Aux origines de la mesure de performance des fonds d’investissement Les travaux d’Alfred Cowles

摘要

The Origins of Measuring Investment Performance. The Work of Alfred Cowles. Related to the importance of the economic and financial stakes of performance measurement issues for the investment management industry, and considering the conceptual problems associated with in the academic research side, performance measurement appears today as a key factor in both industry and research. This topic, inspiring statistical studies of return’s behavior in the 1930s, also shifted the view of prices process, leading the academics and practitionners to consider stock market movements as the result of random changes, i.e. unpredictable. Alfred Cowles’ pioneering works paved the way for further academic researches and launched the challenging and conflicting idea that the market practitioners are unable to outperform the indexes, an idea which progressively clashed with most practioners, before becoming a new paradigm in the industry.