Résumés
RÉSUMÉ
Les frais de commission exigés des investisseurs à l’achat des parts de fonds mutuels se situent entre 0 % et 9 % du montant de l’investissement initial. Ils sont souvent considérés comme un signal de qualité ou de performance. En utilisant des mesures traditionnelles de performance (indices de Jensen, de Sharpe et de Treynor), les tests de différences statistiques de Jobson et Korkie et les données mensuelles de 226 fonds mutuels canadiens couvrant la période janvier 1981 à septembre 1987, cette étude révèle qu'il n’y a aucune relation consistante et ferme entre l’exigence de frais de commission et la performance des fonds mutuels. L’efficience du marché des fonds mutuels est ainsi remise en question puisque les fonds mutuels ayant les frais de commission les plus élevés ne réalisent pas une performance significativement supérieure à celle des fonds sans frais.
ABSTRACT
The objective of the present research is to test whether Canadian mutual funds which charge subscription fees achieve higher performance than those which do not, in order to compensate their shareholders for such fees. Indirectly, the research is also a test of the efficiency hypothesis in the mutual funds market.
To compare the performance of mutual funds which charge subscription fees to those that do not, measures such as Jensen's alpha, Sharpe and Treynor indices, have been used, as well as significance tests developed by Jobson and Korkie (1981) on differences of performance measures. The data covered 226 Canadian mutual funds and 75 months from JuIy 1981 to September 1987.
The results show that there is no significant relationship between subscription fees and performance. They confirm the results of past studies that mutual funds who charge subscription fees do not realize better performance than those that do not. That mutual funds which charge subscription fees, in some cases up to 9% of the invested amount, still attract a relatively large volume of individual investors' funds is an indication of a non negligible degree of inefficiency in the Canadian mutual funds market.