Identifying and correcting misclassified South African equity trusts using style analysis

Simple item page
dc.contributor.advisorFirer, Colinen_ZA
dc.contributor.advisorBradfield, Daveen_ZA
dc.contributor.authorRobertson, Men_ZA
dc.date.accessioned2014-12-10T08:12:35Z
dc.date.available2014-12-10T08:12:35Z
dc.date.issued1999en_ZA
dc.descriptionBibliography: leaves 116-123.en_ZA
dc.description.abstractThe 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.en_ZA
dc.identifier.apacitationRobertson, M. (1999). <i>Identifying and correcting misclassified South African equity trusts using style analysis</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Management Studies. Retrieved from http://hdl.handle.net/11427/9944en_ZA
dc.identifier.chicagocitationRobertson, M. <i>"Identifying and correcting misclassified South African equity trusts using style analysis."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Management Studies, 1999. http://hdl.handle.net/11427/9944en_ZA
dc.identifier.citationRobertson, M. 1999. Identifying and correcting misclassified South African equity trusts using style analysis. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Robertson, M AB - 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. DA - 1999 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 1999 T1 - Identifying and correcting misclassified South African equity trusts using style analysis TI - Identifying and correcting misclassified South African equity trusts using style analysis UR - http://hdl.handle.net/11427/9944 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/9944
dc.identifier.vancouvercitationRobertson M. Identifying and correcting misclassified South African equity trusts using style analysis. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Management Studies, 1999 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/9944en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentSchool of Management Studiesen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherCommerceen_ZA
dc.titleIdentifying and correcting misclassified South African equity trusts using style analysisen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMBusScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
thesis_com_1999_robertson_m.pdf
Size:
6.23 MB
Format:
Adobe Portable Document Format
Description:
Download
Collections
Masters