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Persistence of alpha in South African general equity unit trusts
The ability of active managers to produce consistent benchmark-beating returns is a topic that has been widely debated with increasing interest over the past decade. The majority of previous studies in which persistence of performance is tested consider a fund's ability to maintain its relative rank...
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| Format: | Thesis |
| Language: | English |
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Finance and Tax
2018
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| Summary: | The ability of active managers to produce consistent benchmark-beating returns is a topic that has been widely debated with increasing interest over the past decade. The majority of previous studies in which persistence of performance is tested consider a fund's ability to maintain its relative ranking over various time periods amongst its peer group. This study adds to the literature by considering the persistence of alpha, where alpha is defined as the out- or under-performance of a market-related benchmark. Persistence of alpha for South African general equity unit trusts is tested over six-month, one-, two- and three-year formation and holding periods using a similar methodology to that of Collinet & Firer (2003). Alpha is found to persist most prominently in tests of one-year periods, with other period lengths yielding less significant results. Additionally, using the methodology of Malkiel (1995), certain funds which have demonstrated statistically significant persistent alpha over various periods are identified. |
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