Conférence Morningstar Gestion des risques, gestion d actifs : la convergence

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1 Conférence Morningstar 2012 Gestion des risques, gestion d actifs : la convergence

2 Morningstar Investment Conference 2012 Gestion des risques, gestion d actifs : la convergence Introduction Jean-François Bay, Directeur Général, Morningstar France Paris, 7 juin Morningstar, Inc. All rights reserved. <#>

3 Gestion des risques, gestion d actifs : la convergence «Avec la financiarisation des marchés, le rôle de l assureur n est plus de couvrir le risque technique mais aussi le risque des actifs. Avant, le métier d actuaire et de directeur financier était assez simple Le champ d action s est élargi : de secondaire, la gestion du risque des actifs est devenue essentielle.. Ce qui est nocif pour l économie, c est le court terme. Aujourd hui, les investisseurs recherchent des rendements à court terme, ce qui va à l encontre des intérêts des émetteurs. Existe-t-il t il encore de vrais investisseurs, des actionnaires qui assurent leur responsabilité de partenaire de l entreprise? Des stakeholders plus que des stockholders?» Claude Bébéar 20 novembre 2009

4 Gestion des risques, gestion d actifs : la convergence 2012 : Le retour des vieux démons : Collecte mensuelle par classe d actifs en Europe / Source : Morningstar Sortie des actifs risqués Entrée vers le monétaire

5 Gestion des risques, gestion d actifs : la convergence De l Asset Management au Yield Management Structurellement, les investisseurs supportent mal la volatilité des actifs risqués (Solvency 2 ) Conjoncturellement, les investisseurs privilégient : Le monétaire et les obligations Phénomène TSE (Tout Sauf l Euro!) CATEGORIE AVRIL 2012 YTD 2012 Obligations USD Haut Rendement Obligations GBP Emprunts Privés Obligations Globales Obligations Marchés Émergents Glob Obligations Marchés Émergents (devises) Obligations Haut Rendement Couvertes Obligations USD Emprunts Privés Obligations GBP Flexibles Obligations USD Flexibles Obligations CHF Top Les 62 autres catégories obligataires Catégories avec la collecte nette la plus importante t en avril 2012 (millions d'euros) / Source : collecte nette Morningstar Direct.

6 Gestion des risques, gestion d actifs : la convergence Des marchés où les rendements baissent, les soutiens artificiels ne fonctionnent plus Evolution de l indice Dow Jones Ind. entre 1900 et 2012 / Source : Morningstar Baisse de l inflation? Baisse des taux? Gain de productivité? Nouvelles technologies? Mondialisation? Dividendes de la paix? Endettement? Effet de levier? (source : Morningstar)

7 Gestion des risques, gestion d actifs : la convergence Des marchés où le risque augmente et se matérialise plus souvent Volatilité de l indice Dow Jones Ind. depuis 1950 / Source : Morningstar

8 Gestion des risques, gestion d actifs : la convergence Des marchés où les sources de diversification/décorrélation sont rares Evolution de la corrélation entre 1990 et 2012 (fenêtre glissante sur un an) / Source : Morningstar Etats-Unis - France Etats-Unis - Royaume-Uni

9 Gestion des risques, gestion d actifs : la convergence L actif sans risque : Les emprunts d Etat allemand Evolution des taux allemands et de l inflation sur 30 ans / Source : Morningstar 20 OBLIG ZONE EURO 18 INFLATION

10 Gestion des risques, gestion d actifs : la convergence Une nouvelle hiérarchie des risques ponctuelle? ou pour longtemps? Exemple de taux actuariels 5ans échéance 2017 en mars 2012 / Source : Morningstar 40% 30% 20% 10% 8% 6% 4% 2% 1% 0% Grèce / 47.82% Portugal / 13.78% Ireland / 5.17% Espagne / 4.80% Italie / 4.33% Brésil / 2.01% France / 1.70% USA / 1.01% Allemagne / 0.70% Bank Tier 1 / 12.23% Bank Tier 2 / 7.09% BNP Paribas / 4.11% Alcatel l (B) / 7.51% Renault (BB) / 4.57% Telefonica / 4.40% ENI / 2.74% Bouygues / 2.20% Auchan / 1.96% Air Liquide (A) / 1.77% Etats Banques Entreprises

11 Gestion des risques, gestion d actifs : la convergence Le mouvement de Fly to liquidity est similaire chez les ménages Evolution des dépôts à vue et livrets réglementés chez les ménages français / Source : Banque de France Livrets A Autres + Bleus livrets CEL Dépots Total Diff janv janv % janv % janv % janv % avr % juin % dec % mars %

12 Gestion des risques, gestion d actifs : la convergence Résultat : Ce sont encore les classes d actifs refuges qui sur-performent Catégories / Performances annualisées YTD (%) 3M (%) 1AN(%) 3ANS(%) 5ANS(%) VOL.3ANS DATE 1 Matières Premières - Métaux Précieux 1,96-5,48 5,37 16,17 15,69 23,42 05/06/ Obligations International Couvertes en CHF 3,26-2,53 1,57 18,02 13,27 10,72 05/06/ Obligations International Couvertes (Devises) 4,84-0,84 10,08 17,67 11,60 10,28 05/06/ Obligations AUD 1,77-1,05 15,44 18,57 10,90 7,61 05/06/ Obligations International Dominante CHF 3,54 0,59 6,81 13,40 10,14 9,84 05/06/ Obligations CHF 5,28 1,45 5,57 14,10 9,75 10,43 05/06/ Monétaires AUD 0,36-2,29 10,23 14,59 8,95 7,95 05/06/ Obligations International 5,58 3,99 15,82 10,78 7,87 8,52 05/06/ Obligations USD Diversifiées 7,28 7,30 23,24 12,40 7,71 12,36 05/06/ Monétaires CHF 1,20 0,46 1,57 8,38 7,51 9,86 05/06/ Obligations USD Emprunts Privés 8,49 6,52 21,96 13,78 7,28 11,35 05/06/ Actions France Petites & Moy. Cap. -5,10-20,80-37,57 4,81-8,63 17,38 05/06/ Actions Europe Petites Cap ,68-10, , ,67-8, , /06/ Actions Europe Gdes Cap. "Value" -2,55-10,97-13,77 3,63-9,35 15,86 05/06/ Actions Zone Euro Grandes Cap. -3,12-13,50-20,22 0,77-10,05 18,07 05/06/ Actions France Grandes Cap. -2,10-12,09-21,39-0,50-11,09 18,02 05/06/ Actions Espagne -14,12-17,08-27,40-4,22-11,61 21,07 05/06/ Actions Belgique 2,46-7,58-16,04 6,13-11,84 14,42 05/06/ Actions Pologne -1,71-16,04-32,49 3,29-13,42 26,15 05/06/ Actions Zone Euro Flex Cap -0,14-11,56-21,87-1,44-13,96 18,29 05/06/ Actions Italie -4,56-16,19-28,78-7,08-16,86 19,82 05/06/ Actions Grèce -24,13-29,58-53,20-31,35-32,86 29,25 05/06/2012

13 Gestion des risques, gestion d actifs : la convergence Changer de rythmes et d outils L obligation d une gestion opportuniste et flexible. D une gestion long terme et stable (buy & hold), l investisseur va devoir privilégier une gestion flexible active au gré des opportunités. Question aux experts : Faible poids des actifs risqués dans les portefeuilles Bons résultats des entreprises Faible niveau d endettement Faible valorisation en Europe Fort rendement absolu Fort rendement face aux taux Baisse de l Euro Baisse de l inflation et des prix des matières premières ALLOCATION Est-on à la veille d un nouveau cycle?

14 Gestion des risques, gestion d actifs : la convergence Changer de rythmes et d outils L obligation d une gestion opportuniste et flexible. D une gestion long terme et stable (buy & hold), l investisseur va devoir privilégier une gestion flexible active au gré des opportunités. Question aux experts ETF 250 mds 2% de l industrie +140% en 3 ans 6% de l industrie GESTION Est-on à la veille d un nouveau cycle?

15 Gestion des risques, gestion d actifs : la convergence Morningstar : Aider les investisseurs Morningstar Global Operations Chicago Toronto Mexico City Santiago Sao Paulo Amsterdam Copenhagen Frankfurt London Luxembourg Madrid Milan Munich Oslo Paris Stockholm Zurich Bangkok Hong Kong Seoul Shenzhen Singapore Taipei Tokyo Auckland Sydney Un des principaux fournisseurs indépendants d informations et d analyses financières Créé en 1984 Une présence mondiale : Amérique, Europe, Asie et Australie employés Une base de données globale incluant plus de fonds d investissement

16 Gestion des risques, gestion d actifs : la convergence Morningstar : Aider les investisseurs Institutionnels clients institutionnels $150 milliards d actifs conseillés Particuliers 8 millions d investisseurs particuliers d abonnés payant au site Morningstar.com Une des sources de recherche action et crédit indépendantes les plus larges Conseillers conseillers financiers licences pour le service Morningstar Advisor Workstation SM outil L outil de sélection n 1 des CGP en France (Etude Raiffeisen)

17 Gestion des risques, gestion d actifs : la convergence Morningstar : Aider les investisseurs Consulting Communication Recherche Logiciels Gestion BDD Flux de données

18 Gestion des risques, gestion d actifs : la convergence Morningstar : Division Data Par exemple, gérer l ensemble des inventaires de portefeuilles des fonds d investissement Au delà des fonds, une expertise sur le temps réel : 8 millions d instruments en temps réel, 4 milliards de transactions par jour. Connexion en direct avec plus de 160 bourses dans 110 pays. Actions, obligations, futures, dérivés, options, matières premières, métaux précieux Change et marché de trésorerie

19 Gestion des risques, gestion d actifs : la convergence Morningstar : Division Software Des logiciels professionnels pour: La sélection de fonds La construction et l optimisation de portefeuilles L attribution de performances Les reportings Les analyses des collectes nettes Mobile.

20 Gestion des risques, gestion d actifs : la convergence Morningstar : Division Research & Consulting Une équipe de professionnels de l investissement très large et expérimentée: 165 analystes actions et crédit 109 analystes fonds 118 consultants : 60 aux USA, 41 en Europe, 17 en Asie

21 Gestion des risques, gestion d actifs : la convergence Pour les investisseurs professionnels : t f

22 Conférence Morningstar 2012 Gestion des risques, gestion d actifs : la convergence

23 Global Economic Perspectives: Sluggish Growth, High Uncertainty Francisco Torralba, Ph.D., Economist Morningstar Investment Conference Paris - June 7, Morningstar, Inc. All rights reserved. <#>

24 Agenda Global economic outlook Risks to the outlook Investment opportunities 2012 Morningstar, Inc. All rights reserved. 2 <#>

25 Global economic outlook Percent World real GDP, by region Contribution to four-quarter % change of world GDP. PPP-weighted. -1 EM ex-china China -2 DM ex-usa USA -3-4 World 2005:Q1 2006:Q1 2007:Q1 2008:Q1 2009:Q1 2010:Q1 2011:Q1 Source(s): multiple agencies, FactSet, author's estimation. 3

26 Global economic outlook (cont.) Negative short-term outlook. Sluggish growth in Consensus forecast: Most economies, both advanced and emerging, expected to grow less in 2012 than in (Exceptions: Japan and Thailand.) Recessions continuing in most of Europe. Germany and France to enter recession during first half of Asia-Pacific (ex Japan) finally feeling the slowdown of China. 4

27 Global economic outlook (cont.) Growth rate in 2012 minus growth in 2011 (p.p.) GDP growth: 2012(f) vs Annual growth rate JPN AUSBRA UK USA KOR MEX NTH CAN RUS ITA EUZ FRA GER ESP IND IDN TUR CHN Growth in 2011 (p.p.) Source(s): BlueChip forecasts, IMF. 5

28 Global economic outlook (cont.) Negative short-term outlook. Sluggish growth in Consensus forecast: Most economies, both advanced and emerging, expected to grow less in 2012 than in (Exceptions: Japan and Thailand.) Recessions continuing in most of Europe. Germany and France to enter recession during first half of Asia-Pacific (ex Japan) finally feeling the slowdown of China. 6

29 Global economic outlook (cont.) GDP: Medium term growth Annual growth rate 3.0 Growth in minus growth in ESP ITA NTH EUZ UK FRA GER USA CAN JPN TUR KOR AUS RUS MEX BRA IDN IND CHN Growth in Source(s): BlueChip forecasts, IMF. 7

30 Inflation and interest rates Spare capacity and sluggish growth: Risk of deflation in southern Europe Declining inflation in most emerging economies Monetary policy: Generally lower interest rates in EM economies Probably more QE in U.S. Little change in eurozone Within the next 6 months: Negative real interest rates in advanced economies Declining real interest rates in EM economies 8

31 Agenda Global economic outlook Risks to the outlook Investment opportunities 9

32 Risks to the outlook China: Hard landing of property bubble, but not necessarily economic crisis. Eurozone: Financial dis-integration Limited break-up of the eurozone 10

33 China s financial system Will the credit frenzy turn into a credit bust? Reasons for optimism Firepower of government: Debt/GDP = 26% Including all local government debt: 60% Including possible recapitalization of banks: 45% Repressed financial system Little policy response delay (relative to US, Europe) 11

34 China s financial system (cont.) More likely scenario (next 5 years): Bad loans remain a chronic illness. Slowdown in growth, due to financial and non-financial factors. Real danger from China (next 2-5 years): Current account surplus evaporates. Balance of payments and/or fiscal crisis for United States. 12

35 Eurozone s dis-integration Never believe anything until it has been officially denied. -Otto von Bismarck We have a [European] treaty under which there is no possibility of paying to bail out states in difficulty. -Angela Merkel, March 1, 2010 Greece can and will avoid restructuring its debt. -George Papaconstantinou, January 22, 2011 There will be no rescue for Spanish banks. -Mariano Rajoy, May 28,

36 Multiple forms of dis-integration Money market. Bank system. Bond market. Equity market. 14

37 Financial dis-integration: Money markets Cross-country standard deviation of bank lending rates 61-day moving average; standard deviation across eurozone countries Unsecured lending rates, 12-month maturity Repo rates, 12-month maturity 8 Percent Source(s): European Central Bank (ECB). 15

38 Multiple forms of dis-integration Money market. Bank system. Bond market. Equity market. 16

39 Financial dis-integration: Banking Cumulative euro area deposit flows: 2011:Q1-2011:Q2 Billions of euros Other Spain Italy Ireland Greece Germany France Net -200 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Source(s): IMF. 17

40 Multiple forms of dis-integration Money market. Bank system. Bond markets. Equity market. 18

41 Financial dis-integration: Bond markets Sovereign risk metrics Gross general gov't debt % of GDP, 2012 Primary balance % of GDP, 2012 Financing needs % of GDP, 2012 External funding % of general debt held abroad, 2012 Sovereign CDS Implied prob. of default Rating (notches above speculative) Outlook 31-May-12 Within 5 years Austria = Belgium Finland = France = Germany = Greece , Ireland Italy Netherlands = Portugal , Spain Source(s): IMF, rating agencies, CMA. Sovereign credit 19

42 Financial dis-integration: Bond markets (cont.) Dispersion of 5-year CDS premiums across countries 2,500 2,000 Sovereign Telecommunication Commercial banks Basis points 1,500 1, Source(s): European Central Bank (ECB). 20

43 Multiple forms of dis-integration Money market. Bank system. Bond market. Equity market. 21

44 Financial dis-integration: Equity markets Investment funds' holdings of equity Issued in other eurozone countries Issued in the rest of the world 50 Percent Source(s): European Central Bank (ECB). 22

45 Financial dis-integration: Equity markets (cont.) Cross-country average correlation of 1-month returns 12-month rolling correlation. Germany, France, Netherlands, Spain, Italy, Portugal Correlation Source(s): FactSet. 23

46 Break-up of the eurozone (I): When? Implied probability of a country leaving the eurozone Percent Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Source(s): Intrade. 24

47 Break-up of the eurozone (I): When? Greece to leave the euro in Portugal (and possibly Ireland) in The exit of one country increases the odds of further exits. Spain, Italy: Too large to fail, or too large to be rescued? 25

48 Break-up of the eurozone (II): Impact on the rest of Europe Limited break-up (Greece, Portugal, and Ireland) is an affordable setback for the rest of the eurozone. Small countries (Greece, Portugal, Ireland): No meaningful loss of export markets for the rest of the EU. Main effect is through financial system. Large countries (Spain, Italy): Exit and default may wipe out all equity. Significant recapitalizations needed for French, German banks. Seriously impaired public finances of core countries. Therefore, exit of Spitaly is unlikely. 26

49 Possible scenarios and consequences A) Disorderly disappearance of the euro, deep financial crisis, depression lasting more than 10 years. B) Partial break-up, contained financial crisis, deep recession lasting 1-2 years. C) No break-up or minimal break-up, mutualization of financial rescue fund, moderate recession lasting 6-18 months. 27

50 Possible scenarios and consequences (cont.) Very skewed distribution of asset price outcomes. Markets currently pricing non-zero probability of doomsday scenario A. Provided that some appropriate policy responses take place, extreme scenario A can be averted. In scenarios B and C, asset prices recover within one credit cycle. 28

51 Agenda Global economic outlook Risks to the outlook Investment opportunities 29

52 Investment opportunities (I): Growth assets Extreme pessimism has brought down European equity valuations to attractive levels. Contrarian opportunity. EU equities more attractive in the medium term (7-10 years) than any other EAFE equity market. Country selection may be important. Tail risks larger for Italy, Spain, Ireland, Portugal, and Greece than for the core. 30

53 Investment opportunities (I): Growth assets Source: The Economist, June 2,

54 Investment opportunities (I): Growth assets Extreme pessimism has brought down European equity valuations to attractive levels. Contrarian opportunity. EU equities more attractive in the medium term (7-10 years) than any other EAFE equity market. Country selection may be important. Tail risks larger for Italy, Spain, Ireland, Portugal, and Greece than for the core. 32

55 Investment opportunities (I): Growth assets 7% Seven-year real return forecasts: Equities Forecast as of May % 5% 4% 3% 2% 1% 0% US UK EU JP AU AS ex JP EAFE EM Source(s): Ibbotson Australia. 33

56 Investment opportunities (II): Income assets Expected returns appear to have improved, as yields of Spain, Italy return to stressed levels. But high-quality sovereign debt (Germany, U.S., U.K., etc) is priced to deliver meager (possibly negative) expected returns in the medium term. Considering large negative tail risk, and depressed yields in Germany, it may be best to underweigh. Corporate debt: Attractive in selected countries and sectors. 34

57 Investment opportunities (II): Income assets 3% 2% 1% 0% -1% -2% -3% -4% -5% -6% Seven-year real return forecasts: Fixed income Forecast as of May 2012 US GB US ST US LT US TIPS US Agg US IG US HY UK GB EU GB JP GB EMD Source(s): Ibbotson Australia. 35

58 Investment opportunities (II): Income assets Expected returns have improved, as yields of Spain, Italy return to stressed levels. But Germany s debt is probably overvalued. Meager (possibly negative) expected returns in the medium term. Considering large negative tail risk in periphery, and depressed yields in Germany, it may be best to underweigh. Corporate debt: Attractive in selected countries ( core ) and sectors (non-financial). 36

59 Summary Global outlook: sluggish growth, risks remain, low interest rates. Main risks: eurozone banks; break-up China not a likely global threat Ongoing financial dis-integration in eurozone. Limited break-up is likely. Opportunities: Euro equities good value for next 5-10 years; High quality sovereign debt is overpriced. 37

60 38 Q & A

61 Sources ECB: Financial Integration in Europe, April Blue Chip Economic Indicators, May IMF: Global Financial Stability Report, April IMF: World Economic Outlook, April

62 The information, data, analyses, and opinions presented herein do not constitute investment advice; are provided as of the date written and solely for informational purposes and therefore are not an offer to buy or sell a security; and are not warranted to be correct, complete, or accurate. Past performance is not indicative and not a guarantee of future results. This presentation contains certain forward-looking statements. We use words such as expects, anticipates, believes, estimates, forecasts, and similar expressions to identify forward looking statements. Such forward-looking statements involve known and unknown risks, uncertainties and other factors which may cause the actual results to differ materially and/or substantially from any future results, performance or achievements expressed or implied by those projected in the forwardlooking statements for any reason. For information and/or illustrative purposes only. Not for public distribution Morningstar. All rights reserved. Morningstar Investment Management is a division of Morningstar. Morningstar Investment Management includes Morningstar Associates, Ibbotson Associates, and Morningstar Investment Services; all registered investment advisors and wholly owned subsidiaries of Morningstar, Inc. The information contained in this presentation is the proprietary material of Ibbotson Associates. Reproduction, transcription or other use by any means, in whole or in part, without the prior written consent of Ibbotson Associates, is prohibited. The Morningstar name and logo are registered marks of Morningstar, Inc. The Ibbotson name and logo are registered marks of Ibbotson Associates, Inc. 40

63 Conférence Morningstar 2012 Gestion des risques, gestion d actifs : la convergence

64 Morningstar Investment Consulting Comment gérer le budget de risque Conférence Morningstar 7 juin 2012 Tanguy gyde Lauzon Seeds Finance, a Morningstar company Morningstar Investment Consulting Juin Morningstar, Inc. All rights reserved. 1

65 Comprendre son risque 2

66 Le concept de la Richesse Economique Totale Capital Financier Ensemble des actifs d un individu Inclut les différentes formes d épargne Capital Humain Capacité d un individu à gagner et épargner de l argent Inclut l éducation, l expérience, l intelligence ou le charisme 33

67 Le cycle d investissement Retraite Capital Capital Humain Financier Phase d accumulation Phase de décaissement 4

68 Une approche segmentée du Risque Risque ultime = risque de ne pas atteindre 1 ou plusieurs de ses objectifs Achat immobilier, Etudes des enfants, Maintien du niveau de vie pendant la retraite Risques intermédiaires / secondaires Un portefeuille financier peut subir une perte sans remettre en cause la réalisation des objectifs, mais peut-on considérer que cela n a pas d impact? Risque de déception en comparaison avec d autres 5

69 Une approche segmentée du Risque Risque absolu Structurel : quelle perte l investisseur pourrait-il il supporter dans les cas les pires? Ajustement éventuel de l allocation stratégique Conjoncturel : risque intermédiaire du portefeuille Ajustement éventuel de l allocation tactique Risque relatif Quel risque de sur/sous performance par rapport au benchmark? Ajustement éventuel dans l implémentation de l allocation 66

70 Mesurer son risque 7

71 Challenges : la loi normale n est pas un bon indicateur! Histogramme des rendements mensuels du S&P 500 depuis 1926 Courbe de distribution Lognormale curences ombre d occ No Rendements négatifs Rendements positifs Returns Source: Paul D. Kaplan, Déja Vu All Over Again, in Morningstar Advisor Magazine, February/March 2009 Performance data shown represents past performance. Past performance is not indicative and not a guarantee of future results. Indices shown are unmanaged and not available for direct investment. Performance data does not factor in transaction costs or taxes. 8

72 Challenges : la loi normale n est pas un bon indicateur! Histogramme des rendements mensuels du S&P 500 depuis 1926 curences ombre d occ No Théoriquement, il devrait y avoir une occurrence inférieure à [Moyenne moins 3σ] toutes les 1000 observations, En réalité, c est arrivé 10 fois sur 995 observations. Lognormal Distribution Curve S&P 500 [Moyenne moins 3σ] -15% Rendements mensuels Source: Paul D. Kaplan, Déja Vu All Over Again, in Morningstar Advisor Magazine, February/March 2009 Performance data shown represents past performance. Past performance is not indicative and not a guarantee of future results. Indices shown are unmanaged and not available for direct investment. Performance data does not factor in transaction costs or taxes. 9

73 Challenges : la loi normale n est nestpas un bon indicateur, mais il en existe de meilleurs! Histogramme des rendements mensuels du S&P 500 depuis 1926 Courbe de distribution Log-stable curences ombre d occ No Returns Source: Paul D. Kaplan, Déja Vu All Over Again, in Morningstar Advisor Magazine, February/March 2009 Performance data shown represents past performance. Past performance is not indicative and not a guarantee of future results. Indices shown are unmanaged and not available for direct investment. Performance data does not factor in transaction costs or taxes. 10

74 Challenges : quel indicateur de risque choisir? Value at Risk : La VaR identifie le rendement à un certain point de la courbe de distribution (ex. 1 er or 5 e percentile). Pire 1 er Percentile ece e 99% des rendements sont meilleurs 1% des rendements sont pires Pire 5 e Percentile 95% des rendements sont meilleurs 5% des rendements sont pires 11

75 Challenges : quel indicateur de risque choisir? Conditional Value at Risk La CVaR indique le rendement moyen pondéré de toute la queue de distribution. C est un indicateur de risque de perte : Quelles sont les pertes en moyenne quand ca se passe mal? Pire 5 e Percentile 95% des rendements sont meilleurs 5% des rendements sont pires 12

76 Challenges : le risque n est pas stable! 0% Allocation 50% Actions / 50% Obligations (rebalancement mensuel) Variation de la VaR 95% au cours du temps -5% -10% -15% -20% -25% -30% -35%

77 Une approche segmentée du Risque Risque absolu Structurel : focus sur le risque de perte -> Indicateur = C-VaR / Horizon = long terme Conjoncturel : focus sur l aversion au risque actuel Risque relatif -> Indicateur = Volatilité / Horizon = court/moyen terme Quel risque de sur/sous performance par rapport à mon benchmark? -> Indicateur = importance des paris tactiques (si on connait le portefeuille) 14

78 Challenges : le risque n est pas stable! 0% -10% Calcul du risque sur moyen terme (Volatilité ou VaR) -> Risque conjoncturel -20% -30% -40% -50% -60% Calcul du risque extrême sur long terme (C-VaR) -> Risque structurel Historical CVaR 99% 60 Months VaR 99% 15

79 Gérer son risque Exemples de solutions 16

80 Introduire la notion de retour à la moyenne Indice DJ Industrial Moyenne Mobile 5 ans 17

81 Introduire la notion de retour à la moyenne 35% 30% 25% 20% 15% 10% 5% 0% Volatilité glissante 60 mois Volatilité "corrigée" glissante 60 mois 18

82 The Role of ETFs Solution 1 : Gestion en Volatilité Contrôlée The Process 1/ Définir le niveau de risque souhaitable Ex : volatilité cible 9% 2/ Choisir un portefeuille risqué et un actif sans risque Ex: Euro Stoxx 50 / Eonia Rende ement attend du Frontière Efficiente Actifs disponibles Lessons Learned 3/ Adapter constamment l allocation entre actifs en fonction de la volatilité récente des marchés Ex : l allocation à l actif risqué aurait varié entre 12% et 100% historiquement 100% 90% Actif sans risque 80% 70% 60% 50% 40% 30% 20% 10% 0% Actif risqué

83 Solution 1 : Gestion en Volatilité Contrôlée Evolution de la volatilité The Process 35% 30% Allocation Volatilité contrôlée Allocation statique Volatilité 3 mo ois glissante 25% 20% 15% 10% 5% Lessons Learned 0%

84 Solution 1 : Gestion en Volatilité Contrôlée Performance cumulée The Process 300 Allocation Volatilité contrôlée Allocation statique ti Lessons Learned

85 Solution 2 : Gestion en perte annuelle maximale Investissement intial : 100 Coussin: «Ce que je peux perdre» Temps Plancher : 90 1 an 31/12/n 31/12/n+1 22

86 Solution 2 : comportement en 2008/2009 Portefeuille Benchmark Exposition risquée (éch. droite) % 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% décembre-07 janvier-08 février-08 mars-08 avril-08 mai-08 juin-08 juillet-08 août-08 septembre-08 octobre-08 novembre-08 décembre-08 janvier-09 février-09 mars-09 avril-09 mai-09 juin-09 juillet-09 août-09 septembre-09 octobre-09 novembre-09 23

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