Identifying and correcting misclassified South African equity trusts using style analysis

Robertson, M

Identifying and correcting misclassified South African equity trusts using style analysis

Master Thesis

1999

Publisher

University of Cape Town

Department

School of Management Studies

Faculty

Faculty of Commerce

Abstract

The concept of style analysis is rapidly spreading in the money management business. In addition to it's use in the areas of benchmarking, portfolio structuring, risk control and performance attribution, style analysis has also been shown to be a powerful tool for identifying and evaluating the groupings and classification of investment portfolios. This study is based on an iterative application of William Sharpe's technique of returns-based style analysis. In essence the technique is used to create purified unit trust style indices in order to verify the existing classification of equity unit trusts. The technique is extended for the purpose of confirming the returns-based misclassified funds through testing the fit of combinations of style factor returns derived from a composition-based factor model.

Description

Bibliography: leaves 116-123.

Keywords

Commerce

Reference:

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