8nes"},"content":{"rendered":"\n<p>La gestion smart b\u00eata s\u2019est beaucoup d\u00e9velopp\u00e9e ces derni\u00e8res ann\u00e9es et a largement \u00e9t\u00e9 mise en avant par les soci\u00e9t\u00e9s de gestion. Cette derni\u00e8re est susceptible d\u2019affecter en profondeur le march\u00e9 de l\u2019investissement et plus particuli\u00e8rement celui de la gestion active. Pour Kahn et Lemmon<a href=\"#_ftn2\">[2]<\/a>, cette gestion serait une innovation disruptive<a href=\"#_ftn3\">[3]<\/a> dans la gestion de portefeuille. \u00a0Leur pr\u00e9diction est que la gestion active va se s\u00e9parer en deux volets. D\u2019un c\u00f4t\u00e9, les produits smart b\u00eata qui seront commercialis\u00e9s avec des frais relativement faibles et de l\u2019autre c\u00f4t\u00e9, la gestion de pur alpha avec des frais plus \u00e9lev\u00e9s. Pour Malkiel<a href=\"#_ftn4\">[4]<\/a>, la gestion smart b\u00eata rel\u00e8ve surtout du smart marketing. Exposer un portefeuille \u00e0 certains facteurs de risque dans l\u2019espoir de d\u00e9gager un surplus de rentabilit\u00e9 par rapport aux indices standards n&#8217;a en effet, selon lui, rien de nouveau. Pour Asness et Liew de la soci\u00e9t\u00e9 AQR, il s\u2019agit juste du <em>re-packaging <\/em>d\u2019une approche de la gestion quantitative<a href=\"#_ftn5\">[5]<\/a>. Que faut-il en penser ?  <em><strong><a href=\"https:\/\/finance-chikh-grandin.com\/wp-content\/uploads\/2019\/03\/La-gestion-smart-b\u00eata.pdf\" target=\"_blank\" rel=\"noreferrer noopener\" aria-label=\" (opens in a new tab)\">T\u00e9l\u00e9charger la note compl\u00e8te <\/a><\/strong><\/em><br><\/p>\n\n\n\n<p><a href=\"#_ftnref1\">[1]<\/a> Ce titre fait r\u00e9f\u00e9rence \u00e0 l\u2019article de Asness C., 2016, \u00ab&nbsp;The Siren\nsong of factor timing&nbsp;aka smart beta timing, aka style timing&nbsp;\u00bb, <em>Journal of Portfolio Management<\/em>, vol.\n45, N\u00b02, dans lequel l\u2019auteur \u00e9met des doutes sur la capacit\u00e9 des g\u00e9rants \u00e0\nfaire du market-timing sur les facteurs de risque.<\/p>\n\n\n\n<p><a href=\"#_ftnref2\">[2]<\/a> Khan R., et M. Lemmon, 2016, \u00ab&nbsp;The asset\nmanager\u2019s dilemma: How smart beta is disrupting the investment management\nindustry&nbsp;\u00bb, <em>Financial Analyst\nJournal<\/em>, vol. 72, N\u00b01, p. 15-20.<\/p>\n\n\n\n<p><a href=\"#_ftnref3\">[3]<\/a> Une innovation disruptive conduit \u00e0 la cr\u00e9ation de nouveaux march\u00e9s.\nIl ne s\u2019agit pas de r\u00e9pondre \u00e0 la demande d\u2019un client mais \u00e0 ses besoins,\nqu\u2019ils soient exprim\u00e9s ou pas. Dans le cas pr\u00e9sent, il s\u2019agirait de satisfaire\nau besoin profond qu\u2019a l\u2019investisseur d\u2019avoir une performance sup\u00e9rieure \u00e0\ncelle des march\u00e9s telle qu\u2019il la per\u00e7oit \u00e0 travers les indices.<\/p>\n\n\n\n<p><a href=\"#_ftnref4\">[4]<\/a> Malkiel B., 2014, \u00ab&nbsp;Is smart beta really\nsmart?&nbsp;\u00bb, <em>Journal of Portfolio\nManagement<\/em>, N\u00b0 sp\u00e9cial 40<sup>\u00e8me<\/sup> anniversaire.<\/p>\n\n\n\n<p><a href=\"#_ftnref5\">[5]<\/a>\nhttps:\/\/www.aqr.com\/Insights\/Perspectives\/Smart-Beta-Not-New-Not-Beta-Still-Awesome.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>La gestion smart b\u00eata s\u2019est beaucoup d\u00e9velopp\u00e9e ces derni\u00e8res ann\u00e9es et a largement \u00e9t\u00e9 mise en avant par les soci\u00e9t\u00e9s de gestion. Cette derni\u00e8re est susceptible d\u2019affecter en profondeur le march\u00e9 de l\u2019investissement et plus particuli\u00e8rement celui de la gestion active. Pour Kahn et Lemmon[2], cette gestion serait une innovation disruptive[3] dans la gestion de&#8230;<\/p>\n","protected":false},"author":2,"featured_media":184,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[],"class_list":["post-176","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-non-classe"],"_links":{"self":[{"href":"https:\/\/finance-chikh-grandin.com\/index.php?rest_route=\/wp\/v2\/posts\/176","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/finance-chikh-grandin.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/finance-chikh-grandin.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/finance-chikh-grandin.com\/index.php?rest_route=\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/finance-chikh-grandin.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=176"}],"version-history":[{"count":9,"href":"https:\/\/finance-chikh-grandin.com\/index.php?rest_route=\/wp\/v2\/posts\/176\/revisions"}],"predecessor-version":[{"id":222,"href":"https:\/\/finance-chikh-grandin.com\/index.php?rest_route=\/wp\/v2\/posts\/176\/revisions\/222"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/finance-chikh-grandin.com\/index.php?rest_route=\/wp\/v2\/media\/184"}],"wp:attachment":[{"href":"https:\/\/finance-chikh-grandin.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=176"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/finance-chikh-grandin.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=176"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/finance-chikh-grandin.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=176"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}