L'art comme outil de diversification de portefeuille

Abstract

The relatively poor financial performance of traditional asset classes such as stocks and bonds as observed these recent years has led to an increasing interest in alternative assets such as real estate, gold and hedge funds, as well as in emotional assets such as luxury watches, wine and art. Art and particularly paintings regularly make the headlines with prices beating new auction records each year. But, as mentioned by the most recent art report of Artprice (2014), very expensive paintings only represent 0.6% of total lots sold and thus may introduce a representativeness bias in the mind of uninitiated investors. The object of this thesis is to investigate the performance of art (i.e. paintings) in terms of risk-return tradeoff as well as its potential as a portfolio diversification tool. The thesis is intended to provide an in-depth analysis of painting and its major segments, its relative performance against traditional asset classes as well as its rationale for diversification purpose. By using the most comprehensive art indices database currently available, we first found that some painting movements and periods together with artists’ native countries are associated with heterogeneous risk and return characteristics, and that some art categories are weakly correlated. As a result, and by applying the Markowitz mean-variance framework, we demonstrated that it is possible to achieve diversification by acquiring various painting types, and that a better efficient frontier could be reached by investing in artworks produced by artists from different countries rather than by investing in different painting movements and periods. Particularly, Spanish art, American art and British art seem to be the most attractive categories to achieve the highest Sharpe ratio. By applying a lagged-CAPM analysis, we then found that art could be seen as a "safe haven", its beta being weakly negative with the global stock market. Finally, our comparison between art and traditional asset classes led us to believe that painting performed quite well during the last 16 years, and that masterpieces outperformed intermediate artworks. Even if our analysis of the transaction costs’ impact led us to mitigate our findings, we showed that art – thanks to its very weak correlation with traditional asset classes – can still be used to diversify a mixed portfolio.