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TitleThe performance of equity collective investment schemes in post-liberalised South Africa
AuthorMitton Barend, Cornelius
SubjectInvestment Management
Subjectcollective investment scheme
Date2017-10-12T14:01:13Z
Date2017-10-12T14:01:13Z
Date2017
TypeThesis
TypeMasters
TypeMBA
AbstractPurpose of the study: Based on Jensen"s paper on the performance of mutual funds, utilising models based on the efficient market hypothesis and the capital asset pricing model, the main objective of this research report is to empirically evaluate the performance of South African domestic equity collective investment schemes over the period 1995-2016. Methodology design and approach – This is a deductive, empirical, quantitative study on the performance of individual South African domestic equity collective investment schemes. The study evaluates performance using nominal returns, Treynor ratios, Sharpe ratios and Jensen"s alpha. Jensen"s alpha is calculated utilising ordinary least squares regression analysis, to ensure robustness the Newey-West method of correcting standard errors is applied. The Johannesburg Stock Exchange All Share Index is used as a market portfolio proxy to compare the funds to. Empirical results: The empirical findings conclude that the average South African domestic equity collective investment scheme underperforms the market index. These findings are in accordance with other studies on collective investment schemes internationally. Practical implications: The results of this research report allow investors to make informed decisions when investing in equity collective investment schemes in South Africa. It also adds to the ongoing debate on active versus passive investment management. It is also useful to compare the findings of this study to that of other local and international studies on the performance of collective investment funds over different periods. Originality and value of research: Many previous studies on the performance of collective investment schemes have been performed in developed markets especially the United States, but only a few has been done on emerging markets. This study contributes to the literature on South African and emerging market collective investment schemes. The findings of the research report enhance the current literature and debate on active versus passive investment management in a South African and emerging market context.
PublisherUniversity of Cape Town
PublisherFaculty of Commerce
PublisherResearch of GSB
Identifierhttp://hdl.handle.net/11427/25647