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The role of market timing and security selection in hedge fundsÕ returns to investors in South Africa
Mini Dissertation (MBA)--University of Pretoria, 2017.
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| Other Authors: | |
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2018
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| _version_ | 1867613675967217664 |
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| access_status_str | Open Access |
| author2 | Muller, Chris |
| author_browse | Muller, Chris |
| author_facet | Muller, Chris |
| collection | Thesis |
| dc_rights_str_mv | © 2018 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 | Mini Dissertation (MBA)--University of Pretoria, 2017. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/64848 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:39:55.528Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2018 |
| publishDateRange | 2018 |
| publishDateSort | 2018 |
| 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:2263/64848 The role of market timing and security selection in hedge fundsÕ returns to investors in South Africa Muller, Chris ichelp@gibs.co.za Grater, Elmar Garfield UCTD Mini Dissertation (MBA)--University of Pretoria, 2017. This research study investigates the ability of hedge funds to deliver alpha. But more significantly, the research goes further and investigates the role of security selection and market timing, i.e. skill, in delivering this alpha to investors. Empirical work regarding the ability of hedge funds to deliver alpha, as well as whether hedge funds have the ability to make superior security selections and time the market, have been mixed. The JensenÕs alpha measure is utilised to investigate the level of alpha that hedge funds are able to deliver. The performance attribution model as introduced by Brinson, Hood and Beebower is employed to calculate the returns attributable to security selection and market timing. The monthly returns of 30 South African hedge funds are analysed for the period between February 2005 and February 2017. Findings show that overwhelming alpha is present, with 28 of the 30 hedge funds in the sample delivering positive alpha. While the alpha can be attributed to both security selection and the market timing activities of hedge funds, 24 of the 30 hedge funds were able make superior security selections and time the market. za2018 Gordon Institute of Business Science (GIBS) MBA Unrestricted 2018-05-11T09:02:37Z 2018-05-11T09:02:37Z 30-03-18 2017 Mini Dissertation Grater, EG 2017, The role of market timing and security selection in hedge fundsÕ returns to investors in South Africa, MBA Mini Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/64848> http://hdl.handle.net/2263/64848 en © 2018 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 The role of market timing and security selection in hedge fundsÕ returns to investors in South Africa |
| title | The role of market timing and security selection in hedge fundsÕ returns to investors in South Africa |
| title_full | The role of market timing and security selection in hedge fundsÕ returns to investors in South Africa |
| title_fullStr | The role of market timing and security selection in hedge fundsÕ returns to investors in South Africa |
| title_full_unstemmed | The role of market timing and security selection in hedge fundsÕ returns to investors in South Africa |
| title_short | The role of market timing and security selection in hedge fundsÕ returns to investors in South Africa |
| title_sort | role of market timing and security selection in hedge fundso returns to investors in south africa |
| topic | UCTD |
| url | http://hdl.handle.net/2263/64848 |