An analysis of the risk adjusted returns of active versus passive South African general equity unit trusts during varying economic periods: an individual investor's perspective
- Authors: Ferreira, James Stuart
- Date: 2015
- Subjects: Mutual funds , Global Financial Crisis, 2008-2009 , Risk assessment , Financial crises -- South Africa , Portfolio management , Financial planners
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:1207 , http://hdl.handle.net/10962/d1019753
- Description: This thesis used the events of the 2007 financial crisis as a means of being able to add to the research already done on South African unit trusts. The objective was to study the risk-adjusted performance of South African general equity unit trusts against the market during the period between 2005 and 2014. This period took into account the bull market preceding the financial crisis, the market crash of 2007 and the subsequent market recovery that followed. Data was obtained online through the I-Net BFA data base and included 161 general equity unit trusts that contained a full data set. In addition to the general equity unit trusts, the Satrix40 was studied to compare a passive unit trust against those that are actively managed. The 10 year Government bond was also used as a risk-free rate to add to the comparisons of performance results. The Sharpe, Treynor and Jensen measures were applied to the data with the results adding more support to the opinions that markets are fairly efficient and active investment strategies are being challenged by consistently well performing passive investments. Throughout the duration of the study, taking into account the varying economic cycles, the Satrix40 passive investment showed the best average overall return on simple return calculations as well as during the risk-adjusted measurements. In support of active investment management, unit trusts showed their best relative performance figures during the period of the financial crisis. This suggested that active financial managers were able to make the active calls necessary to weather the storm of the financial crisis. While the study did have its limitations, the results it produced are intended to offer investors further knowledge in enabling them to make more educated investment decisions in the future.
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The impact of internal behavioural decision-making biases on South African collective investment scheme performance
- Authors: Muller, Stacey Leigh
- Date: 2015
- Subjects: Decision making , Investment analysis , Efficient market theory , Consumer behavior , Behavioral assessment , Mutual funds
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:1209 , http://hdl.handle.net/10962/d1020308
- Description: Market efficiency, based on people acting rationally, has been the dominating finance theory for most of the 20th and 21st Century’s. This classical finance theory is based on assumptions that people are rational, they absorb all available information and maximise utility. This view is outdated; it has been shown that people are in fact irrational and that this could be the cause of anomalies in the market. Behavioural finance takes into account people, and their natural biases. Behavioural finance has integrated classical financial theories and psychological theories to illustrate the way in which irrational people can impact market efficiency. This research looks at the way collective investment scheme manager decision-making can impact market efficiency. Specifically the behavioural biases: overconfidence, over optimism, loss aversion and frame dependence and whether or not collective investment scheme performance is affected by these. This research was carried out using a questionnaire distributed directly to CIS managers and risk-adjusted returns were used in order to allow for comparative results. The results from the questionnaire show evidence that actively managing South African CIS managers do indeed suffer from overconfidence and loss aversion and they do not appear to suffer from frame dependence or over optimism in this research context. There was also evidence showing that managers who suffer from these biases also demonstrated lower investment returns. “The investor’s chief problem, and even his worst enemy, is likely to be himself.” - Benjamin Graham
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