Ex-ante evaluation of investment performance fees using spread options

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dc.contributor.advisorVan Biljon, Andrewen_ZA
dc.contributor.authorDube, Tinashe Alisonen_ZA
dc.date.accessioned2018-01-29T07:27:29Z
dc.date.available2018-01-29T07:27:29Z
dc.date.issued2017en_ZA
dc.description.abstractThis 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.en_ZA
dc.identifier.apacitationDube, T. A. (2017). <i>Ex-ante evaluation of investment performance fees using spread options</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/27070en_ZA
dc.identifier.chicagocitationDube, Tinashe Alison. <i>"Ex-ante evaluation of investment performance fees using spread options."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2017. http://hdl.handle.net/11427/27070en_ZA
dc.identifier.citationDube, T. 2017. Ex-ante evaluation of investment performance fees using spread options. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Dube, Tinashe Alison AB - 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. DA - 2017 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2017 T1 - Ex-ante evaluation of investment performance fees using spread options TI - Ex-ante evaluation of investment performance fees using spread options UR - http://hdl.handle.net/11427/27070 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/27070
dc.identifier.vancouvercitationDube TA. Ex-ante evaluation of investment performance fees using spread options. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2017 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/27070en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleEx-ante evaluation of investment performance fees using spread optionsen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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