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Style adjusted performance of South African general equity unit trusts
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Finance and Tax
2014
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| _version_ | 1867613343064260608 |
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| access_status_str | Open Access |
| author | Eddy, Christopher |
| author2 | Van Rensburg, Paul |
| author_browse | Eddy, Christopher Van Rensburg, Paul |
| author_facet | Van Rensburg, Paul Eddy, Christopher |
| author_sort | Eddy, Christopher |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/8558 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:34:38.153Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/8558 Style adjusted performance of South African general equity unit trusts Eddy, Christopher Van Rensburg, Paul Includes bibliographical references. The performance of South African General Equity Unit Trusts is investigated in order to establish if managers are able to add value after adjusting for style exposure. The analysis is performed from January 2003 to December 2012 using three alternative methodologies including unconstrained regressions, returns-based style analysis and return decomposition. The results indicate that the majority of unit trust manager's style adjusted excess return is not statistically different from zero and the performance can be replicated using passive style indices. While the majority display negative style adjusted excess return there are individual unit trusts which consistently are able to outperform across the different methodologies and time periods. The economic significance of this positive alpha can be large over a longer period of time. 2014-10-17T10:12:46Z 2014-10-17T10:12:46Z 2014 Master Thesis Masters MCom http://hdl.handle.net/11427/8558 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Eddy, Christopher Style adjusted performance of South African general equity unit trusts |
| thesis_degree_str | Master's |
| title | Style adjusted performance of South African general equity unit trusts |
| title_full | Style adjusted performance of South African general equity unit trusts |
| title_fullStr | Style adjusted performance of South African general equity unit trusts |
| title_full_unstemmed | Style adjusted performance of South African general equity unit trusts |
| title_short | Style adjusted performance of South African general equity unit trusts |
| title_sort | style adjusted performance of south african general equity unit trusts |
| url | http://hdl.handle.net/11427/8558 |
| work_keys_str_mv | AT eddychristopher styleadjustedperformanceofsouthafricangeneralequityunittrusts |