The effect of security return dispersion on performance measurement in a South African context

Simple item page
dc.contributor.advisorPolakow, Danielen_ZA
dc.contributor.authorGething, Bryce Aen_ZA
dc.date.accessioned2015-06-26T11:21:08Z
dc.date.available2015-06-26T11:21:08Z
dc.date.issued2014en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractThis work replicates a similar study performed by de Silva et al. (2001). Our study was performed on the South African market. De Silva et al. (2001) studied the effect of cross-sectional volatility (CSV) on fund managerial skill measurement. This lead to the conjecture that increased fund performance dispersion was primarily due to higher CSV, and not changes in informational efficiency or ranges in managerial talent. In this dissertation we firstly critique the CSV-adjusted alpha as a measure of fund performance and show that it can only be used as a means of normalising fund performance, yet reveals very little with regard to managerial talent. Since fund performance is intrinsically linked to CSV, we find it difficult to disentangle the effects of CSV and managerial talent dispersion. Adjusting for CSV therefore also implies adjustment for managerial talent, and we conclude with ideas for how a CSV-adjusted alpha may be used to assess manager talent.en_ZA
dc.identifier.apacitationGething, B. A. (2014). <i>The effect of security return dispersion on performance measurement in a South African context</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/13123en_ZA
dc.identifier.chicagocitationGething, Bryce A. <i>"The effect of security return dispersion on performance measurement in a South African context."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2014. http://hdl.handle.net/11427/13123en_ZA
dc.identifier.citationGething, B. 2014. The effect of security return dispersion on performance measurement in a South African context. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Gething, Bryce A AB - This work replicates a similar study performed by de Silva et al. (2001). Our study was performed on the South African market. De Silva et al. (2001) studied the effect of cross-sectional volatility (CSV) on fund managerial skill measurement. This lead to the conjecture that increased fund performance dispersion was primarily due to higher CSV, and not changes in informational efficiency or ranges in managerial talent. In this dissertation we firstly critique the CSV-adjusted alpha as a measure of fund performance and show that it can only be used as a means of normalising fund performance, yet reveals very little with regard to managerial talent. Since fund performance is intrinsically linked to CSV, we find it difficult to disentangle the effects of CSV and managerial talent dispersion. Adjusting for CSV therefore also implies adjustment for managerial talent, and we conclude with ideas for how a CSV-adjusted alpha may be used to assess manager talent. DA - 2014 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2014 T1 - The effect of security return dispersion on performance measurement in a South African context TI - The effect of security return dispersion on performance measurement in a South African context UR - http://hdl.handle.net/11427/13123 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/13123
dc.identifier.vancouvercitationGething BA. The effect of security return dispersion on performance measurement in a South African context. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2014 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/13123en_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.titleThe effect of security return dispersion on performance measurement in a South African contexten_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
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
thesis_com_2014_gething_b.pdf
Size:
762.32 KB
Format:
Adobe Portable Document Format
Description:
Download
Collections
Masters