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Relationship between AUM and Alpha in SA mutual funds
Academics and financial media are divided on whether the size of assets under management (AUM) influences returns. In an attempt to seek clarity in the local context, this study investigates the effect of the size of assets under management on alpha in South African equity mutual funds over the thre...
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| Format: | Thesis |
| Language: | English |
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Research of GSB
2018
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| _version_ | 1867613195924930561 |
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| access_status_str | Open Access |
| author | Ziphethe-Makola, Sandiswa Masande |
| author2 | Gumede, Lungelo L |
| author_browse | Gumede, Lungelo L Ziphethe-Makola, Sandiswa Masande |
| author_facet | Gumede, Lungelo L Ziphethe-Makola, Sandiswa Masande |
| author_sort | Ziphethe-Makola, Sandiswa Masande |
| collection | Thesis |
| description | Academics and financial media are divided on whether the size of assets under management (AUM) influences returns. In an attempt to seek clarity in the local context, this study investigates the effect of the size of assets under management on alpha in South African equity mutual funds over the three-year period to 31 December 2015. The study is based on secondary quantitative data reported on the Bloomberg Professional service database that includes mutual fund and benchmark indices, unit prices and fund asset sizes. The research sample comprises 69 South African equity mutual funds that existed for the three-year period under review. In this study, the relationship between AUM size and alpha is examined using the cross-sectional regression approach. No evidence of a linear relationship between AUM size and alpha was observed in the analysis based on the sample data. This finding is consistent with the semi-strong form efficient market hypothesis that securities reflect publicly available information. This finding implies that the exponential growth in AUM experienced in South Africa over the past two decades has neither enhanced nor come at the cost of returns. There does not seem to be a size effect that new investors and fund managers should be aware of. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/27368 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:17.361Z |
| 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 | Research of GSB |
| publisherStr | Research of GSB |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/27368 Relationship between AUM and Alpha in SA mutual funds Ziphethe-Makola, Sandiswa Masande Gumede, Lungelo L Development Finance Academics and financial media are divided on whether the size of assets under management (AUM) influences returns. In an attempt to seek clarity in the local context, this study investigates the effect of the size of assets under management on alpha in South African equity mutual funds over the three-year period to 31 December 2015. The study is based on secondary quantitative data reported on the Bloomberg Professional service database that includes mutual fund and benchmark indices, unit prices and fund asset sizes. The research sample comprises 69 South African equity mutual funds that existed for the three-year period under review. In this study, the relationship between AUM size and alpha is examined using the cross-sectional regression approach. No evidence of a linear relationship between AUM size and alpha was observed in the analysis based on the sample data. This finding is consistent with the semi-strong form efficient market hypothesis that securities reflect publicly available information. This finding implies that the exponential growth in AUM experienced in South Africa over the past two decades has neither enhanced nor come at the cost of returns. There does not seem to be a size effect that new investors and fund managers should be aware of. 2018-02-07T09:07:28Z 2018-02-07T09:07:28Z 2017 Master Thesis Masters MCom http://hdl.handle.net/11427/27368 eng application/pdf Research of GSB Faculty of Commerce University of Cape Town |
| spellingShingle | Development Finance Ziphethe-Makola, Sandiswa Masande Relationship between AUM and Alpha in SA mutual funds |
| thesis_degree_str | Master's |
| title | Relationship between AUM and Alpha in SA mutual funds |
| title_full | Relationship between AUM and Alpha in SA mutual funds |
| title_fullStr | Relationship between AUM and Alpha in SA mutual funds |
| title_full_unstemmed | Relationship between AUM and Alpha in SA mutual funds |
| title_short | Relationship between AUM and Alpha in SA mutual funds |
| title_sort | relationship between aum and alpha in sa mutual funds |
| topic | Development Finance |
| url | http://hdl.handle.net/11427/27368 |
| work_keys_str_mv | AT ziphethemakolasandiswamasande relationshipbetweenaumandalphainsamutualfunds |