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Active fund management and crosssectional variance of returns
Dissertation (MBA)--University of Pretoria, 2012.
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| Format: | Thesis |
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University of Pretoria
2013
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| _version_ | 1867613627384594432 |
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| access_status_str | Open Access |
| author2 | Ward, Mike |
| author_browse | Ward, Mike |
| author_facet | Ward, Mike |
| collection | Thesis |
| dc_rights_str_mv | © 2012 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria |
| description | Dissertation (MBA)--University of Pretoria, 2012. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/29434 |
| institution | University of Pretoria (South Africa) |
| last_indexed | 2026-06-10T12:39:09.096Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2013 |
| publishDateRange | 2013 |
| publishDateSort | 2013 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/29434 Active fund management and crosssectional variance of returns Ward, Mike ichelp@gibs.co.za Chan, Ching Yee UCTD Active share Unit trust Cross-sectional variance Active management Dissertation (MBA)--University of Pretoria, 2012. In active portfolio management, fund managers seek to follow an investment strategy with the objective of outperforming an investment benchmark index. Opportunities to outperform a benchmark in active fund management is made possible through crosssectional dispersion of returns in the market. It is cross-sectional volatility of returns that allows fund managers to identify changing trends in market relationships and to take advantage of market opportunities.Quarterly active share and active return data of Domestic General Equity funds was used to determine whether the level of active share and active return has a correlation with volatility measures such as cross-sectional variance of returns or the South African Volatility Index (SAVI). The actively-managed funds’ outperformance of the benchmark index during periods of differing cross-sectional variance was also looked at. Lastly, the possibility of whether market volatility can be used to inform fund investment decisions was also examined.The findings in this study are that there is no significant relationship between the crosssectional variance of returns, active share and active returns. In measuring fund performance in times of differing cross-sectional dispersion and breaking the analysis period into such intervals rather than as a continuous time series, active funds outperform the benchmark index during periods of low and moderate cross-sectional variance. The SAVI can be used as a fairly accurate and readily available approximation of cross-sectional variance. Gordon Institute of Business Science (GIBS) unrestricted 2013-09-07T15:39:03Z 2013-04-25 2013-09-07T15:39:03Z 2013-04-25 2012 2013-02-16 Dissertation Chan, CY 2012, Active fund management and crosssectional, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/29434 > F13/4/136/zw http://hdl.handle.net/2263/29434 http://upetd.up.ac.za/thesis/available/etd-02162013-122708/ © 2012 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria application/pdf University of Pretoria |
| spellingShingle | UCTD Active share Unit trust Cross-sectional variance Active management Active fund management and crosssectional variance of returns |
| title | Active fund management and crosssectional variance of returns |
| title_full | Active fund management and crosssectional variance of returns |
| title_fullStr | Active fund management and crosssectional variance of returns |
| title_full_unstemmed | Active fund management and crosssectional variance of returns |
| title_short | Active fund management and crosssectional variance of returns |
| title_sort | active fund management and crosssectional variance of returns |
| topic | UCTD Active share Unit trust Cross-sectional variance Active management |
| url | http://hdl.handle.net/2263/29434 http://upetd.up.ac.za/thesis/available/etd-02162013-122708/ |