Concentration in the South African equity market and its implied restrictions on the long only equity fund manager's opportunity set
| dc.contributor.author | Raubenheimer, Heidi | |
| dc.date.accessioned | 2018-02-12T11:27:49Z | |
| dc.date.available | 2018-02-12T11:27:49Z | |
| dc.date.issued | 2010 | |
| dc.date.updated | 2016-01-13T11:30:58Z | |
| dc.description.abstract | South Africa‟s Equity market provides a large (in terms of volume) but concentrated investment environment. Domestic pension funds are restricted from diversifying globally and are thus faced with a restricted set of investment opportunities. This article describes and quantifies the extent of the concentration on the JSE historically and at present. The article describes the consequent limitations on long-only equity portfolio construction and the implications for the domestic long-only fund manager subject to various active weight limits. The analysis shows that the higher the allowable active bet sizes, the less consistently asset managers are able to implement their views and the less symmetric their response to forecasted excess returns can be. Consequently, the less competitive a long-only fund manager can be alongside hedge funds and similarly constrained long-short managers. | |
| dc.identifier.apacitation | Raubenheimer, H. (2010). Concentration in the South African equity market and its implied restrictions on the long only equity fund manager's opportunity set. <i>South African Journal of Business Management</i>, http://hdl.handle.net/11427/27543 | en_ZA |
| dc.identifier.chicagocitation | Raubenheimer, Heidi "Concentration in the South African equity market and its implied restrictions on the long only equity fund manager's opportunity set." <i>South African Journal of Business Management</i> (2010) http://hdl.handle.net/11427/27543 | en_ZA |
| dc.identifier.citation | Raubenheimer, H. (2010). Concentration in the South African equity market and its implied restrictions on the long only equity fund manager's opportunity set. South African Journal of Business Management, 41(4), 1-10. | |
| dc.identifier.ris | TY - Journal Article AU - Raubenheimer, Heidi AB - South Africa‟s Equity market provides a large (in terms of volume) but concentrated investment environment. Domestic pension funds are restricted from diversifying globally and are thus faced with a restricted set of investment opportunities. This article describes and quantifies the extent of the concentration on the JSE historically and at present. The article describes the consequent limitations on long-only equity portfolio construction and the implications for the domestic long-only fund manager subject to various active weight limits. The analysis shows that the higher the allowable active bet sizes, the less consistently asset managers are able to implement their views and the less symmetric their response to forecasted excess returns can be. Consequently, the less competitive a long-only fund manager can be alongside hedge funds and similarly constrained long-short managers. DA - 2010 DB - OpenUCT DP - University of Cape Town J1 - South African Journal of Business Management LK - https://open.uct.ac.za PB - University of Cape Town PY - 2010 T1 - Concentration in the South African equity market and its implied restrictions on the long only equity fund manager's opportunity set TI - Concentration in the South African equity market and its implied restrictions on the long only equity fund manager's opportunity set UR - http://hdl.handle.net/11427/27543 ER - | en_ZA |
| dc.identifier.uri | http://hdl.handle.net/11427/27543 | |
| dc.identifier.vancouvercitation | Raubenheimer H. Concentration in the South African equity market and its implied restrictions on the long only equity fund manager's opportunity set. South African Journal of Business Management. 2010; http://hdl.handle.net/11427/27543. | en_ZA |
| dc.language.iso | eng | |
| dc.publisher.department | Graduate School of Business | |
| dc.publisher.faculty | Graduate School of Business | |
| dc.publisher.institution | University of Cape Town | |
| dc.source | South African Journal of Business Management | |
| dc.source.uri | https://journals.co.za/content/journal/busman | |
| dc.title | Concentration in the South African equity market and its implied restrictions on the long only equity fund manager's opportunity set | |
| dc.type | Journal Article | |
| uct.type.filetype | Text | |
| uct.type.filetype | Image |