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En effet, si la réplication d’un indice pondéré selon la capitalisation boursière peut souvent être considérée comme une approche « buy and hold » caractérisée par une activité de portefeuille limitée, une allocation explicite aux facteurs conduit nécessairement à un trading plus dynamique.",[],{"nodeType":942,"data":943,"key":944},"break",{},"break-0-0",{"nodeType":942,"data":946,"key":947},{},"break-0-1",{"nodeType":17,"data":949,"value":950,"marks":951},{},"Dans un indice pondéré selon la capitalisation boursière, les pondérations fluctuent naturellement avec les prix des titres qui constituent l’indice, et la composition du portefeuille n’évolue qu’en cas de changements importants dans la capitalisation du flottant ou dans l’actualité des entreprises (fusion, scission, entrée ou sortie de Bourse, etc.).",[],{"nodeType":942,"data":953,"key":954},{},"break-0-2",{"nodeType":942,"data":956,"key":957},{},"break-0-3",{"nodeType":17,"data":959,"value":960,"marks":961},{},"En revanche, les stratégies d’investissement factoriel affichent une rotation fréquente en raison du rééquilibrage périodique nécessaire pour conserver une exposition optimale aux primes visées, telles que la valorisation, le momentum, la faible volatilité ou la qualité. Cette rotation nécessaire conduit de nombreux universitaires et investisseurs à se demander si les solutions factorielles valent vraiment le coup compte tenu des coûts de trading plus élevés associés à ces stratégies.",[],{"nodeType":942,"data":963,"key":964},{},"break-0-4",{"nodeType":942,"data":966,"key":967},{},"break-0-5",{"nodeType":17,"data":969,"value":970,"marks":971},{},"Ainsi, une étude récente",[],{"nodeType":973,"data":974,"content":981},"embedded-entry-inline",{"target":975,"type":978,"props":979},{"sys":976},{"id":977,"type":396,"linkType":546},"4Jx7VjgqsQKtV3cqvNzA3w","superscript",{"text":980},"1",[],{"nodeType":17,"data":983,"value":984,"marks":985},{}," réalisée par Research Affiliates souligne l’écart important entre les rendements factoriels générés par les gérants de fonds communs de placement et les rendements théoriques qui auraient été obtenus par des portefeuilles virtuels sur la période 1991-2016. Les auteurs attribuent cet écart à différents coûts liés à la mise en œuvre, notamment les coûts de trading.",[],{"nodeType":942,"data":987,"key":988},{},"break-2-0",{"nodeType":942,"data":990,"key":991},{},"break-2-1",{"nodeType":17,"data":993,"value":994,"marks":995},{},"Dans un livre blanc publié en 2016",[],{"nodeType":973,"data":997,"content":1003},{"target":998,"type":978,"props":1001},{"sys":999},{"id":1000,"type":396,"linkType":546},"1sjWPwbBFrLawHvShInqGK",{"text":1002},"2",[],{"nodeType":17,"data":1005,"value":1006,"marks":1007},{},", Joop Huij et Georgi Kyosev, de l’équipe de recherche quantitative de Robeco, ont spécifiquement mis en garde contre les coûts élevés de rééquilibrage associés à la réplication d’indices smart bêta courants. Ayant analysé l’impact des modifications de la composition de deux indices bien connus, ils ont découvert que ces coûts étaient en réalité plus élevés qu’à première vue, car le processus de rééquilibrage se traduit aussi par des performances d’indice plus faibles. C’est parce que les stratégies qui suivent des indices publiquement disponibles, pour lesquels les changements sont annoncés à l’avance, ont tendance à acheter des titres dont le cours vient de monter et à vendre ceux dont le cours vient de baisser.",[],{"nodeType":942,"data":1009,"key":1010},{},"break-4-0",{"nodeType":942,"data":1012,"key":1013},{},"break-4-1",{"nodeType":17,"data":1015,"value":1016,"marks":1017},{},"Plus généralement, une étude réalisée par FTSE Russell en 2016 suggère qu’en matière d’allocation factorielle, la rotation excessive du portefeuille arrive au quatrième rang des inquiétudes des investisseurs.",[],{"alignment":1019},"100 Center",{"id":71,"quote":1021,"design":1023,"type":70},{"quote":1022},"La rotation peut être réduite sans trop peser sur les performances brutes, mais jusqu’à un certain point seulement.",{},{"id":73,"title":1025,"text":1026,"design":1044,"type":67},"Réduire la rotation sans la supprimer",{"nodeType":9,"data":1027,"content":1028},{},[1029],{"nodeType":13,"data":1030,"content":1031},{},[1032,1036,1038,1040],{"nodeType":17,"data":1033,"value":1034,"marks":1035},{},"Mais si le risque de rotation excessive ne doit pas être ignoré, il ne doit pas non plus être exagéré. En fait, il est possible de considérablement réduire la rotation sans trop peser sur les performances. Les travaux de recherche interne de Robeco montrent que lorsque les investisseurs commencent à conserver plus longtemps en portefeuille des titres présentant des caractéristiques factorielles moins intéressantes, les coûts de trading ont tendance à baisser plus vite que le rendement brut. Résultat, le ratio rendement net/risque a tendance à augmenter lorsque la rotation commence à diminuer.",[],{"nodeType":942,"data":1037,"key":944},{},{"nodeType":942,"data":1039,"key":947},{},{"nodeType":17,"data":1041,"value":1042,"marks":1043},{},"Cette conclusion ne signifie pas que les changements au sein du portefeuille doivent être minimisés. La rotation peut être réduite sans trop peser sur les performances brutes, mais jusqu’à un certain point seulement. Et les performances brutes ont également tendance à chuter rapidement si l’on conserve trop longtemps en portefeuille des titres peu intéressants et si le rééquilibrage est trop fréquent. Les investisseurs doivent par conséquent trouver le compromis optimal entre l’exposition aux facteurs et les coûts de rééquilibrage afin de maximiser la performance après coûts.",[],{"alignment":1019},{"id":75,"title":1046,"text":1047,"design":1101,"type":67},"Techniques courantes",{"nodeType":9,"data":1048,"content":1049},{},[1050],{"nodeType":13,"data":1051,"content":1052},{},[1053,1057,1059,1061,1065,1067,1069,1073,1075,1077,1081,1089,1093,1095,1097],{"nodeType":17,"data":1054,"value":1055,"marks":1056},{},"Il existe de nombreuses façons de réduire et de contrôler la rotation de portefeuille et elles peuvent être appliquées à toutes les formes de stratégie factorielle. La plus évidente consiste à définir et ajuster un intervalle fixe de rééquilibrage afin de réévaluer plus ou moins fréquemment les expositions aux facteurs. Une autre option consiste à laisser un portefeuille s’éloigner plus ou moins de sa composition idéale si les expositions aux facteurs sont prises en compte et les coûts de mise en œuvre négligés. Plus l’écart toléré sera important, plus le risque de rotation baissera.",[],{"nodeType":942,"data":1058,"key":944},{},{"nodeType":942,"data":1060,"key":947},{},{"nodeType":17,"data":1062,"value":1063,"marks":1064},{},"Outre ces techniques générales largement utilisées par les gérants et les fournisseurs d’indices, il existe des manières plus spécifiques aux stratégies de réduire la rotation. Des études empiriques réalisées sur le phénomène d’inversion à court terme, largement documenté dans la littérature académique, en fournissent une bonne illustration.",[],{"nodeType":942,"data":1066,"key":954},{},{"nodeType":942,"data":1068,"key":957},{},{"nodeType":17,"data":1070,"value":1071,"marks":1072},{},"Les stratégies d’inversion à court terme exploitent le fait que les titres qui enregistrent d’importants gains ou pertes au cours d’un mois ont tendance à inverser cette tendance le mois suivant. Cependant, de nombreux investisseurs restent sceptiques car ce type d’approche est associé à une rotation considérable, puisqu’en général, les signaux changent complètement tous les mois.",[],{"nodeType":942,"data":1074,"key":964},{},{"nodeType":942,"data":1076,"key":967},{},{"nodeType":17,"data":1078,"value":1079,"marks":1080},{},"Mais un article de 2011",[],{"nodeType":973,"data":1082,"content":1088},{"target":1083,"type":978,"props":1086},{"sys":1084},{"id":1085,"type":396,"linkType":546},"73nWOZkqOFhBvoM0qjgYrv",{"text":1087},"3",[],{"nodeType":17,"data":1090,"value":1091,"marks":1092},{}," rédigé par Wilma de Groot, Joop Huij et Weili Zhou, de l’équipe de recherche quantitative de Robeco, a montré que les coûts de transaction élevés engagés dans beaucoup de stratégies d’investissement mises en œuvre sur le marché boursier américain pourraient être en grande partie imputables au trading excessif des petites capitalisations. Les coûts de trading pourraient donc être considérablement réduits en limitant l’univers des titres aux grandes capitalisations. De même, il est possible de trouver d’autres façons de réduire la rotation pour différents types de stratégies quantitatives.",[],{"nodeType":942,"data":1094,"key":988},{},{"nodeType":942,"data":1096,"key":991},{},{"nodeType":17,"data":1098,"value":1099,"marks":1100},{},"Toutes les stratégies quantitatives de Robeco utilisent des processus de construction de portefeuille conçus pour limiter le trading et maîtriser les coûts de transaction, à l’aide d’une approche de classement des titres. Ce genre de méthode est moins sensible à l’évolution des paramètres de marché. De plus, pour les marchés du crédit, où l’immédiateté des marchés actions n’existe pas et où le contrôle des coûts de transaction s’avère plus difficile(4), nous avons élaboré un processus d’investissement spécifique dans lequel la gestion de la liquidité est en fait intégrée au processus même de construction de portefeuille. Cela nous permet de n’envoyer que les ordres dont la probabilité d’être exécutés est élevée.",[],{"alignment":1019},{"id":77,"text":1103,"design":1183,"type":67},{"nodeType":9,"data":1104,"content":1105},{},[1106,1114],{"nodeType":1107,"data":1108,"content":1109},"heading-3",{},[1110],{"nodeType":17,"data":1111,"value":1112,"marks":1113},{},"Notes de bas de page",[],{"nodeType":13,"data":1115,"content":1116},{},[1117,1120,1126,1130,1138,1140,1146,1149,1157,1160,1163,1169,1172,1180],{"nodeType":17,"data":1118,"value":32,"marks":1119},{},[],{"nodeType":973,"data":1121,"content":1125},{"target":1122,"type":978,"props":1124},{"sys":1123},{"id":977,"type":396,"linkType":546},{"text":980},[],{"nodeType":17,"data":1127,"value":1128,"marks":1129},{}," ",[],{"nodeType":904,"data":1131,"content":1133},{"uri":1132},"https://www.researchaffiliates.com/en_us/publications/articles/601-the-incredible-shrinking-factor-return.html",[1134],{"nodeType":17,"data":1135,"value":1136,"marks":1137},{},"Lire l’article sur les performances des fonds communs",[],{"nodeType":942,"data":1139,"key":1010},{},{"nodeType":973,"data":1141,"content":1145},{"target":1142,"type":978,"props":1144},{"sys":1143},{"id":1000,"type":396,"linkType":546},{"text":1002},[],{"nodeType":17,"data":1147,"value":1128,"marks":1148},{},[],{"nodeType":904,"data":1150,"content":1152},{"uri":1151},"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2846982&download=yes",[1153],{"nodeType":17,"data":1154,"value":1155,"marks":1156},{},"Lire l’article de recherche sur les conséquences du rééquilibrage pour SSRN",[],{"nodeType":17,"data":1158,"value":1128,"marks":1159},{},[],{"nodeType":942,"data":1161,"key":1162},{},"break-8-0",{"nodeType":973,"data":1164,"content":1168},{"target":1165,"type":978,"props":1167},{"sys":1166},{"id":1085,"type":396,"linkType":546},{"text":1087},[],{"nodeType":17,"data":1170,"value":1128,"marks":1171},{},[],{"nodeType":904,"data":1173,"content":1175},{"uri":1174},"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1963131",[1176],{"nodeType":17,"data":1177,"value":1178,"marks":1179},{},"Lire l’article de recherche sur SSRN",[],{"nodeType":17,"data":1181,"value":32,"marks":1182},{},[],{"alignment":1019}]