Creating an adaptive asset allocation fund to outperform inflation in the South African financial market

Watson, Grant

Creating an adaptive asset allocation fund to outperform inflation in the South African financial market

Master Thesis

2009

Publisher

University of Cape Town

Department

School of Economics

Faculty

Faculty of Commerce

Abstract

In this dissertation, I detail the process I went through to create a new asset allocation product, with the intention of beating inflation over the long term, in the South African flnancial market space. This process has been a contributor to the creation of my model for new product development in the financial market space. Simulation is at the core of this process. At the outset, I cover a brief history and contextualise absolute return funds, looking at the difference between an absolute return fund, a balanced fund and a hedge fund. The move from defined benefit to defined contribution pension funds and the impact this has had on consulting actuaries risk appetites is visited. My concern in this regard is that capital preservation is being maximised, at the expense of capital growth, without taking into account the devastating effects of inflation.

Description

Includes abstract.

Includes bibliographical references (leaves 112-113).

Keywords

Economics

Reference:

Collections

Masters

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