Browsing by Author "Van Biljon, Andrew"

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    Ex-ante evaluation of investment performance fees using spread options
    (2017) Dube, Tinashe Alison; Van Biljon, Andrew
    This dissertation analyses ex-ante asymmetric performance fee structures used by South African Mutual Funds and estimates performance fees some time before the fees are paid. Certain parties might benefit from having a reasonable estimate of its value. We use spread option theory to value ex-ante performance fees. The data consist of monthly benchmark and fund gross returns from December 1999 to October 2014. The theoretical value of ex-ante performance fees is a function of spread volatility, therefore high spread volatilities give rise to high ex-ante performance fees. Ex-ante performance fee estimates are highly sensitive to the correlation between the fund and benchmark and a low positive correlation gives rise to a high ex-ante performance fee. The distribution of ex-ante performance fees is positively skewed because of the maximum function in the payoff. Ex-ante performance fee estimates obtained are lower than the actual performance fees paid.
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    Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation
    (2006) Singh, Prasheen; Van Biljon, Andrew
    A risk budget is the quantification of an acceptable amount of risk that a pension fund is willing to take in its investment decisions, without significantly sacrificing its ability to meet its current and future liabilities.