La gestion active de portefeuille Marc Boucher Gestionnaire de portefeuille

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La gestion active de portefeuille Marc Boucher Gestionnaire de portefeuille. 7 Février 2006. Pour gagner un rendement il faut prendre du risque!. Pour battre le marché, il faut donc prendre plus de risque. Introduction. Qu’est-ce que la gestion active de portefeuille? - PowerPoint PPT Presentation

Text of La gestion active de portefeuille Marc Boucher Gestionnaire de portefeuille

  • La gestion active de portefeuille

    Marc BoucherGestionnaire de portefeuille7 Fvrier 2006

  • Pour gagner un rendement il faut prendre du risque!

    Pour battre le march, il faut donc prendre plus de risque

  • IntroductionQuest-ce que la gestion active de portefeuille?Faire fructifier les avoirs qui nous sont confis le plus efficacement possibleSassurer que toute prise de risque est rcompense convenablement Objectif de cette confrence: Apprendre les aspects fondamentaux de la gestion de portefeuilleDcouvrir la gestion active

  • Aperu Les fondements de la gestion de portefeuille Les classes dactifs La cible du gestionnaire Le risque Les rendements La gestion active Peut-on battre le march? Prvoir Aspect pratique

  • Les fondements de la gestion de portefeuille

  • Les classes dactifsActions Petites capitalisationsGrandes capitalisationsCommoditsFiducies de revenusObligationsCorporativesGouvernementalesMarch montairePlus risquMoins risqu

  • La cible Les gestionnaires sont toujours compars une cible Des examples de cible: Mach boursier : S&P 500, MSCI EAFE, S&P/TSX Obligation : Lehman Brothers Bond Index, ScotiaMcLoed index Pourquoi une cible?On ne compare pas des pommes avec des oranges!Diffrentes classes dactifs = difrents profiles risque/rendementPermet de choisir des gestionnaires qui rpondent nos besoins

  • Le risquePour gagner un rendement il faut prendre du risque!Quest-ce que le risque?Risque de marchFluctuations du marchAutres RisquesFaillite, Fraude, etcRisque totalQuantifiableNon quantifiableVolatilit : cart-type des rendements

  • Les rendements Dcomposition des rendements:rp(t) = ap + bprc(t) + ep(t)rp est le rendement excdentaire dun portefeuillerc est le rendement excdentaire de la cible

    Composante attribuable au march cible : bprc(t) Composante rsiduelle : qp(t) = ap + ep(t)

    Pour la variance: s2p = b2ps2b + w2p

    Non corrle

  • bprc(t) prime de risque pour dtenir ces actifs

    qp(t) = ap + ep(t) jeu quitable travers tous les investisseurs

    Sp( qp(t) ) = 0

    Les rendements

  • La gestion activeGestion activeBETA = bprc(t)ALPHA = apGestion passivewpRisquebpscTaux dintrt(sans risque)0

  • Type de gestionGestion indicielleFonds indicielsGestion LongueFonds mutuelsGestion alternativeFonds de couvertureTaux sans risqueBetaTaux sans risqueTaux sans risqueBetaAlphaAlpha

  • La gestion active Comment mesurer la qualit du gestionnaire sans tenir compte de son agressivit?Ratio dinformation = ap / wp

    Rendement excdentaire = rp- rc Un rendement excdentaire positif ne veut pas dire quil y a de lalphaPeut venir dun beta suprieur un

  • Peut-on battre le march?

  • AlphaDifficile obtenir the average actively managed dollar most underperform the average passively managed dollar, net of cost , William Sharpe (1991)

  • L'alpha est donc un combat entre gestionnaires Certains gestionnaires actifs gnrent vritablement de l'alpha Comment? En valuant bien le march En prvoyant bien les mouvements En diversifiant leur pari

    chacun sa chance

  • valuer Exploiter les opportunits darbitrage Relation darbitrage dterministe ou stochastique ShortSurvaluModle dvaluationExemple: Black-ScholesLongSous-valu

  • Prvoir Prvision = valuation Si le prix est juste, la prvision sera 50-50ShortSous-performantModle de prvision

    LongSurperformant

  • Prvoir : ConseilTraiter linformation le plus efficacement possibleDiversifier ses paris sur plusieurs actifsDiversifier ses techniques de prvision Utiliser des modles varis Combiner des modles Utiliser des approches diffrentesNe pas sassoir sur son modle

  • Example de Stratgie

    Chart1

    3.92074479-0.4191142191

    1.95301987290.3475120385

    1.28719482562.5670041691

    2.6541301890.5371514443

    0.63716357630.1724961981

    0.24552925652.274041134

    -0.24767223653.1574702886

    -0.0947751823-0.1350416879

    Stratgie Momentum

    S&P500

    sp500

    Datecloserendement 22 joursRendement Momentum 22 jourRdt Cum

    1/3/28117.76Stratgie MomentumS&P500

    1/4/28117.7230's392%-42%

    1/5/28117.5540's195%35%

    1/6/28117.6650's129%257%

    1/9/28117.5960's265%54%

    1/10/28117.3770's64%17%

    1/11/28117.3580's25%227%

    1/12/28117.4790's-25%316%

    1/13/28117.5800's-9%-14%

    1/16/28117.37

    1/17/28117.3

    1/18/28117.26

    1/19/28117.38

    1/20/28117.48

    1/23/28117.59

    1/24/28117.71

    1/25/28117.52

    1/26/28117.63

    1/27/28117.69

    1/30/28117.54

    1/31/28117.57

    2/1/28217.53-0.0129504505

    2/2/28217.630.0057045066-0.0050790068-0.0057045066

    2/3/28217.4-0.0130459444-0.00854700850.0130459444

    2/6/28217.440.0022988506-0.0124575311-0.0022988506

    2/7/28217.440-0.00852757250

    2/8/28217.490.00286697250.0069084629-0.0028669725

    2/9/28217.550.00343053170.01152737750.0034305317

    2/10/28217.54-0.00056980060.0040068689-0.0005698006

    2/14/28217.44-0.0057012543-0.007963595-0.0057012543

    2/15/28217.4-0.0022935780.00172711570.002293578

    2/16/28217.35-0.00287356320.0028901734-0.0028735632

    2/17/28217.04-0.0178674352-0.0127462341-0.0178674352

    2/20/28216.97-0.0041079812-0.02359033370.0041079812

    2/21/28217.110.0082498527-0.0211670481-0.0082498527

    2/23/28217.130.0011689071-0.0261512223-0.0011689071

    2/24/28217.180.0029188558-0.0299265951-0.0029188558

    2/27/28217.15-0.0017462165-0.02111872150.0017462165

    2/28/28217.160.0005830904-0.0266591038-0.0005830904

    2/29/28217.260.0058275058-0.0243075184-0.0058275058

    3/1/28317.30.0023174971-0.0136830103-0.0023174971

    3/2/28317.30-0.0153671030

    3/5/28317.50.0115606936-0.001711352-0.0115606936

    3/6/28317.670.00971428570.0022688599-0.0097142857

    3/7/28317.58-0.00509337860.0103448276-0.0050933786

    3/8/28317.640.00341296930.01146788990.0034129693

    3/9/28317.930.01643990930.02809633030.0164399093

    3/12/28317.940.00055772450.0257289880.0005577245

    3/13/28317.92-0.00111482720.0210826211-0.0011148272

    3/14/28317.930.00055803570.02223489170.0005580357

    3/15/28318.070.00780814280.03612385320.0078081428

    3/16/28318.260.01051466520.04942528740.0105146652

    3/19/28318.340.0043811610.05706051870.004381161

    3/20/28318.460.00654307520.08333333330.0065430752

    3/21/28318.650.01029252440.09899823220.0102925244

    3/22/28318.6-0.00268096510.0870835769-0.0026809651

    3/23/28318.780.00967741940.09632224170.0096774194

    3/26/28318.920.00745473910.10128055880.0074547391

    3/27/28318.940.00105708250.10437317780.0010570825

    3/28/28318.89-0.00263991550.1008158508-0.0026399155

    3/29/28318.950.00317628370.09791425260.0031762837

    3/30/28319.280.0174142480.11445086710.017414248

    4/2/28419.02-0.01348547720.0994219653-0.0134854772

    4/3/28419.0200.08685714290

    4/4/28418.99-0.00157728710.0747028862-0.0015772871

    4/5/28419.230.01263823060.09385665530.0126382306

    4/9/28419.270.00208008320.09240362810.0020800832

    4/10/28419.1-0.00882200310.0652537646-0.0088220031

    4/11/28419.440.01780104710.08361204010.0178010471

    4/12/28419.41-0.00154320990.0831473214-0.0015432099

    4/13/28419.730.01648634720.10039040710.0164863472

    4/16/28419.64-0.00456158130.0868843387-0.0045615813

    4/17/28419.52-0.00610997960.0690032859-0.0061099796

    4/18/28419.5200.06434023990

    4/19/28419.630.00563524590.06338028170.0056352459

    4/20/28419.34-0.01477330620.036997319-0.0147733062

    4/23/28419.15-0.00982419860.0295698925-0.0098241986

    4/24/28419.250.00522193210.02502662410.0052219321

    4/25/28419.330.00415584420.02167019030.0041558442

    4/26/28419.470.0072426280.02798310450.007242628

    4/27/28419.680.01078582430.04182106930.0107858243

    4/30/28419.750.00355691060.04221635880.0035569106

    5/1/28519.780.00151898730.025933610.0015189873

    5/2/28519.830.00252780590.04258675080.0025278059

    5/3/28519.930.00504286430.04784437430.0050428643

    5/4/28520.240.01555444050.0658241180.0155544405

    5/7/28520.410.00839920950.06136245450.0083992095

    5/8/28520.27-0.00685938270.051894136-0.0068593827

    5/9/28520.24-0.00148001970.0596858639-0.0014800197

    5/10/28520.21-0.00148221340.0396090535-0.0014822134

    5/11/28520.360.00742206830.04894384340.0074220683

    5/14/28520.440.00392927310.03598580840.0039292731

    5/15/28520.39-0.0024461840.0381873727-0.002446184

    5/16/28520.05-0.01667484060.0271516393-0.0166748406

    5/17/28520.120.00349127180.03073770490.0034912718

    5/18/28519.92-0.00994035790.0147733062-0.0099403579

    5/21/28519.63-0.01455823290.0149948294-0.0145582329

    5/22/28519.36-0.01375445750.0109660574-0.0137544575

    5/23/28519.750.02014462810.0259740260.0201446281

    5/24/28519.870.00607594940.0279358510.0060759494

    5/25/28519.90.00150981380.02208525940.0015098138

    5/28/28519.57-0.0165829146-0.0055894309-0.0165829146

    5/29/28519.820.01277465510.0035443038-0.0127746551

    5/31/285200.00908173560.01112234580.0090817356

    6/1/28620.070.00350.01210287440.0035

    6/4/28620.01-0.00298953660.0040140492-0.0029895366

    6/5/28619.85-0.007996002-0.0192687747-0.007996002

    6/6/28619.66-0.0095717884-0.03674669280.0095717884

    6/7/28619.61-0.002543235-0.03256043410.002543235

    6/8/28619.37-0.0122386537-0.04298418970.0122386537

    6/11/28618.9-0.0242643263-0.06481939630.0242643263

    6/12/28618.34-0.0296296296-0.09921414540.0296296296

    6/13/28618.890.0299890949-0.0758317025-0.0299890949

    6/14/28619.050.00847009-0.0657184895-0.00847009

    6/15/28618.74-0.0162729659-0.06533665840.0162729659

    6/18/28618.58-0