Comment calculer Jensen alpha: mesure performance gestionnaire actif fonds vs CAPM expected. α = R_p - [R_f + β*(R_m - R_f)]. α>0 outperforms (skill); α=0 passive; α<0 underperforms. Michael Jensen 1968 Harvard Journal Finance. CAPM Sharpe 1964 Nobel 1990. France finance recherche: HEC Paris Jouy-en-Josas 1881 grande école business top Europe; ESSEC Cergy 1907; EDHEC Lille 1906; SciencesPo Paris 1872; ENSAE Palaiseau 1942 grande école statistique top quant; Université Paris Dauphine 1968; INSEAD Fontainebleau 1957 international MBA; ESCP Business School Paris 1819 oldest business school world. France banques: BNP Paribas Paris 2000 200000; Crédit Agricole Paris 1894 142000; Société Générale Paris 1864 130000; Crédit Mutuel Strasbourg Lyon 1882 80000; BPCE Paris 2009 105000. France asset management: Amundi Paris 2010 €2T AUM largest European Crédit Agricole subsidiary; BNP Paribas Asset Management Paris €600B AUM; AXA Investment Managers Paris €840B AUM; Société Générale Asset Management Paris; Natixis Investment Managers Paris €1.2T AUM; Carmignac Paris 1989 €40B AUM private value; Comgest Paris 1985 €30B growth;

Tikehau Capital Paris 2004 alternative private equity; Edmond de Rothschild Group Geneva Paris private banking; Rothschild & Co Paris 1838 investment banking advisory; Lazard Frères Paris NYC 1848 investment banking. France pension funds: AGIRC-ARRCO Paris 1947 + ERAFP Paris 2005 + FRR Paris 2001 €25B. France hedge funds: Capital Fund Management Paris 1991 quantitative; Lyxor Paris 1998 alternative subsidiary SocGen acquired Amundi 2021.

Formule Jensen alpha

α = R_p - [R_f + β*(R_m - R_f)]. France: HEC Paris 1881; ESSEC Cergy 1907; SciencesPo 1872; ENSAE Palaiseau 1942; INSEAD Fontainebleau 1957.

Histoire et contexte

Michael Jensen 1968 Harvard. Jensen-Meckling 1976. CAPM Sharpe 1964 + Lintner 1965 + Mossin 1966. Markowitz 1952 MPT. France finance grandes écoles: HEC Paris Jouy-en-Josas 1881 fondée Chambre Commerce Paris top Europe MBA accredited AACSB EQUIS AMBA; ESSEC Cergy 1907 fondée; EDHEC Lille 1906; SciencesPo Paris 1872 fondée École Libre Sciences Politiques; ENSAE École Nationale Statistique Administration Économique Palaiseau 1942 grande école statistique top quantitative finance Banque France; Université Paris Dauphine 1968 top économie management; INSEAD Fontainebleau Singapore 1957 fondée Georges Doriot international MBA; ESCP Business School Paris 1819 fondée oldest business school world Charles Comte; ENS École Normale Supérieure Paris 1794; Polytechnique Palaiseau 1794; Mines Paris 1783. France économistes Nobel: Maurice Allais (France 1911-2010) Polytechnique Nobel Économie 1988; Jean Tirole (France 1953-) Toulouse School Economics Nobel 2014 industrial organization; Esther Duflo (France 1972-) MIT Nobel 2019 pauvreté; Gérard Debreu (France-USA 1921-2004) UCLA Berkeley Nobel 1983 Walrasian général equilibrium. France banques: BNP Paribas Paris 2000 fusion BNP + Paribas + Fortis Belgium 200000 worldwide largest French; Crédit Agricole Paris 1894 fondée originally agricultural cooperative 142000 + Italy CA Italia + LCL Le Crédit Lyonnais; Société Générale Paris 1864 fondée 130000; Crédit Mutuel Strasbourg Lyon 1882 80000 cooperative;

BPCE Banque Populaire Caisse Épargne Paris 2009 fusion 105000 + Natixis subsidiary; La Banque Postale Paris 2006 founded; HSBC France Paris subsidiary; Goldman Sachs Paris office. France asset management mutual funds: Amundi Paris 2010 fondata fusion Société Générale + Crédit Agricole 5000 employees €2T AUM largest European acquired Pioneer Investments 2017; BNP Paribas Asset Management Paris €600B AUM; AXA Investment Managers Paris €840B AUM AXA insurance subsidiary; Société Générale Asset Management Paris; Natixis Investment Managers Paris 5500 €1.2T AUM Coalición Affiliated Investment Managers Loomis Sayles Harris Mirae; Carmignac Paris 1989 fondata Edouard Carmignac €40B AUM private value investing Carmignac Patrimoine; Comgest Paris 1985 fondata €30B AUM growth investing emerging markets; Tikehau Capital Paris 2004 fondata Mathieu Chabran Antoine Flamarion alternative private equity €40B AUM; Edmond de Rothschild Group Geneva Paris private banking; Rothschild & Co Paris 1838 investment banking advisory; Lazard Frères Paris NYC 1848 investment banking advisory M&A; CIC Crédit Industriel Commercial Paris 1859. France pension funds: AGIRC-ARRCO Paris 1947 fondé retraites complémentaires obligatoires salariés; ERAFP Établissement Retraite Additionnelle Fonction Publique Paris 2005 fonctionnaires; FRR Fonds Réserve Retraites Paris 2001 €25B Caisse Dépôts Consignations subsidiary;

CDC Caisse Dépôts Consignations Paris 1816 historic state institution; CNAV Caisse Nationale Assurance Vieillesse Paris pensions. France hedge funds limited: Capital Fund Management Paris 1991 quantitative; Lyxor Asset Management Paris 1998 alternative subsidiary SocGen acquired Amundi 2021. France régulation: AMF Autorité Marchés Financiers Paris 2003 fondée fusion COB + CMF securities regulator 500 employees; ACPR Autorité Contrôle Prudentiel Résolution Paris 2010; Banque France Paris 1800; Euronext Paris 2000 bourse Paris 1801 fondée. France indici: CAC 40 Paris Euronext 40 stocks main index + SBF 250 + CAC Mid 60; CAC 40 historical return 6-8% 2024 vs OAT 10y 3.0-3.3% Rf.

Tableau valeurs Jensen alpha

• α = R_p - [R_f + β*(R_m - R_f)]
• α > 0: outperforms
• α = 0: passive
• α 3-6: good skilled
• α 6-10: excellent
• R_f France OAT 12m: 3.0-3.3% 2024
• R_m France CAC 40: 6-8% historical
• Jensen 1968: Journal Finance 23:389
• Jensen-Meckling 1976: agency
• CAPM Sharpe 1964 Nobel 1990
• Markowitz 1952 MPT
• France HEC Paris 1881: top business
• France ESSEC Cergy 1907
• France SciencesPo Paris 1872
• France ENSAE Palaiseau 1942: quant
• France INSEAD Fontainebleau 1957
• France ESCP Paris 1819: oldest business
• France BNP Paribas 2000: 200000
• France Crédit Agricole 1894: 142000
• France Société Générale 1864: 130000
• France Amundi 2010: €2T AUM largest European
• France BNP Paribas AM: €600B
• France AXA IM: €840B
• France Natixis IM: €1.2T
• France Carmignac 1989: €40B value
• France Tikehau 2004: €40B alternative
• France AGIRC-ARRCO 1947: retraites
• France FRR 2001: €25B
• France AMF Paris 2003: securities
• France Banque France 1800: central bank
• France Allais Polytechnique: Nobel Éco 1988
• France Tirole Toulouse: Nobel Éco 2014
• France Duflo MIT: Nobel Éco 2019

Exemples numériques

Exemple 1 - CAC 40 index. R_p=10% R_f=3% R_m=10% β=1.0. α=0 passive. France: Amundi Paris 2010 €2T; BNP Paribas AM €600B.

Exemple 2 - Active manager positive. R_p=15% β=1.2. α=3.6 good. France: Carmignac Paris 1989 €40B value; Comgest Paris 1985 €30B growth.

Exemple 3 - Underperforming. R_p=7% β=1.0. α=-3 underperforms.

Exemple 4 - Aggressive growth. R_p=20% β=1.5. α=6.5 excellent. France: Capital Fund Management Paris 1991 quant; Tikehau Capital Paris 2004 alternative €40B.

Exemple 5 - Defensive utility. R_p=6% β=0.5. α=-0.5. France utilities: EDF Paris 1946 165000; Engie Paris 2008; TotalEnergies Paris 1924 100000.

Applications pratiques

1. Fund managers: France Amundi Paris 2010 €2T + Carmignac 1989 €40B + Comgest 1985 €30B + Tikehau 2004 €40B alternative.
2. Asset management: BNP Paribas AM €600B + AXA IM €840B + Natixis IM €1.2T + Société Générale AM.
3. Pension funds: AGIRC-ARRCO Paris 1947 + FRR Paris 2001 €25B + ERAFP Paris 2005 + CDC Paris 1816.
4. Hedge funds limited: Capital Fund Management Paris 1991 + Lyxor Paris 1998 acquired Amundi.
5. Private banking: Edmond de Rothschild Geneva Paris + Rothschild & Co Paris 1838 + Lazard Frères Paris 1848 + Indosuez Wealth Management Crédit Agricole.
6. Investment banking: BNP Paribas Paris 2000 + Société Générale Paris 1864 + Lazard Frères 1848 + Rothschild 1838.
7. ETF benchmarking: Lyxor Asset Management Paris 1998 + Amundi ETF Paris.
8. Robo-advisors: France Yomoni Paris 2015 + Nalo Paris 2017 + Birdee Paris.
9. Insurance investment: AXA Paris 1816 200000 + Allianz France subsidiary + Generali France subsidiary + Crédit Agricole Assurances.
10. Universités finance: HEC Paris 1881 + ESSEC Cergy 1907 + INSEAD Fontainebleau 1957 + ENSAE Palaiseau 1942 + Paris Dauphine 1968.

Mis à jour en juillet 2026