L'analyse de la performance des fonds obligataires Français

Does historical performance helps predict future performance of portfolio managers and does persistence in performance exist? These are some of the recurring questions that used to be raised in this part of financial literature. Different methods since the 60's have been proposed but many of them are subject to inner biases. More over, few of them have focused on French bond mutual funds. In this paper, we test the performance of French bond mutual finds from 1991 to 2001, basing our approach on the main findings in literature. We get various results among which, the fact that survivor funds have the most active strategy. Their higher risky position is associated with higher returns in comparison with dead funds or borned funds. We find positive persistence as well as negative persistence but associated with a low magnitude. Nervertheless, we note that the Jensen's alpha is a biased measure of performance.