The evaluation of the South African unit trust fund managers' performance and strategy in a changing economic climate (1989-2002)

Akinjolire, Akinwande (2002-12)

Thesis (MBA)--Stellenbosch University, 2002.

Thesis

ENGLISH ABSTRACT: Previous studies show that interest rates, dividend yields and other commonly available variables are useful market indicators. Although this has produced new insights into asset pricing models, it has not been applied to the measurement of unit trust funds' performance. This study introduces a set of predetermined variables into the measures of performance of South African unit trust fund managers. This paper modifies classical performance measures to incorporate these well-known market indicators. The performance and strategy of the South African general equity unit trust managers are evaluated for the period 1989 to 2002. The incorporation of these predetermined variables is both statistically and economically significant. It is concluded that when the conditional measures are applied to this sample of unit trusts, their performance improves and there is no evidence of market timing strategy. This study advocates conditional performance evaluation in which the relevant expectations are conditioned on public information variables.

AFRIKAANSE OPSOMMING: Vorige studies toon dat rentekoerse, dividendopbrengste en ander algemeen beskikbare veranderlikes bruikbare markaanwysers is. Hoewel dit nuwe insigte in bateprysbepalingsmodelle bring, is dit nog nie toegepas op die meting van effektetrust prestasie nie. Hierdie ondersoek gebruik 'n stel voorafbepaalde veranderlikes in die prestasiemeting van Suid-Afrikaanse effektetrust bestuurders. Hierdie werkstuk wysig klassieke prestasiemetings om die bekende markaanwysers in ag te neem. Die prestasie van Suid-Afrikaanse algemene aandele-effektetrusts vir die tydperk van 1989 tot 2002 is geëvalueer met behulp van hierdie wysigings. Daar word bevind dat die gebruik van hierdie voorafbepaalde veranderlikes statisties sowel as ekonomies beduidend is. Hierdie ondersoek bevind dat die prestasie van die steekproef van effektetrusts verbeter wanneer voorwaardelike metings daarop toegepas word. Daar is geen bewys van marktydberekeningstrategie nie. Hierdie werkstuk beveel voorwaardelike prestasie-evaluering aan waarin die betrokke verwagtings bepaal word deur veranderlikes wat openbare inligting is.

Please refer to this item in SUNScholar by using the following persistent URL: http://hdl.handle.net/10019.1/53115
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