{"id":255,"date":"2021-12-23T12:54:06","date_gmt":"2021-12-23T11:54:06","guid":{"rendered":"http:\/\/finance-chikh-grandin.com\/?p=255"},"modified":"2021-12-23T12:54:09","modified_gmt":"2021-12-23T11:54:09","slug":"la-persistance-de-la-gestion-active","status":"publish","type":"post","link":"https:\/\/finance-chikh-grandin.com\/?p=255","title":{"rendered":"La persistance de la gestion active"},"content":{"rendered":"\n<p>La persistance de la gestion active et surtout sa progression en volume de fonds g\u00e9r\u00e9s reste une \u00e9nigme<a href=\"#_ftn1\">[1]<\/a>,<a href=\"#_ftn2\">[2]<\/a>. La litt\u00e9rature acad\u00e9mique a montr\u00e9 de longue date qu\u2019il n\u2019est en moyenne pas possible de battre la rentabilit\u00e9 moyenne offerte par le march\u00e9. C\u2019est conceptuellement impossible comme le met en \u00e9vidence William Sharpe dans son article de 1991<a href=\"#_ftn3\">[3]<\/a>. Et les \u00e9tudes empiriques montrent dans leur grande majorit\u00e9 que la performance des fonds g\u00e9r\u00e9s activement n\u2019est pas sup\u00e9rieure \u00e0 celle du march\u00e9 4. Si l\u2019on regarde plus en d\u00e9tail, en termes de rentabilit\u00e9 brute, l\u2019alpha d\u00e9gag\u00e9 par les professionnels est de l\u2019ordre de 0,40% \u00e0 0,50%. Si l\u2019on d\u00e9duit de ces rentabilit\u00e9s les frais de gestion des fonds, alors l\u2019alpha net est n\u00e9gatif de l\u2019ordre de -0,50% \u00e0 -0,60%<a href=\"#_ftn4\">[4]<\/a>. Seuls 3% des gestionnaires d\u00e9gagent une rentabilit\u00e9 suffisante pour compenser les frais de gestion<a href=\"#_ftn5\">[5]<\/a>. Ce qui n\u2019est donc pas le cas pour les 97% restant! <em><strong><a href=\"https:\/\/finance-chikh-grandin.com\/wp-content\/uploads\/2021\/12\/La-persistance-de-la-gestion-active.pdf\" data-type=\"URL\" data-id=\"https:\/\/finance-chikh-grandin.com\/wp-content\/uploads\/2021\/12\/La-persistance-de-la-gestion-active.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">T\u00e9l\u00e9charger la note compl\u00e8te<\/a><\/strong><\/em><\/p>\n\n\n\n<hr class=\"wp-block-separator\"\/>\n\n\n\n<p><a href=\"#_ftnref1\">[1]<\/a> La part de la gestion passive dans le volume des montants g\u00e9r\u00e9s est croissante mais la croissance de la gestion active reste positive.<\/p>\n\n\n\n<p><a href=\"#_ftnref2\">[2]<\/a> Nous nous int\u00e9ressons dans cette note \u00e0 la gestion collective principalement. Les investisseurs individuels peuvent trouver un plaisir \u00e0 \u00ab&nbsp;boursicoter&nbsp;\u00bb ind\u00e9pendamment de la performance de leur portefeuille.<\/p>\n\n\n\n<p><a href=\"#_ftnref3\">[3]<\/a> Sharpe, W. 1991, \u00ab&nbsp;The arithmetic of active management&nbsp;\u00bb, <em>Financial Analysts Journal<\/em>, vol. 47, N\u00b01, p. 7-9.<\/p>\n\n\n\n<p><a href=\"#_ftnref4\">[4]<\/a> Voir par exemple Barras L. O. Scaillet et R. Wermers (2010), \u00ab&nbsp;False discoveries in mutual fund performance: Measuring luck in estimated alpha&nbsp;\u00bb, <em>Journal of Finance<\/em>, vol. 65, p. 1269-1295 ou Fama E. et K. French (2010), \u00ab&nbsp;Luck versus skill in the cross section of mutual funds returns&nbsp;\u00bb, <em>Journal of Finance<\/em>, vol. 65, p. 1915-1947.<\/p>\n\n\n\n<p><a href=\"#_ftnref5\">[5]<\/a> Cf Fama et French (2020), r\u00e9f. cit\u00e9e.<\/p>\n\n\n\n<p><\/p>\n","protected":false},"excerpt":{"rendered":"<p>La persistance de la gestion active et surtout sa progression en volume de fonds g\u00e9r\u00e9s reste une \u00e9nigme[1],[2]. La litt\u00e9rature acad\u00e9mique a montr\u00e9 de longue date qu\u2019il n\u2019est en moyenne pas possible de battre la rentabilit\u00e9 moyenne offerte par le march\u00e9. C\u2019est conceptuellement impossible comme le met en \u00e9vidence William Sharpe dans son article de&#8230;<\/p>\n","protected":false},"author":2,"featured_media":253,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[],"class_list":["post-255","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\/255","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=255"}],"version-history":[{"count":2,"href":"https:\/\/finance-chikh-grandin.com\/index.php?rest_route=\/wp\/v2\/posts\/255\/revisions"}],"predecessor-version":[{"id":257,"href":"https:\/\/finance-chikh-grandin.com\/index.php?rest_route=\/wp\/v2\/posts\/255\/revisions\/257"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/finance-chikh-grandin.com\/index.php?rest_route=\/wp\/v2\/media\/253"}],"wp:attachment":[{"href":"https:\/\/finance-chikh-grandin.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=255"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/finance-chikh-grandin.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=255"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/finance-chikh-grandin.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=255"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}