An analysis of the risk adjusted returns of active versus passive South African general equity unit trusts during varying economic periods: an individual investor's perspective
- Authors: Ferreira, James Stuart
- Date: 2015
- Subjects: Mutual funds , Global Financial Crisis, 2008-2009 , Risk assessment , Financial crises -- South Africa , Portfolio management , Financial planners
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:1207 , http://hdl.handle.net/10962/d1019753
- Description: This thesis used the events of the 2007 financial crisis as a means of being able to add to the research already done on South African unit trusts. The objective was to study the risk-adjusted performance of South African general equity unit trusts against the market during the period between 2005 and 2014. This period took into account the bull market preceding the financial crisis, the market crash of 2007 and the subsequent market recovery that followed. Data was obtained online through the I-Net BFA data base and included 161 general equity unit trusts that contained a full data set. In addition to the general equity unit trusts, the Satrix40 was studied to compare a passive unit trust against those that are actively managed. The 10 year Government bond was also used as a risk-free rate to add to the comparisons of performance results. The Sharpe, Treynor and Jensen measures were applied to the data with the results adding more support to the opinions that markets are fairly efficient and active investment strategies are being challenged by consistently well performing passive investments. Throughout the duration of the study, taking into account the varying economic cycles, the Satrix40 passive investment showed the best average overall return on simple return calculations as well as during the risk-adjusted measurements. In support of active investment management, unit trusts showed their best relative performance figures during the period of the financial crisis. This suggested that active financial managers were able to make the active calls necessary to weather the storm of the financial crisis. While the study did have its limitations, the results it produced are intended to offer investors further knowledge in enabling them to make more educated investment decisions in the future.
- Full Text:
- Date Issued: 2015
- Authors: Ferreira, James Stuart
- Date: 2015
- Subjects: Mutual funds , Global Financial Crisis, 2008-2009 , Risk assessment , Financial crises -- South Africa , Portfolio management , Financial planners
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:1207 , http://hdl.handle.net/10962/d1019753
- Description: This thesis used the events of the 2007 financial crisis as a means of being able to add to the research already done on South African unit trusts. The objective was to study the risk-adjusted performance of South African general equity unit trusts against the market during the period between 2005 and 2014. This period took into account the bull market preceding the financial crisis, the market crash of 2007 and the subsequent market recovery that followed. Data was obtained online through the I-Net BFA data base and included 161 general equity unit trusts that contained a full data set. In addition to the general equity unit trusts, the Satrix40 was studied to compare a passive unit trust against those that are actively managed. The 10 year Government bond was also used as a risk-free rate to add to the comparisons of performance results. The Sharpe, Treynor and Jensen measures were applied to the data with the results adding more support to the opinions that markets are fairly efficient and active investment strategies are being challenged by consistently well performing passive investments. Throughout the duration of the study, taking into account the varying economic cycles, the Satrix40 passive investment showed the best average overall return on simple return calculations as well as during the risk-adjusted measurements. In support of active investment management, unit trusts showed their best relative performance figures during the period of the financial crisis. This suggested that active financial managers were able to make the active calls necessary to weather the storm of the financial crisis. While the study did have its limitations, the results it produced are intended to offer investors further knowledge in enabling them to make more educated investment decisions in the future.
- Full Text:
- Date Issued: 2015
The impact of portfolio investment on economic growth in South Africa
- Authors: Tenderere, Morris
- Date: 2015-01
- Subjects: Investments, Foreign -- South Africa , Portfolio management , Capital market
- Language: English
- Type: text
- Identifier: http://hdl.handle.net/10353/25603 , vital:64338
- Description: The main objective of this study was to investigate the impact of foreign portfolio investmenton economic growth in South Africa. South Africa, just like other several developing countries has recorded large capital inflows in recent years, reversing a trend of outflows. Much of this new capital inflow has been in the form of portfolio investment. This has been attributed to large domestic capital markets in South Africa. This surge in portfolio flows has raised the question whether these flows will be sustained or will instead be reversed in the near future. Some observers argue that the recent flows are inherently unsustainable because in many cases they have short maturities. In light of this, this study, then, sought to establish the impact of portfolio investment on economic growth in South Africa. The study used annual data from 1990 to 2012. The data was tested for stationarity using the Phillips Perron and Augmented Dickey–Fuller tests. This was followed by cointegration, after which thevector error correction modelling was carried out. Diagnostic checks, impulse response and variable decomposition were also conducted. Estimation results revealed that there is a positive relationship between foreign portfolio investments and economic growth in South Africa. The study recommended that the SARB and the government should remove all impediments that make it hard for foreign investors to invest in South Africa. The SARB should also keep interest rates at a rate that is high enough to attract foreign portfolios into South Africa. , Thesis (MCom) -- Faculty of Management and Commerce, 2015
- Full Text:
- Date Issued: 2015-01
- Authors: Tenderere, Morris
- Date: 2015-01
- Subjects: Investments, Foreign -- South Africa , Portfolio management , Capital market
- Language: English
- Type: text
- Identifier: http://hdl.handle.net/10353/25603 , vital:64338
- Description: The main objective of this study was to investigate the impact of foreign portfolio investmenton economic growth in South Africa. South Africa, just like other several developing countries has recorded large capital inflows in recent years, reversing a trend of outflows. Much of this new capital inflow has been in the form of portfolio investment. This has been attributed to large domestic capital markets in South Africa. This surge in portfolio flows has raised the question whether these flows will be sustained or will instead be reversed in the near future. Some observers argue that the recent flows are inherently unsustainable because in many cases they have short maturities. In light of this, this study, then, sought to establish the impact of portfolio investment on economic growth in South Africa. The study used annual data from 1990 to 2012. The data was tested for stationarity using the Phillips Perron and Augmented Dickey–Fuller tests. This was followed by cointegration, after which thevector error correction modelling was carried out. Diagnostic checks, impulse response and variable decomposition were also conducted. Estimation results revealed that there is a positive relationship between foreign portfolio investments and economic growth in South Africa. The study recommended that the SARB and the government should remove all impediments that make it hard for foreign investors to invest in South Africa. The SARB should also keep interest rates at a rate that is high enough to attract foreign portfolios into South Africa. , Thesis (MCom) -- Faculty of Management and Commerce, 2015
- Full Text:
- Date Issued: 2015-01
Statistical comparison of international size-based equity index using a mixture distribution
- Authors: Ngundze, Unathi
- Date: 2011
- Subjects: Mixture distributions (Probability theory) , Finance -- Statistics , Investment analysis , Portfolio management
- Language: English
- Type: Thesis , Masters , MSc
- Identifier: vital:10576 , http://hdl.handle.net/10948/d1012367 , Mixture distributions (Probability theory) , Finance -- Statistics , Investment analysis , Portfolio management
- Description: Investors and financial analysts spend an inordinate amount of time, resources and effort in an attempt to perfect the science of maximising the level of financial returns. To this end, the field of distribution modelling and analysis of firm size effect is important as an investment analysis and appraisal tool. Numerous studies have been conducted to determine which distribution best fits stock returns (Mandelbrot, 1963; Fama, 1965 and Akgiray and Booth, 1988). Analysis and review of earlier research has revealed that researchers claim that the returns follow a normal distribution. However, the findings have not been without their own limitations in terms of the empirical results in that many also say that the research done does not account for the fat tails and skewness of the data. Some research studies dealing with the anomaly of firm size effect have led to the conclusion that smaller firms tend to command higher returns relative to their larger counterparts with a similar risk profile (Banz, 1981). Recently, Janse van Rensburg et al. (2009a) conducted a study in which both non- normality of stock returns and firm size effect were addressed simultaneously. They used a scale mixture of two normal distributions to compare the stock returns of large capitalisation and small capitalisation shares portfolios. The study concluded that in periods of high volatility, the small capitalisation portfolio is far more risky than the large capitalisation portfolio. In periods of low volatility they are equally risky. Janse van Rensburg et al. (2009a) identified a number of limitations to the study. These included data problems, survivorship bias, exclusion of dividends, and the use of standard statistical tests in the presence of non-normality. They concluded that it was difficult to generalise findings because of the use of only two (limited) portfolios. In the extension of the research, Janse van Rensburg (2009b) concluded that a scale mixture of two normal distributions provided a more superior fit than any other mixture. The scope of this research is an extension of the work by Janse van Rensburg et al. (2009a) and Janse van Rensburg (2009b), with a view to addressing several of the limitations and findings of the earlier studies. The Janse van rensburg (2009b) study was based on data from the Johannesburg Stock Exchange (JSE); this study seeks to compare their research by looking at the New York Stock Exchange (NYSE) to determine if similar results occur in developed markets. For analysis purposes, this study used the statistical software package R (R Development Core Team 2008) and its package mixtools (Young, Benaglia, Chauveau, Elmore, Hettmansperg, Hunter, Thomas, Xuan 2008). Some computation was also done using Microsoft Excel. This dissertation is arranged as follows: Chapter 2 is a literature review of some of the baseline studies and research that supports the conclusion that earlier research finding had serious limitations. Chapter 3 describes the data used in the study and gives a breakdown of portfolio formation and the methodology used in the study. Chapter 4 provides the statistical background of the methods used in this study. Chapter 5 presents the statistical analysis and distribution fitting of the data. Finally, Chapter 6 gives conclusions drawn from the results obtained in the analysis of data as well as recommendations for future work.
- Full Text:
- Date Issued: 2011
- Authors: Ngundze, Unathi
- Date: 2011
- Subjects: Mixture distributions (Probability theory) , Finance -- Statistics , Investment analysis , Portfolio management
- Language: English
- Type: Thesis , Masters , MSc
- Identifier: vital:10576 , http://hdl.handle.net/10948/d1012367 , Mixture distributions (Probability theory) , Finance -- Statistics , Investment analysis , Portfolio management
- Description: Investors and financial analysts spend an inordinate amount of time, resources and effort in an attempt to perfect the science of maximising the level of financial returns. To this end, the field of distribution modelling and analysis of firm size effect is important as an investment analysis and appraisal tool. Numerous studies have been conducted to determine which distribution best fits stock returns (Mandelbrot, 1963; Fama, 1965 and Akgiray and Booth, 1988). Analysis and review of earlier research has revealed that researchers claim that the returns follow a normal distribution. However, the findings have not been without their own limitations in terms of the empirical results in that many also say that the research done does not account for the fat tails and skewness of the data. Some research studies dealing with the anomaly of firm size effect have led to the conclusion that smaller firms tend to command higher returns relative to their larger counterparts with a similar risk profile (Banz, 1981). Recently, Janse van Rensburg et al. (2009a) conducted a study in which both non- normality of stock returns and firm size effect were addressed simultaneously. They used a scale mixture of two normal distributions to compare the stock returns of large capitalisation and small capitalisation shares portfolios. The study concluded that in periods of high volatility, the small capitalisation portfolio is far more risky than the large capitalisation portfolio. In periods of low volatility they are equally risky. Janse van Rensburg et al. (2009a) identified a number of limitations to the study. These included data problems, survivorship bias, exclusion of dividends, and the use of standard statistical tests in the presence of non-normality. They concluded that it was difficult to generalise findings because of the use of only two (limited) portfolios. In the extension of the research, Janse van Rensburg (2009b) concluded that a scale mixture of two normal distributions provided a more superior fit than any other mixture. The scope of this research is an extension of the work by Janse van Rensburg et al. (2009a) and Janse van Rensburg (2009b), with a view to addressing several of the limitations and findings of the earlier studies. The Janse van rensburg (2009b) study was based on data from the Johannesburg Stock Exchange (JSE); this study seeks to compare their research by looking at the New York Stock Exchange (NYSE) to determine if similar results occur in developed markets. For analysis purposes, this study used the statistical software package R (R Development Core Team 2008) and its package mixtools (Young, Benaglia, Chauveau, Elmore, Hettmansperg, Hunter, Thomas, Xuan 2008). Some computation was also done using Microsoft Excel. This dissertation is arranged as follows: Chapter 2 is a literature review of some of the baseline studies and research that supports the conclusion that earlier research finding had serious limitations. Chapter 3 describes the data used in the study and gives a breakdown of portfolio formation and the methodology used in the study. Chapter 4 provides the statistical background of the methods used in this study. Chapter 5 presents the statistical analysis and distribution fitting of the data. Finally, Chapter 6 gives conclusions drawn from the results obtained in the analysis of data as well as recommendations for future work.
- Full Text:
- Date Issued: 2011
Developing risk management strategies for stock market investment portfolio management
- Authors: Grant, Peter
- Date: 2004
- Subjects: Stocks , Risk management , Portfolio management , Investments , Securities
- Language: English
- Type: Thesis , Masters , MBA
- Identifier: vital:10936 , http://hdl.handle.net/10948/215 , Stocks , Risk management , Portfolio management , Investments , Securities
- Description: This study was conducted to establish whether risk management strategies could be developed to enable stock market investment portfolio managers to reduce the risk involved in stock market trading. The awareness of stock market risk elevates the requirement for risk management strategies as discussed in Chapter 1. The research scope is identified, and an overview of the study gives further guidance as to what lies ahead. The theory behind macroeconomic forces and how they influence share prices is discussed in Chapter 2. It is established that market sectors and companies within those sectors react differently to macroeconomic forces. Technical analysis is discussed as a mechanism to identify buying and selling signals. In Chapter 3, risk management strategies are developed from the literature. The hypothesis of the study as described in Chapter 4 is that these risk management strategies are able to reduce the risk associated with trading in the stock market. The market simulation in Chapter 5 offers the opportunity to observe the risk management strategies at work in a simulated stock market investment portfolio. In Chapter 6, the outcome of the market simulation is compared to the criteria set in Chapter 4, and the conclusion that the risk management strategies were able to reduce the risk involved in stock market trading is drawn.
- Full Text:
- Date Issued: 2004
- Authors: Grant, Peter
- Date: 2004
- Subjects: Stocks , Risk management , Portfolio management , Investments , Securities
- Language: English
- Type: Thesis , Masters , MBA
- Identifier: vital:10936 , http://hdl.handle.net/10948/215 , Stocks , Risk management , Portfolio management , Investments , Securities
- Description: This study was conducted to establish whether risk management strategies could be developed to enable stock market investment portfolio managers to reduce the risk involved in stock market trading. The awareness of stock market risk elevates the requirement for risk management strategies as discussed in Chapter 1. The research scope is identified, and an overview of the study gives further guidance as to what lies ahead. The theory behind macroeconomic forces and how they influence share prices is discussed in Chapter 2. It is established that market sectors and companies within those sectors react differently to macroeconomic forces. Technical analysis is discussed as a mechanism to identify buying and selling signals. In Chapter 3, risk management strategies are developed from the literature. The hypothesis of the study as described in Chapter 4 is that these risk management strategies are able to reduce the risk associated with trading in the stock market. The market simulation in Chapter 5 offers the opportunity to observe the risk management strategies at work in a simulated stock market investment portfolio. In Chapter 6, the outcome of the market simulation is compared to the criteria set in Chapter 4, and the conclusion that the risk management strategies were able to reduce the risk involved in stock market trading is drawn.
- Full Text:
- Date Issued: 2004
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