Asset allocation and Regulation 28

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dc.contributor.advisorVan Rensburg, Paulen_ZA
dc.contributor.authorMjebeza, Athenkosien_ZA
dc.date.accessioned2016-07-21T14:05:59Z
dc.date.available2016-07-21T14:05:59Z
dc.date.issued2016en_ZA
dc.description.abstractThis paper aims to determine the impact Regulation 28 has on optimal asset allocation. The revised Regulation 28 of the pensions fund act came into effect as of 1 July 2011 which imposed certain restrictions or constraints on pension funds under direct control of trustees. This study evaluates some of the constraints imposed on the Regulation 28 through the use of Markowitz (1952) efficient frontier framework and a non-parametric model. With offshore allocation increased to 25% and an additional 5% to African (ex SA) markets the study also explores the diversification prospects to international, emerging and African (exSA) markets. The findings suggest that international markets bring about increase benefits to South African markets; however, when the Regulation 28 constraint is imposed the benefits slightly diminishes. Further analysis show that emerging and African markets bring little to no benefits to optimal South African pension fund allocation. Locally, the study looked at the gold index and the findings suggest that the gold asset class increases the welfare of an investor and it's a safe haven asset class.en_ZA
dc.identifier.apacitationMjebeza, A. (2016). <i>Asset allocation and Regulation 28</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/20586en_ZA
dc.identifier.chicagocitationMjebeza, Athenkosi. <i>"Asset allocation and Regulation 28."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2016. http://hdl.handle.net/11427/20586en_ZA
dc.identifier.citationMjebeza, A. 2016. Asset allocation and Regulation 28. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Mjebeza, Athenkosi AB - This paper aims to determine the impact Regulation 28 has on optimal asset allocation. The revised Regulation 28 of the pensions fund act came into effect as of 1 July 2011 which imposed certain restrictions or constraints on pension funds under direct control of trustees. This study evaluates some of the constraints imposed on the Regulation 28 through the use of Markowitz (1952) efficient frontier framework and a non-parametric model. With offshore allocation increased to 25% and an additional 5% to African (ex SA) markets the study also explores the diversification prospects to international, emerging and African (exSA) markets. The findings suggest that international markets bring about increase benefits to South African markets; however, when the Regulation 28 constraint is imposed the benefits slightly diminishes. Further analysis show that emerging and African markets bring little to no benefits to optimal South African pension fund allocation. Locally, the study looked at the gold index and the findings suggest that the gold asset class increases the welfare of an investor and it's a safe haven asset class. DA - 2016 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2016 T1 - Asset allocation and Regulation 28 TI - Asset allocation and Regulation 28 UR - http://hdl.handle.net/11427/20586 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/20586
dc.identifier.vancouvercitationMjebeza A. Asset allocation and Regulation 28. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2016 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/20586en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Finance and Taxen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinance and Taxen_ZA
dc.titleAsset allocation and Regulation 28en_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
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