Fund and manager characteristics : determinants of investment performance

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dc.contributor.advisorSmit, Eon v. d. M.en_ZA
dc.contributor.authorBrown, Warren Gerhard Pearceen_ZA
dc.contributor.otherStellenbosch University. Faculty of Economic and Management Sciences. Dept. of Business Management.
dc.date.accessioned2008-12-01T07:22:36Zen_ZA
dc.date.accessioned2010-06-01T08:16:21Z
dc.date.available2008-12-01T07:22:36Zen_ZA
dc.date.available2010-06-01T08:16:21Z
dc.date.issued2008-12en_ZA
dc.descriptionPhDen_ZA
dc.descriptionThesis (PhD (Business Management))--Stellenbosch University, 2008.
dc.description.abstractThe objective of this study is to provide a new approach to assessing fund management and to establish whether there is empirical support for this approach. The new approach will improve investors’ decision making with respect to the management and investment of their assets. We construct equity-only funds from quarterly equity holdings of unit trusts. The funds are ranked each quarter using various performance measures and segmented into winners and losers; firstly according to the median of the ranks and secondly according to quintile rankings. The funds’ rankings are examined for evidence of persistence. Secondly, a performance attribution method is introduced that identifies the static (“buy-and-hold”) portion and the trading portion of a fund. The funds are examined in terms of characteristics that distinguish between funds according to how the manager has chosen to organise (or construct) the fund. These characteristics are the static portion, the trading portion, the size of the static portion and the extent of the overlap between funds’ holdings and the large, mid and small capitalisation indices. Relationships between winners and losers (based on quartiles) and the fund characteristics are examined. Finally, the trading activities of investment managers, for their funds, are examined. This examination begins with the use of traditional measures that focus on a holistic approach to evaluating trading ability. The examination is enhanced with the introduction of a new reductionism approach, where the success of individual trades is examined. The results of the earlier performance attribution are included in the evaluation of investment managers’ abilities to add value to investors’ assets via trading activities.en_ZA
dc.identifier.urihttp://hdl.handle.net/10019.1/1244
dc.language.isoenen_ZA
dc.publisherStellenbosch : Stellenbosch University
dc.rights.holderStellenbosch University
dc.subjectFund managementen_ZA
dc.subjectDissertations -- Business management
dc.subjectTheses -- Business management
dc.subjectPortfolio management
dc.subjectInvestment analysis
dc.subject.otherBusiness Managementen_ZA
dc.titleFund and manager characteristics : determinants of investment performanceen_ZA
dc.typeThesisen_ZA
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