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South African General Equity Unit Trust Funds:Fund Performance and Characteristics
We evaluate performance of general equity unit trust funds in South Africa during the period 2010 to 2017 and identify, if any, characteristics of these unit trust funds that are drivers of this performance. Performance is measured using Jensen’s Alpha with a sample that has not suffered from the fu...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2019
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| _version_ | 1867613311210618881 |
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| access_status_str | Open Access |
| author | Pardoe, Liam |
| author2 | Kruger, Ryan |
| author_browse | Kruger, Ryan Pardoe, Liam |
| author_facet | Kruger, Ryan Pardoe, Liam |
| author_sort | Pardoe, Liam |
| collection | Thesis |
| description | We evaluate performance of general equity unit trust funds in South Africa during the period 2010 to 2017 and identify, if any, characteristics of these unit trust funds that are drivers of this performance. Performance is measured using Jensen’s Alpha with a sample that has not suffered from the full effects of survivorship bias as many other South African research studies have in past years. We used a Weighted Least Squares regression model, after weighting each funds Jensen’s alpha, to determine what characteristics impact the performance of unit trust funds. Our results showed that Beta, Fund Age, Percentage of Top 10 Holdings and Management Fees were all significant in explaining unit trust performance. We found that in the South African general equity unit trust space, funds which take higher risk relative to the market will experience higher levels of performance, younger funds tended to outperform their older counterparts and funds that charge lower management fees will outperform those with higher fees. Funds that on average throughout the period held less Top 10 JSE listed equity stocks tended to outperform those having a larger Top 10 holding exposure. We have thus been able to uncover material performance characteristics that differentiate South African unit trust performance. We have also provided meaningful parameters for investors and investment managers when structuring diversified portfolios, allowing them to improve their ability to provide outperformance consistently over time. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/29222 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:34:06.076Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2019 |
| publishDateRange | 2019 |
| publishDateSort | 2019 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/29222 South African General Equity Unit Trust Funds:Fund Performance and Characteristics Pardoe, Liam Kruger, Ryan Investment Management We evaluate performance of general equity unit trust funds in South Africa during the period 2010 to 2017 and identify, if any, characteristics of these unit trust funds that are drivers of this performance. Performance is measured using Jensen’s Alpha with a sample that has not suffered from the full effects of survivorship bias as many other South African research studies have in past years. We used a Weighted Least Squares regression model, after weighting each funds Jensen’s alpha, to determine what characteristics impact the performance of unit trust funds. Our results showed that Beta, Fund Age, Percentage of Top 10 Holdings and Management Fees were all significant in explaining unit trust performance. We found that in the South African general equity unit trust space, funds which take higher risk relative to the market will experience higher levels of performance, younger funds tended to outperform their older counterparts and funds that charge lower management fees will outperform those with higher fees. Funds that on average throughout the period held less Top 10 JSE listed equity stocks tended to outperform those having a larger Top 10 holding exposure. We have thus been able to uncover material performance characteristics that differentiate South African unit trust performance. We have also provided meaningful parameters for investors and investment managers when structuring diversified portfolios, allowing them to improve their ability to provide outperformance consistently over time. 2019-02-04T11:23:31Z 2019-02-04T11:23:31Z 2018 2019-02-04T08:07:31Z Master Thesis Masters MCom http://hdl.handle.net/11427/29222 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Investment Management Pardoe, Liam South African General Equity Unit Trust Funds:Fund Performance and Characteristics |
| thesis_degree_str | Master's |
| title | South African General Equity Unit Trust Funds:Fund Performance and Characteristics |
| title_full | South African General Equity Unit Trust Funds:Fund Performance and Characteristics |
| title_fullStr | South African General Equity Unit Trust Funds:Fund Performance and Characteristics |
| title_full_unstemmed | South African General Equity Unit Trust Funds:Fund Performance and Characteristics |
| title_short | South African General Equity Unit Trust Funds:Fund Performance and Characteristics |
| title_sort | south african general equity unit trust funds fund performance and characteristics |
| topic | Investment Management |
| url | http://hdl.handle.net/11427/29222 |
| work_keys_str_mv | AT pardoeliam southafricangeneralequityunittrustfundsfundperformanceandcharacteristics |