Active bear, passive bull: a comparative analysis of active and passive investing during and bear market runs in South Africa

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dc.contributor.advisorDe Jesus, Carlos
dc.contributor.authorNaicker, Dylan
dc.date.accessioned2025-09-16T14:02:16Z
dc.date.available2025-09-16T14:02:16Z
dc.date.issued2025
dc.date.updated2025-09-16T13:40:51Z
dc.description.abstractPurpose: This dissertation aims to evaluate whether actively managed portfolios achieve greater returns than passively managed portfolios. Previous studies relating to active versus passive investing have had mixed results. This study builds on the limitations of earlier studies by extending the time frame and eliminating survivorship bias. In addition, the analysis evaluated the South African markets' level of information efficiency using the efficient market hypothesis. Methodology: The portfolios used within the study are self-derived, and the weightings are rebalanced to allow new entrants to enter the market. This study will make use of a unit trust portfolio as the proxy for active investing and the portfolio of ETFs as the proxy for passive investing. Bull and bear markets were used in this study to determine distinct market conditions to measure the performance of the portfolios in different conditions. Bull and Bear markets are determined by comparing one standard deviation above and below the average market return using the CAPM model. The identified unit trust was further divided into its investing strategy (Value or non-Value investing strategies) and tested against the ETF portfolio to determine which investing strategy performs better. F-tests, t-tests and the Sharpe ratio was then used to analyse the returns of the portfolios during the identified market periods. Findings: It was found that during both market periods, the actively managed portfolio outperformed the passively managed portfolio, which is contrary to the findings of prior literature. These findings highlight that the South African market is weak and inefficient according to the efficient market hypothesis. Originality: This study built on the limitations of previous studies by first examining the portfolios over a more extended period to eliminate the shortcomings of previous research. This study offers an additional outlook into the performance of unit trusts by classifying them according to their investing nature, comprised of Value and non-Value funds, which will assist academics for further research and investors within the unit trust market.
dc.identifier.apacitationNaicker, D. (2025). <i>Active bear, passive bull: a comparative analysis of active and passive investing during and bear market runs in South Africa</i>. (). University of Cape Town ,Faculty of Commerce ,College of Accounting. Retrieved from http://hdl.handle.net/11427/41834en_ZA
dc.identifier.chicagocitationNaicker, Dylan. <i>"Active bear, passive bull: a comparative analysis of active and passive investing during and bear market runs in South Africa."</i> ., University of Cape Town ,Faculty of Commerce ,College of Accounting, 2025. http://hdl.handle.net/11427/41834en_ZA
dc.identifier.citationNaicker, D. 2025. Active bear, passive bull: a comparative analysis of active and passive investing during and bear market runs in South Africa. . University of Cape Town ,Faculty of Commerce ,College of Accounting. http://hdl.handle.net/11427/41834en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Naicker, Dylan AB - Purpose: This dissertation aims to evaluate whether actively managed portfolios achieve greater returns than passively managed portfolios. Previous studies relating to active versus passive investing have had mixed results. This study builds on the limitations of earlier studies by extending the time frame and eliminating survivorship bias. In addition, the analysis evaluated the South African markets' level of information efficiency using the efficient market hypothesis. Methodology: The portfolios used within the study are self-derived, and the weightings are rebalanced to allow new entrants to enter the market. This study will make use of a unit trust portfolio as the proxy for active investing and the portfolio of ETFs as the proxy for passive investing. Bull and bear markets were used in this study to determine distinct market conditions to measure the performance of the portfolios in different conditions. Bull and Bear markets are determined by comparing one standard deviation above and below the average market return using the CAPM model. The identified unit trust was further divided into its investing strategy (Value or non-Value investing strategies) and tested against the ETF portfolio to determine which investing strategy performs better. F-tests, t-tests and the Sharpe ratio was then used to analyse the returns of the portfolios during the identified market periods. Findings: It was found that during both market periods, the actively managed portfolio outperformed the passively managed portfolio, which is contrary to the findings of prior literature. These findings highlight that the South African market is weak and inefficient according to the efficient market hypothesis. Originality: This study built on the limitations of previous studies by first examining the portfolios over a more extended period to eliminate the shortcomings of previous research. This study offers an additional outlook into the performance of unit trusts by classifying them according to their investing nature, comprised of Value and non-Value funds, which will assist academics for further research and investors within the unit trust market. DA - 2025 DB - OpenUCT DP - University of Cape Town KW - Active management KW - Bull markets KW - Bear markets KW - Efficient market hypothesis KW - non-Value investing KW - Passive management KW - Value investing LK - https://open.uct.ac.za PB - University of Cape Town PY - 2025 T1 - Active bear, passive bull: a comparative analysis of active and passive investing during and bear market runs in South Africa TI - Active bear, passive bull: a comparative analysis of active and passive investing during and bear market runs in South Africa UR - http://hdl.handle.net/11427/41834 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/41834
dc.identifier.vancouvercitationNaicker D. Active bear, passive bull: a comparative analysis of active and passive investing during and bear market runs in South Africa. []. University of Cape Town ,Faculty of Commerce ,College of Accounting, 2025 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/41834en_ZA
dc.language.isoen
dc.language.rfc3066eng
dc.publisher.departmentCollege of Accounting
dc.publisher.facultyFaculty of Commerce
dc.publisher.institutionUniversity of Cape Town
dc.subjectActive management
dc.subjectBull markets
dc.subjectBear markets
dc.subjectEfficient market hypothesis
dc.subjectnon-Value investing
dc.subjectPassive management
dc.subjectValue investing
dc.titleActive bear, passive bull: a comparative analysis of active and passive investing during and bear market runs in South Africa
dc.typeThesis / Dissertation
dc.type.qualificationlevelMasters
dc.type.qualificationlevelMCom
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