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dc.contributor.advisorGevers, W. R.
dc.contributor.authorDe Villiers, H. O.
dc.contributor.otherStellenbosch University. Faculty of Economic and Management Sciences. Graduate School of Business.
dc.date.accessioned2012-08-27T11:33:25Z
dc.date.available2012-08-27T11:33:25Z
dc.date.issued2005-12
dc.identifier.urihttp://hdl.handle.net/10019.1/50442
dc.descriptionThesis (MBA)--Stellenbosch University, 2005.
dc.description.abstractENGLISH ABSTRACT: Investors accept that actual investment pertormance differs from anticipated pertormance. The difference between the two is attributed to investment risk. Professional investment managers charge significant fees for active investment management. Investors funding this industry should evaluate the risk-adjusted investment pertormance to determine if it justifies the associated costs. A number of research papers have presented various methods for adjusting investment pertormance for the risk assumed in the generation thereof. This study presents an overview of techniques available for measuring riskadjusted pertormance of listed equity related investments. The classic pertormance measures of Treynor, Sharpe and Jensen are discussed. Alternative ways of quantifying risk offer different methods for risk-adjusting periormance. This leads to the discussion of more modern approaches to risk-adjustment, such as the Sortino ratio and the Omega measure. The lack of risk-adjusted pertormance reporting within the South African investment management industry is highlighted. An overview of guidelines for risk-adjusted pertormance reporting is presented. As such, it is relevant to investment managers, policy makers of the industry and the financial press reporting on investment management. A comparison of risk-adjusted pertormance figures between unitised-, indexand direct equity investment approaches show that a simple direct equity investment strategy outpertorm on risk-adjusted basis for the five year period reviewed.en_ZA
dc.description.abstractAFRIKAANSE OPSOMMING: Beleggers aanvaar die feit dat gerealiseerde beleggings opbrengste van verwagte opbrengste verskil. Die verskil word aan beleggings risiko toegeskryf. Professionele beleggingsbestuurders hef aansienlike fooie om beleggings aktief te bestuur. Beleggers wat hierdie industrie befonds behoort die risiko-aangepaste beleggingsprestasie te evalueer ten einde vas te stel of dit die kostes regverdig wat daarmee gepaardgaan. 'n Aantal navorsingsverslae het reeds verskeie metodes voorgestel vir die aanpassing van beleggingsprestasie vir risiko aanvaar tydens die najaag van prestasie. Hierdie studie bied 'n oorsig van beskikbare tegnieke vir die meet van risiko aangepaste prestasie van genoteerde aandeel- en verwante beleggings. Die klassieke metodes van Treynor, Sharpe en Jensen word bespreek. Alternatiewe metodes om risiko te kwantifiseer bied verskillende metodes om prestasie vir risiko aan te pas. Dit lei tot die bespreking van meer moderne benaderings tot risiko aanpassing, soos die Sortino verhouding en die Omega maatstaf. Hierdie studie bring die tekort van risiko aangepaste prestasie verslaggewing in die Suid-Afrikaanse beleggingsbestuur industrie aan die lig. 'n Oorsig van riglyne vir risiko-aangepaste prestasie verslaggewing word gelewer. Die studie is gevolglik relevant vir beleggingsbestuurders, industrie beleidmakers en die finansiele pers wat oor beleggingsbestuur verslag doen. 'n Vergelyking van risiko-aangepaste opbrengs syfers tussen kollektiewe-. indeks- en direkte aandele beleggings benaderings lig uit dat 'n eenvoudige direkte aandele belegging strategie op 'n risiko-aangepaste basis oor die vyf jaar periode ondersoek, uitpresteer het.af_ZA
dc.format.extent74 p. : ill.
dc.language.isoen_ZA
dc.publisherStellenbosch : Stellenbosch University
dc.subjectMutual fundsen_ZA
dc.subjectInvestment analysisen_ZA
dc.subjectInvestments -- Risk assessmenten_ZA
dc.subjectStocksen_ZA
dc.subjectPortfolio evaluationen_ZA
dc.subjectInvestment performanceen_ZA
dc.subjectDissertations -- Business managementen_ZA
dc.subjectTheses -- Business managementen_ZA
dc.titleRisk-adjusted performance : an overviewen_ZA
dc.typeThesisen_ZA
dc.rights.holderStellenbosch University


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