Relationship between AUM and Alpha in SA mutual funds

Simple item page
dc.contributor.advisorGumede, Lungelo Len_ZA
dc.contributor.authorZiphethe-Makola, Sandiswa Masandeen_ZA
dc.date.accessioned2018-02-07T09:07:28Z
dc.date.available2018-02-07T09:07:28Z
dc.date.issued2017en_ZA
dc.description.abstractAcademics and financial media are divided on whether the size of assets under management (AUM) influences returns. In an attempt to seek clarity in the local context, this study investigates the effect of the size of assets under management on alpha in South African equity mutual funds over the three-year period to 31 December 2015. The study is based on secondary quantitative data reported on the Bloomberg Professional service database that includes mutual fund and benchmark indices, unit prices and fund asset sizes. The research sample comprises 69 South African equity mutual funds that existed for the three-year period under review. In this study, the relationship between AUM size and alpha is examined using the cross-sectional regression approach. No evidence of a linear relationship between AUM size and alpha was observed in the analysis based on the sample data. This finding is consistent with the semi-strong form efficient market hypothesis that securities reflect publicly available information. This finding implies that the exponential growth in AUM experienced in South Africa over the past two decades has neither enhanced nor come at the cost of returns. There does not seem to be a size effect that new investors and fund managers should be aware of.en_ZA
dc.identifier.apacitationZiphethe-Makola, S. M. (2017). <i>Relationship between AUM and Alpha in SA mutual funds</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Research of GSB. Retrieved from http://hdl.handle.net/11427/27368en_ZA
dc.identifier.chicagocitationZiphethe-Makola, Sandiswa Masande. <i>"Relationship between AUM and Alpha in SA mutual funds."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Research of GSB, 2017. http://hdl.handle.net/11427/27368en_ZA
dc.identifier.citationZiphethe-Makola, S. 2017. Relationship between AUM and Alpha in SA mutual funds. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Ziphethe-Makola, Sandiswa Masande AB - Academics and financial media are divided on whether the size of assets under management (AUM) influences returns. In an attempt to seek clarity in the local context, this study investigates the effect of the size of assets under management on alpha in South African equity mutual funds over the three-year period to 31 December 2015. The study is based on secondary quantitative data reported on the Bloomberg Professional service database that includes mutual fund and benchmark indices, unit prices and fund asset sizes. The research sample comprises 69 South African equity mutual funds that existed for the three-year period under review. In this study, the relationship between AUM size and alpha is examined using the cross-sectional regression approach. No evidence of a linear relationship between AUM size and alpha was observed in the analysis based on the sample data. This finding is consistent with the semi-strong form efficient market hypothesis that securities reflect publicly available information. This finding implies that the exponential growth in AUM experienced in South Africa over the past two decades has neither enhanced nor come at the cost of returns. There does not seem to be a size effect that new investors and fund managers should be aware of. DA - 2017 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2017 T1 - Relationship between AUM and Alpha in SA mutual funds TI - Relationship between AUM and Alpha in SA mutual funds UR - http://hdl.handle.net/11427/27368 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/27368
dc.identifier.vancouvercitationZiphethe-Makola SM. Relationship between AUM and Alpha in SA mutual funds. [Thesis]. University of Cape Town ,Faculty of Commerce ,Research of GSB, 2017 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/27368en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentResearch of GSBen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherDevelopment Financeen_ZA
dc.titleRelationship between AUM and Alpha in SA mutual fundsen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
thesis_com_2017_ziphethe_makola_sandiswa_masande.pdf
Size:
2.24 MB
Format:
Adobe Portable Document Format
Description:
Download
Collections
Masters