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The effect of security return dispersion on performance measurement in a South African context
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Division of Actuarial Science
2015
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| _version_ | 1867613253068128256 |
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| access_status_str | Open Access |
| author | Gething, Bryce A |
| author2 | Polakow, Daniel |
| author_browse | Gething, Bryce A Polakow, Daniel |
| author_facet | Polakow, Daniel Gething, Bryce A |
| author_sort | Gething, Bryce A |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/13123 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:12.104Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/13123 The effect of security return dispersion on performance measurement in a South African context Gething, Bryce A Polakow, Daniel Mathematical Finance Includes bibliographical references. This work replicates a similar study performed by de Silva et al. (2001). Our study was performed on the South African market. De Silva et al. (2001) studied the effect of cross-sectional volatility (CSV) on fund managerial skill measurement. This lead to the conjecture that increased fund performance dispersion was primarily due to higher CSV, and not changes in informational efficiency or ranges in managerial talent. In this dissertation we firstly critique the CSV-adjusted alpha as a measure of fund performance and show that it can only be used as a means of normalising fund performance, yet reveals very little with regard to managerial talent. Since fund performance is intrinsically linked to CSV, we find it difficult to disentangle the effects of CSV and managerial talent dispersion. Adjusting for CSV therefore also implies adjustment for managerial talent, and we conclude with ideas for how a CSV-adjusted alpha may be used to assess manager talent. 2015-06-26T11:21:08Z 2015-06-26T11:21:08Z 2014 Master Thesis Masters MPhil http://hdl.handle.net/11427/13123 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance Gething, Bryce A The effect of security return dispersion on performance measurement in a South African context |
| thesis_degree_str | Master's |
| title | The effect of security return dispersion on performance measurement in a South African context |
| title_full | The effect of security return dispersion on performance measurement in a South African context |
| title_fullStr | The effect of security return dispersion on performance measurement in a South African context |
| title_full_unstemmed | The effect of security return dispersion on performance measurement in a South African context |
| title_short | The effect of security return dispersion on performance measurement in a South African context |
| title_sort | effect of security return dispersion on performance measurement in a south african context |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/13123 |
| work_keys_str_mv | AT gethingbrycea theeffectofsecurityreturndispersiononperformancemeasurementinasouthafricancontext AT gethingbrycea effectofsecurityreturndispersiononperformancemeasurementinasouthafricancontext |