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- ISIDORE Id: 10670/1.b7e0e7...
- hal: hal-04515402
http://creativecommons.org/licenses/by-nc-nd/ , info:eu-repo/semantics/OpenAccess
Mots-clés
asset allocation asset selection concentration excess return market timing performance stock-picking C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C52 - Model Evaluation, Validation, and Selection G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates -fin]/Portfolio Management [q-fin.PM]Sujets proches
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Hayette Gatfoui et al., « Less Can Be More! », HAL SHS (Sciences de l’Homme et de la Société), ID : 10670/1.b7e0e7...
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Résumé
We focus here on the specific management style of a French insurance company SMA BTP. The employed management style allows the management team to improve its diversified portfolio's return. Indeed, the stock sub-portfolio of this insurance company outperforms some known benchmarks such as Euro Stoxx index, CAC 40 French stock index or Euro Stoxx 50 index. We show that SMA BTP's specific management style is optimal in the lens of two basic important criteria, namely the portfolio's excess return and its performance persistence. Such a persistence profile is driven by the trade-off between portfolio diversification and performance concentration.
