CONTRIBUTION No 15

PAR / BY

Haoi M.
LAM
France

PORTFOLIO PERFORMANCE

CDC - Gestion, a subsidiary of France's Caisse des DCpBts et Consignations, is principally involved in discretionary management o partfolios for institutional investors f and large canpanies. In keeping with this role it has always stressedthe transparency of its management perfmance.
Present m t o s for the calculation of portfolio perfarmance do not fully meet such a ehd requirement. Moreover it is essential to distinguish between the performance of a portfolio and that of a share in an investment fund. With this in mind,CDC - Gestion has devised its own method which it thinks will be of interest to other market participants. The advantage o this method is that it uses explicit linear formulae, while at the same f time taking into account nu only the flows which have affected the patfolio position but also commitments at the time the appraisal is made. The formulae are easy to apply to any asset package selected from a portfolio.

hs
Like all non-actuarial methods, this is only reliable for relatively low yields, but ti difficulty can be overcome by dividing relatively long periods (e.g., one year) into several periods of one month the yield thus M i the composite of the monthly rates.

AU suggestions o comments will be welcome. r M.LAM

nble des matieres

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1 Perfotlllsulced u poaefeuilIe. R 6 s d
'n

2 - Une dthode &calcul de performance dun portefeuille
2 - 1 Wfmition & la performawe
2 - 2 N h s s i d d'un calcul de performance
2 - 3 M6thode de calcul choisie
2 - 4 Formulationde la performance ou du rendement
2 - 4 - 1 Rendernent dun portefeuille
2 - 4 - 2 Rendement d'un actif k
2 - 5 Evaluation de la valeur maximale de I'erreur
2 - 6 Applications conseill&s
2 - 7 R6sultats du c l u acl 2 - 8 Conclusions
2 - 9 Annexes:
2 - 9 - 1 Annexe 1': Les engagements (Hmbilan)
2 - 9 - 2 Annexe 2 : Performance dune part OPCVM
2 - 9 - 2 -