Cross sectional dispersion in active portfolio management of the CAC40 index

• Autores: Manca, Guillaume
• Año de publicación: 2015
• Idioma: inglés
• Tipo de recurso: tesis de maestría
• Colaborador/a o director/a de tesis: Warnes, Ignacio
• Materia: Portfolio management -- Mathematical models.; Financial risk management -- Mathematical models.; Asset allocation -- Mathematical models.; Cartera de valores -- Dirección y administración -- Modelos matemáticos.; Administración de riesgos financieros -- Modelos matemáticos.; Asignación de activos -- Modelos matemáticos.
• Institución: Universidad de San Andrés

Fil: Manca, Guillaume. Universidad de San Andrés. Escuela de Administración y Negocios; Argentina.
When active managers try to outperform the benchmark they predict which stocks will perform better than others, forecasting the cross-sectional dispersion (or standard deviation) of returns. This measure is central to understand and enhance performances of the active managers. Based on the hypothesis set forth by Larry R. Gorman (2010) we will verify whether this measure of the risk impacts systematic and idiosyncratic risks, and impacts the results of the active manager looking for outperforming the benchmark. Moreover we will verify whether active portfolio returns are function of managers’ skill and cross- sectional dispersion, on the CAC40, in order to prove that Gorman’s work conclusions are verified on the French market.