Style adjusted performance of South African general equity unit trusts

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dc.contributor.advisorVan Rensburg, Paulen_ZA
dc.contributor.authorEddy, Christopheren_ZA
dc.date.accessioned2014-10-17T10:12:46Z
dc.date.available2014-10-17T10:12:46Z
dc.date.issued2014en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractThe 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.en_ZA
dc.identifier.apacitationEddy, C. (2014). <i>Style adjusted performance of South African general equity unit trusts</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/8558en_ZA
dc.identifier.chicagocitationEddy, Christopher. <i>"Style adjusted performance of South African general equity unit trusts."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2014. http://hdl.handle.net/11427/8558en_ZA
dc.identifier.citationEddy, C. 2014. Style adjusted performance of South African general equity unit trusts. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Eddy, Christopher AB - 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. DA - 2014 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2014 T1 - Style adjusted performance of South African general equity unit trusts TI - Style adjusted performance of South African general equity unit trusts UR - http://hdl.handle.net/11427/8558 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/8558
dc.identifier.vancouvercitationEddy C. Style adjusted performance of South African general equity unit trusts. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2014 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/8558en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Finance and Taxen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.titleStyle adjusted performance of South African general equity unit trustsen_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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