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The sources of South African equity fund performance

dc.contributor.authorLester, N.en_ZA
dc.contributor.authorCorubolo, D.en_ZA
dc.date.accessioned2018-03-05T10:08:42Z
dc.date.available2018-03-05T10:08:42Z
dc.date.issued2015-11
dc.identifier.citationLester, N. & Corubolo, D. 2015. The sources of South African equity fund performance. In Actuarial Society 2015 Convention, 17–18 November 2015, Sandton Convention Centre, Sandton, Johannesburg
dc.identifier.urihttp://hdl.handle.net/10019.1/103212
dc.descriptionCITATION: Lester, N. & Corubolo, D. 2015. The sources of South African equity fund performance. In Actuarial Society 2015 Convention, 17–18 November 2015, Sandton Convention Centre, Sandton, Johannesburg.
dc.descriptionThe original publication is available at http://actuarialsocietyconvention.org.za
dc.description.abstractENGLISH SUMMARY : This paper aims to quantify some of the sources of South African equity fund performance. In particular, it aims to provide insights into the relative importance of sector allocation and stock selection as factors to consider in constructing actively managed portfolios. This analysis is done considering the constraint of a concentrated South African market environment. To partially account for this constraint, an assumption of three equity “super sectors”—financial, industrial and resources—is made. To quantify the sources of equity fund returns, a geometric attribution analysis was conducted on the returns of seven South African equity unit trust funds. An attribution decomposition of the seven funds’ tracking error and volatility was also performed to enable a risk adjustment to be made. The results of these attribution analyses indicated that it is possible to source excess returns through both selection and allocation efforts. Furthermore, the attribution analysis also revealed different levels of success at earning excess returns per sector. South African equity fund managers also demonstrated skill in reducing risk over the sample period, as the majority of the managers were able to reduce portfolio risk relative to the benchmark portfolio, but still source excess returns. It is, however, important to note that these results are influenced by market structure and manager practices.en_ZA
dc.description.urihttp://actuarialsocietyconvention.org.za/convention2015/wp-content/uploads/2015/11/2015-LesterCorubolo.pdf
dc.format.extent57 pages ; illustrations
dc.language.isoen_ZAen_ZA
dc.publisherPortfolio management -- South Africaen_ZA
dc.subjectMutual funds -- South Africaen_ZA
dc.subjectPortfolio management -- South Africaen_ZA
dc.subjectActive investingen_ZA
dc.subjectStock selectionen_ZA
dc.titleThe sources of South African equity fund performanceen_ZA
dc.typeConference Paperen_ZA
dc.description.versionPublishers version
dc.rights.holderActuarial Society of South Africa -- Congressesen_ZA


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