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Fund and manager characteristics : determinants of investment performance
PhD
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Stellenbosch : Stellenbosch University
2008
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| _version_ | 1867613804040290304 |
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| access_status_str | Open Access |
| author | Brown, Warren Gerhard Pearce |
| author2 | Smit, Eon v. d. M. |
| author_browse | Brown, Warren Gerhard Pearce Smit, Eon v. d. M. |
| author_facet | Smit, Eon v. d. M. Brown, Warren Gerhard Pearce |
| author_sort | Brown, Warren Gerhard Pearce |
| collection | Thesis |
| dc_rights_str_mv | Stellenbosch University |
| description | PhD |
| format | Thesis |
| id | oai:scholar.sun.ac.za:10019.1/1244 |
| institution | Stellenbosch University (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:41:57.021Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from SUNScholar — Stellenbosch University Repository |
| publishDate | 2008 |
| publishDateRange | 2008 |
| publishDateSort | 2008 |
| publisher | Stellenbosch : Stellenbosch University |
| publisherStr | Stellenbosch : Stellenbosch University |
| record_format | dspace |
| source_str | SUNScholar — Stellenbosch University Repository |
| spelling | oai:scholar.sun.ac.za:10019.1/1244 Fund and manager characteristics : determinants of investment performance Brown, Warren Gerhard Pearce Smit, Eon v. d. M. Stellenbosch University. Faculty of Economic and Management Sciences. Dept. of Business Management. Fund management Dissertations -- Business management Theses -- Business management Portfolio management Investment analysis Business Management PhD Thesis (PhD (Business Management))--Stellenbosch University, 2008. The objective of this study is to provide a new approach to assessing fund management and to establish whether there is empirical support for this approach. The new approach will improve investors’ decision making with respect to the management and investment of their assets. We construct equity-only funds from quarterly equity holdings of unit trusts. The funds are ranked each quarter using various performance measures and segmented into winners and losers; firstly according to the median of the ranks and secondly according to quintile rankings. The funds’ rankings are examined for evidence of persistence. Secondly, a performance attribution method is introduced that identifies the static (“buy-and-hold”) portion and the trading portion of a fund. The funds are examined in terms of characteristics that distinguish between funds according to how the manager has chosen to organise (or construct) the fund. These characteristics are the static portion, the trading portion, the size of the static portion and the extent of the overlap between funds’ holdings and the large, mid and small capitalisation indices. Relationships between winners and losers (based on quartiles) and the fund characteristics are examined. Finally, the trading activities of investment managers, for their funds, are examined. This examination begins with the use of traditional measures that focus on a holistic approach to evaluating trading ability. The examination is enhanced with the introduction of a new reductionism approach, where the success of individual trades is examined. The results of the earlier performance attribution are included in the evaluation of investment managers’ abilities to add value to investors’ assets via trading activities. Doctoral 2008-12-01T07:22:36Z 2010-06-01T08:16:21Z 2008-12-01T07:22:36Z 2010-06-01T08:16:21Z 2008-12 Thesis http://hdl.handle.net/10019.1/1244 en Stellenbosch University application/pdf Stellenbosch : Stellenbosch University |
| spellingShingle | Fund management Dissertations -- Business management Theses -- Business management Portfolio management Investment analysis Business Management Brown, Warren Gerhard Pearce Fund and manager characteristics : determinants of investment performance |
| title | Fund and manager characteristics : determinants of investment performance |
| title_full | Fund and manager characteristics : determinants of investment performance |
| title_fullStr | Fund and manager characteristics : determinants of investment performance |
| title_full_unstemmed | Fund and manager characteristics : determinants of investment performance |
| title_short | Fund and manager characteristics : determinants of investment performance |
| title_sort | fund and manager characteristics determinants of investment performance |
| topic | Fund management Dissertations -- Business management Theses -- Business management Portfolio management Investment analysis Business Management |
| url | http://hdl.handle.net/10019.1/1244 |
| work_keys_str_mv | AT brownwarrengerhardpearce fundandmanagercharacteristicsdeterminantsofinvestmentperformance |