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- W2170597986 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)." @default.
- W2170597986 created "2016-06-24" @default.
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- W2170597986 date "2008-01-01" @default.
- W2170597986 modified "2023-09-27" @default.
- W2170597986 title "Peut-on encore parler des mesures de performance ?" @default.
- W2170597986 hasPublicationYear "2008" @default.
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