AFIR 2004 QU'EST CE QUE LA STATISTIQUE MATHEMATIQUE PEUT APPORTER ...

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AFIR 2004





QU’EST CE QUE LA STATISTIQUE MATHEMATIQUE PEUT
APPORTER POUR UNE GESTION PLUS RATIONNELLE DES FONDS
DE FONDS ?




Contribution établie par Arnaud Clément-Grandcourt comme synthése des quinze mémoires
faits dans le cadre de l’Association de recherche sur les OPCVM et les fonds internationaux .

Mots clés : fonds de fonds, statistique mathématique

Clément-Grandcourt Arnaud
président del’Association de recherche sur les OPCVM et les fonds internationaux . ent de la Française des placements investissement
3 rue Cimarosa 75116 PARIS FRANCE
tel 33173007311
fax33173007301
acgrandcourt@placements.fr




















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ABSTRACT




HOW TO ADD VALUE TO FUND OF FUNDS MANAGEMENT
PROCESS WITH STATISTICAL METHODOLOGY
BY PARIS FUND RESEARCH ASSOCIATION ABOVE MENTIONED

Added value by fund of funds management is rated as insufficient compared to fund of funds
management fee by many institutions.
After 1973-4 bear market, fund management was seen as insufficiently protective and added
value as insufficient; after 2000-2002 bear market criticism of strictly benchmarked funds and
of fund of benchmarked funds is pervasive .

The Paris fund research association studied this and showed that selection process of funds
and portfolio building process of fund of funds are not creating much added value because
instability of all criteria is very harmful : total return, risk ajusted total ...