Style adjusted performance of South African general equity unit trusts

Eddy, Christopher

Style adjusted performance of South African general equity unit trusts

Master Thesis

2014

Publisher

University of Cape Town

Department

Department of Finance and Tax

Faculty

Faculty of Commerce

Abstract

The performance of South African General Equity Unit Trusts is investigated in order to establish if managers are able to add value after adjusting for style exposure. The analysis is performed from January 2003 to December 2012 using three alternative methodologies including unconstrained regressions, returns-based style analysis and return decomposition. The results indicate that the majority of unit trust manager's style adjusted excess return is not statistically different from zero and the performance can be replicated using passive style indices. While the majority display negative style adjusted excess return there are individual unit trusts which consistently are able to outperform across the different methodologies and time periods. The economic significance of this positive alpha can be large over a longer period of time.

Description

Includes bibliographical references.

Reference:

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