Persistence of alpha in South African general equity unit trusts
| dc.contributor.advisor | West, Darron | |
| dc.contributor.author | Hoch, Rowan Andrew | |
| dc.date.accessioned | 2018-07-18T11:28:47Z | |
| dc.date.available | 2018-07-18T11:28:47Z | |
| dc.date.issued | 2015 | |
| dc.date.updated | 2018-07-11T09:47:28Z | |
| dc.description.abstract | The ability of active managers to produce consistent benchmark-beating returns is a topic that has been widely debated with increasing interest over the past decade. The majority of previous studies in which persistence of performance is tested consider a fund's ability to maintain its relative ranking over various time periods amongst its peer group. This study adds to the literature by considering the persistence of alpha, where alpha is defined as the out- or under-performance of a market-related benchmark. Persistence of alpha for South African general equity unit trusts is tested over six-month, one-, two- and three-year formation and holding periods using a similar methodology to that of Collinet & Firer (2003). Alpha is found to persist most prominently in tests of one-year periods, with other period lengths yielding less significant results. Additionally, using the methodology of Malkiel (1995), certain funds which have demonstrated statistically significant persistent alpha over various periods are identified. | |
| dc.identifier.apacitation | Hoch, R. A. (2015). <i>Persistence of alpha in South African general equity unit trusts</i>. (). University of Cape Town ,Faculty of Commerce ,Finance and Tax. Retrieved from http://hdl.handle.net/11427/28316 | en_ZA |
| dc.identifier.chicagocitation | Hoch, Rowan Andrew. <i>"Persistence of alpha in South African general equity unit trusts."</i> ., University of Cape Town ,Faculty of Commerce ,Finance and Tax, 2015. http://hdl.handle.net/11427/28316 | en_ZA |
| dc.identifier.citation | Hoch, R. 2015. Persistence of alpha in South African general equity unit trusts. University of Cape Town. | en_ZA |
| dc.identifier.ris | TY - Thesis / Dissertation AU - Hoch, Rowan Andrew AB - The ability of active managers to produce consistent benchmark-beating returns is a topic that has been widely debated with increasing interest over the past decade. The majority of previous studies in which persistence of performance is tested consider a fund's ability to maintain its relative ranking over various time periods amongst its peer group. This study adds to the literature by considering the persistence of alpha, where alpha is defined as the out- or under-performance of a market-related benchmark. Persistence of alpha for South African general equity unit trusts is tested over six-month, one-, two- and three-year formation and holding periods using a similar methodology to that of Collinet & Firer (2003). Alpha is found to persist most prominently in tests of one-year periods, with other period lengths yielding less significant results. Additionally, using the methodology of Malkiel (1995), certain funds which have demonstrated statistically significant persistent alpha over various periods are identified. DA - 2015 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2015 T1 - Persistence of alpha in South African general equity unit trusts TI - Persistence of alpha in South African general equity unit trusts UR - http://hdl.handle.net/11427/28316 ER - | en_ZA |
| dc.identifier.uri | http://hdl.handle.net/11427/28316 | |
| dc.identifier.vancouvercitation | Hoch RA. Persistence of alpha in South African general equity unit trusts. []. University of Cape Town ,Faculty of Commerce ,Finance and Tax, 2015 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/28316 | en_ZA |
| dc.language.iso | eng | |
| dc.publisher.department | Finance and Tax | |
| dc.publisher.faculty | Faculty of Commerce | |
| dc.publisher.institution | University of Cape Town | |
| dc.subject.other | Financial and Risk Management | |
| dc.title | Persistence of alpha in South African general equity unit trusts | |
| dc.type | Master Thesis | |
| dc.type.qualificationlevel | Masters | |
| dc.type.qualificationname | MCom | |
| uct.type.filetype | Text | |
| uct.type.filetype | Image |