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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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| _version_ | 1867613216768524288 |
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| access_status_str | Open Access |
| author | Hoch, Rowan Andrew |
| author2 | West, Darron |
| author_browse | Hoch, Rowan Andrew West, Darron |
| author_facet | West, Darron Hoch, Rowan Andrew |
| author_sort | Hoch, Rowan Andrew |
| collection | Thesis |
| description | 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. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/28316 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:37.404Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2018 |
| publishDateRange | 2018 |
| publishDateSort | 2018 |
| publisher | Finance and Tax |
| publisherStr | Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/28316 Persistence of alpha in South African general equity unit trusts Hoch, Rowan Andrew West, Darron Financial and Risk Management 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. 2018-07-18T11:28:47Z 2018-07-18T11:28:47Z 2015 2018-07-11T09:47:28Z Master Thesis Masters MCom http://hdl.handle.net/11427/28316 eng application/pdf Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Financial and Risk Management Hoch, Rowan Andrew Persistence of alpha in South African general equity unit trusts |
| thesis_degree_str | Master's |
| title | Persistence of alpha in South African general equity unit trusts |
| title_full | Persistence of alpha in South African general equity unit trusts |
| title_fullStr | Persistence of alpha in South African general equity unit trusts |
| title_full_unstemmed | Persistence of alpha in South African general equity unit trusts |
| title_short | Persistence of alpha in South African general equity unit trusts |
| title_sort | persistence of alpha in south african general equity unit trusts |
| topic | Financial and Risk Management |
| url | http://hdl.handle.net/11427/28316 |
| work_keys_str_mv | AT hochrowanandrew persistenceofalphainsouthafricangeneralequityunittrusts |