Browsing by Author "Firer, Colin"

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    Characterising persistence of performance amongst South African general equity unit trusts
    (2001) Collinet, Lance; Firer, Colin
    This study analyses the relative performance of general equity unit trusts from 1980 to 1999, using a database that has been verified for accuracy and is free of survivorship bias. It characterises the behaviour of performance persistence in order to explain the conflicting results of previous persistence studies and to provide a framework for further research into the causes of persistence. This research shows that the relationship between past and future performance rankings is positive, but weak. The results of persistence studies are highly sensitive to the length of the holding period used to evaluate performance and to the time period covered in the analysis. As the holding period lengthens, the persistence studies are highly sensitive to the length of the holding period used to evaluate performance and to the time period covered in the analysis. As the holding period lengthens, the persistence results become more sensitive to the beginning date and ending date of the period under examination.
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    Identifying and correcting misclassified South African equity trusts using style analysis
    (1999) Robertson, M; Firer, Colin; Bradfield, Dave
    The concept of style analysis is rapidly spreading in the money management business. In addition to it's use in the areas of benchmarking, portfolio structuring, risk control and performance attribution, style analysis has also been shown to be a powerful tool for identifying and evaluating the groupings and classification of investment portfolios. This study is based on an iterative application of William Sharpe's technique of returns-based style analysis. In essence the technique is used to create purified unit trust style indices in order to verify the existing classification of equity unit trusts. The technique is extended for the purpose of confirming the returns-based misclassified funds through testing the fit of combinations of style factor returns derived from a composition-based factor model.
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    Open Access
    Market timing on the Johannesburg Stock Exchange under different market conditions
    (2002) De Chassart, Marc Dumont; Firer, Colin
    The objective of this study is to evaluate the performance and risk characteristics of three market timing strategies, namely traditional, bull and bear timing, and how different market conditions affect these strategies. The market is segmented into bullish and bearish phases and three independent but corroborative studies test how each of the timing strategies perform under the identified market conditions by measuring the returns, the required predictive accuracy and the degree of risk taken. The results of the various studies are compared across the three timing strategies as well as across the different market conditions. This gives an indication of each strategy's performance and risk characteristics. The results of the three studies indicate that potential rewards from market timing are high if perfect forecasting is achieved. This return will also be achieved at a lower level of risk compared to that of the market. However as the forecasting ability falls the advantages of market timing are quickly eroded. The potential returns are not only lower but will generally be achieved at a higher level of risk compared to perfect timing, unless a bull timing strategy is employed. To be guaranteed success at market timing, predictive ability of approximately 80% is required. For timing abilities below this threshold the success and risk profile of such a strategy will largely be dependent on which review periods are incorrectly predicted. For predictive ability below about 60% investors are more likely to under perform the market than to beat it. On a risk adjusted basis this falls to 55% suggesting that investors need at least some level of predictive ability to be successful at market timing. The results also suggest that it is generally more important to predict the bullish periods than the bearish ones. It is also evident that the market condition has a significant effect on all the market timing strategies analysed. When the market is in a bullish phase, extremely high levels of predictive accuracy are required just to have an even chance of beating the index, even to the extent that a bull timing strategy may not outperform the index regardless of the predictive ability. Only on a risk adjusted basis are returns above the market possible, albeit at high levels of predictive accuracy. Evidently, when the market is bullish, market timing is not a viable investment strategy. Nevertheless this study does highlight that there exists pockets of time where market timing may be viable. When the market turns bearish the required forecasting ability necessary to outperform the market falls drastically such that random guesses as to the next review period's performance are more than likely to produce a return above that of the market. Again, market timing during a bearish period achieves returns at a level of risk below that of the index. The studies also give insight as to how each of the strategies themselves perform under the different market conditions. It is clear that, for very high levels of predictive accuracy, traditional timing performs the best on both a nominal and on a risk adjusted basis. However, poor timing using this strategy performs the worst on a nominal basis. Only when risk is taken into account does poor traditional timing outperform poor bull timing.
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    Restricted
    On the market risk premium
    (Bureau for Economic Research, 2002) Firer, Colin; Bradfield, David J
    A perspective is given on the dynamic nature, reliability, and the estimation of the market risk premium, as well as some implications concerning its current level. The analysis is based on a data set spanning some 76 years. An historical ‘best estimate’ of 7,5 percent is suggested for practical use. Furthermore, graphical insights on the dynamic nature of the market risk premium using a rolling estimation approach, reveal a slow decline in the market risk premium.
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    Some properties of silica-supported nickel catalysts
    (1970) Firer, Colin; Linder, Peter W
    A literature survey has been made of earlier work on factors which have been found to influence the catalytic activity of supported metal catalysts. In particular an interaction has been shown to exist between the metal and its support in these catalysts. Two of the important factors which were shown to affect activity are the average metal crystallite size and the fraction of the metal present in a non-metallic form (for example as metal ions) in the catalyst. The earlier work consists almost exclusively of kinetic studies of heterogeneously catalyzed reactions. It is suggested that the conclusions are of a limited value owing to the widespread existence of the compensation effect, the fact that different test reactions may give contrasting results as to the relative activities of a series of catalysts and the belief that only a small fraction of the surface sites of a catalyst is generally involved in a given heterogeneous reaction. The work described in this thesis consists of an investigation of the effects of various factors on the isosteric heat of adsorption of an adsorbate per unit metal area on supported metal catalysts. The heat of adsorption per unit metal area provides a measure of the strength of the bond between the adsorbate and the surface atoms of the adsorbent. It was felt that this approach would give further insight into the factors affecting catalytic activity because the disadvantages, mentioned above, of kinetic studies would be eliminated.