A Markowitz mean-variance analysis of hedge fund investments for multi-asset class portfolio holders in South Africa

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dc.contributor.advisorKruger, Ryanen_ZA
dc.contributor.authorNaidoo, Lushanen_ZA
dc.date.accessioned2018-11-02T09:31:32Z
dc.date.available2018-11-02T09:31:32Z
dc.date.issued2015en_ZA
dc.description.abstractThis research aims to provide insight into the hedge fund industry in South Africa. The focus is on retirement funds and the use of hedge funds in a multi-asset class portfolio. Diversification is an important tool for portfolio managers who make use of correlation to achieve higher risk-adjusted returns for investors. As such this paper tests whether higher risk-adjusted returns can be achieved in well diversified multi-asset class portfolios if hedge funds are included. To test for the optimal risk-adjusted returns that can be achieved, mean-variance, mean-semi variance and Omega portfolios were created. The results suggest that portfolios that include hedge fund investments outperformed those that exclude it using mean-variance, mean-semi variance and Omega analysis. Furthermore it was found that portfolios that included Pure Hedge Funds outperformed those that included Fund of Hedge Funds. The evidence suggests that hedge fund investments should be included in a well-diversified South African multi-asset class portfolio, with Pure Hedge Funds being preferred to Fund of Hedge Funds.en_ZA
dc.identifier.apacitationNaidoo, L. (2015). <i>A Markowitz mean-variance analysis of hedge fund investments for multi-asset class portfolio holders in South Africa</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Research of GSB. Retrieved from http://hdl.handle.net/11427/28981en_ZA
dc.identifier.chicagocitationNaidoo, Lushan. <i>"A Markowitz mean-variance analysis of hedge fund investments for multi-asset class portfolio holders in South Africa."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Research of GSB, 2015. http://hdl.handle.net/11427/28981en_ZA
dc.identifier.citationNaidoo, L. 2015. A Markowitz mean-variance analysis of hedge fund investments for multi-asset class portfolio holders in South Africa. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Naidoo, Lushan AB - This research aims to provide insight into the hedge fund industry in South Africa. The focus is on retirement funds and the use of hedge funds in a multi-asset class portfolio. Diversification is an important tool for portfolio managers who make use of correlation to achieve higher risk-adjusted returns for investors. As such this paper tests whether higher risk-adjusted returns can be achieved in well diversified multi-asset class portfolios if hedge funds are included. To test for the optimal risk-adjusted returns that can be achieved, mean-variance, mean-semi variance and Omega portfolios were created. The results suggest that portfolios that include hedge fund investments outperformed those that exclude it using mean-variance, mean-semi variance and Omega analysis. Furthermore it was found that portfolios that included Pure Hedge Funds outperformed those that included Fund of Hedge Funds. The evidence suggests that hedge fund investments should be included in a well-diversified South African multi-asset class portfolio, with Pure Hedge Funds being preferred to Fund of Hedge Funds. DA - 2015 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2015 T1 - A Markowitz mean-variance analysis of hedge fund investments for multi-asset class portfolio holders in South Africa TI - A Markowitz mean-variance analysis of hedge fund investments for multi-asset class portfolio holders in South Africa UR - http://hdl.handle.net/11427/28981 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/28981
dc.identifier.vancouvercitationNaidoo L. A Markowitz mean-variance analysis of hedge fund investments for multi-asset class portfolio holders in South Africa. [Thesis]. University of Cape Town ,Faculty of Commerce ,Research of GSB, 2015 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/28981en_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.titleA Markowitz mean-variance analysis of hedge fund investments for multi-asset class portfolio holders in South Africaen_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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