ETD Collection

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Subject: search.filters.subject.Hedge funds--South Africa

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Now showing 1 - 3 of 3
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    Performance analysis of South African hedge funds
    (2017) Adenigba, Joseph
    We use a comprehensive HedgeNews Africa data set from January 2007 to October 2016 to examine the performance of South African Hedge Funds in relation to JSE All share Index and All Bond Composite Index. We do so using Capital Assets Pricing Model (CAPM), Fama and French three-factor model and four factor model. Research on South African hedge funds are scarce, which motivate this research and in the light of the new regulation that provide for two categories of hedge funds, namely Qualified Investor hedge funds and Retail Investors hedge funds, to see how ordinary investor can benefit from this unique industry. The results show that South African hedge fund have low correlation with the All Bond Composite Index, but do not outperform the JSE All Share Index. We also find that South African hedge fund outperforms the All Bond Composite Index. We further test whether South African hedge fund managers have market timing ability and find that they do not have any significant market timing ability.
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    The volatility factor and the performance of South African hedge funds
    (2017) Momoza, Bongiwe
    The study focuses on determining the driving factors of the performance of different hedge fund strategies in the South African industry. This is done through the application of an augmented capital asset pricing model. The model is predicated on the original (Sharpe, 1964) and (Lintner, 1965) Capital Asset Pricing Model. The researcher uses the excess market returns and the South African Volatility index as independent variables in the explanation of hedge fund returns at strategy and portfolio level. Through the analysis, the researcher finds that the excess market returns and the South African Volatility Index characterize the hedge fund expected returns for some of the strategies using OLS and GMM techniques. The second section uses a system of seemingly unrelated regressions for both the OLS and GMM techniques to determine if the two explanatory variables are priced into the different strategies; this indeed is shown to be the case for some of the strategies examined in the analysis.
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    Optimising a portfolio of hedge funds in South Africa
    (2016-08-10) Naidoo, Kamini
    The South African hedge fund industry is reported to have had R52 billion (USD 4.8 billion) assets under management at the end of December 2013. This compares to the global industry which is reported to have surpassed USD 2.6 trillion at the end of 2013. Due to the relative infancy of the local industry, little research exists to analyse the performance of South African hedge fund strategies. This study focuses on the performance of South African hedge fund strategies under different market regimes, taking into consideration market and economic factors specific to South Africa. The analysis shows that the hedge fund strategies offer a diversification benefit to more traditional asset classes, and the results of the study can be used to inform an investor’s allocation decision. The findings of the analysis are used as the basis of a portfolio construction framework for constructing a portfolio of hedge funds. The framework is predicated on the investor having a view on the forthcoming macro environment. The framework enables the investor to identify funds and strategies that have produced a stable alpha over a similar market regime for inclusion in the portfolio of funds. After identifying those funds and strategies most suited to the anticipated macro environment, the number of funds to be included in the portfolio is taken under consideration to determine the optimal number such that the performance and risk characteristics of the portfolio are not compromised. The analysis takes the higher moments of the distribution into account to cater for the non-normal nature of hedge fund distributions.