Concentration in the South African equity market and its implied restrictions on the long only equity fund manager's opportunity set

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dc.contributor.author Raubenheimer, Heidi
dc.date.accessioned 2018-02-12T11:27:49Z
dc.date.available 2018-02-12T11:27:49Z
dc.date.issued 2010
dc.identifier.citation Raubenheimer, H. (2010). Concentration in the South African equity market and its implied restrictions on the long only equity fund manager's opportunity set. South African Journal of Business Management, 41(4), 1-10.
dc.identifier.uri http://hdl.handle.net/11427/27543
dc.description.abstract South Africa‟s Equity market provides a large (in terms of volume) but concentrated investment environment. Domestic pension funds are restricted from diversifying globally and are thus faced with a restricted set of investment opportunities. This article describes and quantifies the extent of the concentration on the JSE historically and at present. The article describes the consequent limitations on long-only equity portfolio construction and the implications for the domestic long-only fund manager subject to various active weight limits. The analysis shows that the higher the allowable active bet sizes, the less consistently asset managers are able to implement their views and the less symmetric their response to forecasted excess returns can be. Consequently, the less competitive a long-only fund manager can be alongside hedge funds and similarly constrained long-short managers.
dc.source South African Journal of Business Management
dc.source.uri https://journals.co.za/content/journal/busman
dc.title Concentration in the South African equity market and its implied restrictions on the long only equity fund manager's opportunity set
dc.type Journal Article
dc.date.updated 2016-01-13T11:30:58Z
dc.publisher.institution University of Cape Town
dc.publisher.faculty Graduate School of Business
dc.publisher.department Graduate School of Business
uct.type.filetype Text
uct.type.filetype Image


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