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Ex-ante evaluation of investment performance fees using spread options
This dissertation analyses ex-ante asymmetric performance fee structures used by South African Mutual Funds and estimates performance fees some time before the fees are paid. Certain parties might benefit from having a reasonable estimate of its value. We use spread option theory to value ex-ante pe...
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2018
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| _version_ | 1867613166017445888 |
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| access_status_str | Open Access |
| author | Dube, Tinashe Alison |
| author2 | Van Biljon, Andrew |
| author_browse | Dube, Tinashe Alison Van Biljon, Andrew |
| author_facet | Van Biljon, Andrew Dube, Tinashe Alison |
| author_sort | Dube, Tinashe Alison |
| collection | Thesis |
| description | This dissertation analyses ex-ante asymmetric performance fee structures used by South African Mutual Funds and estimates performance fees some time before the fees are paid. Certain parties might benefit from having a reasonable estimate of its value. We use spread option theory to value ex-ante performance fees. The data consist of monthly benchmark and fund gross returns from December 1999 to October 2014. The theoretical value of ex-ante performance fees is a function of spread volatility, therefore high spread volatilities give rise to high ex-ante performance fees. Ex-ante performance fee estimates are highly sensitive to the correlation between the fund and benchmark and a low positive correlation gives rise to a high ex-ante performance fee. The distribution of ex-ante performance fees is positively skewed because of the maximum function in the payoff. Ex-ante performance fee estimates obtained are lower than the actual performance fees paid. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/27070 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:31:48.735Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2018 |
| publishDateRange | 2018 |
| publishDateSort | 2018 |
| 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:11427/27070 Ex-ante evaluation of investment performance fees using spread options Dube, Tinashe Alison Van Biljon, Andrew Mathematical Finance This dissertation analyses ex-ante asymmetric performance fee structures used by South African Mutual Funds and estimates performance fees some time before the fees are paid. Certain parties might benefit from having a reasonable estimate of its value. We use spread option theory to value ex-ante performance fees. The data consist of monthly benchmark and fund gross returns from December 1999 to October 2014. The theoretical value of ex-ante performance fees is a function of spread volatility, therefore high spread volatilities give rise to high ex-ante performance fees. Ex-ante performance fee estimates are highly sensitive to the correlation between the fund and benchmark and a low positive correlation gives rise to a high ex-ante performance fee. The distribution of ex-ante performance fees is positively skewed because of the maximum function in the payoff. Ex-ante performance fee estimates obtained are lower than the actual performance fees paid. 2018-01-29T07:27:29Z 2018-01-29T07:27:29Z 2017 Master Thesis Masters MPhil http://hdl.handle.net/11427/27070 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance Dube, Tinashe Alison Ex-ante evaluation of investment performance fees using spread options |
| thesis_degree_str | Master's |
| title | Ex-ante evaluation of investment performance fees using spread options |
| title_full | Ex-ante evaluation of investment performance fees using spread options |
| title_fullStr | Ex-ante evaluation of investment performance fees using spread options |
| title_full_unstemmed | Ex-ante evaluation of investment performance fees using spread options |
| title_short | Ex-ante evaluation of investment performance fees using spread options |
| title_sort | ex ante evaluation of investment performance fees using spread options |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/27070 |
| work_keys_str_mv | AT dubetinashealison exanteevaluationofinvestmentperformancefeesusingspreadoptions |