Styles de gestion : espérances de rendement et expositions aux facteurs de risque
(2010)
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- (en) In the fund management industry, we observe that many active strategies exploit management style segmentations (value vs growth or big vs small). The explanatory power and the importance of these factors in active management style has been widely studied in the academic literature. The beta coefficient does not seem to explain the observed return differences between portfolios of different styles. Fama & French (FF-1993) introduced two additional factors (HML - value minus growth - and SMB - small minus big) to explain the equity risk premium. The objective of this thesis is to give an economic interpretation to the HML and SMB factors. This should allow us to better understand the relative performance of management styles and develop dynamic strategies of style rotation. On the one hand, it appears that variables related to economic growth are important explanatory factors for SMB and growth stocks. On the other hand, value stocks seem more related to default risk and total risk. The value stocks also show an asymmetric response to volatility shocks. Based on these results, we have developed our own economic three factor model, which appears as an interesting complement to the FF model. Finally, we used these models in the construction of management style rotation strategies with conclusive results between stocks of small and large market capitalizations.
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Dispas, C. (2010). Styles de gestion : espérances de rendement et expositions aux facteurs de risque. https://hdl.handle.net/2078.5/131094