MBA & MM Theses

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Subject: search.filters.subject.Johannesburg Securities ExchangeSubject: search.filters.subject.Unit trusts

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    The relative persistence in performance of South African Unit Trusts
    (2014-01-21) Midgley, Mark
    A considerable amount of research has been undertaken in South Africa and internationally to ascertain whether unit trust funds have outperformed their respective benchmarks and if fund managers have been able to achieve persistently superior returns for the investors. This research is aimed at determining whether there is persistence in performance of unit trust funds within South Africa over the periods of June 1988 to January 2013 and investigates the ability of unit trusts to retain their ranks as a winner or loser from one period to the next. Based on a review of available literature on persistence in performance of unit trust funds, two research questions were formulated as part of this study. Firstly, the research aims to determine whether or not persistence in performance exists in South African unit trusts and secondly whether persistence in performance exists in unit trusts relative to a style risk-adjustment benchmark over a period of time. The population tested for this study consists of all the actively managed South African equity funds over a 24-year period. A computer model was used to develop a fund trading strategy for Winner- and Loser-only unit trusts funds, using monthly fund price data sourced from I-Net Bridge. The results of the computer simulation yielded a fund trading strategy which defined the optimum portfolio size, look-back (L) period and holding (H) period to maximise fund performance. The study showed that unit trust funds were able to outperform the benchmark and in most cases were able to outperform the market. In general, winner-only funds tended to outperform loser-only funds. In summary, the research concluded that persistence in performance exists in South African Unit Trusts, and that these funds are able to outperform style riskadjustment benchmark over a period of time.
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    Use of the Efficient Frontier Method In Unit Trust Portfolio Selection
    (2011-07-14) Mugivhi, Thomas Vhutshilo
    This paper investigated whether optimal market portfolios delivered returns superior to those of existing unit trust portfolios over a five-year period. Three sets of unit trust portfolios were used for the research and they represented the Large Capitalization, Mining & Resources, and Financial & Industrial sectors of the JSE Securities Exchange. For each of the three sectors, an optimised market portfolio was constructed using the efficient frontier method, and these were compared and contrasted with existing portfolios. The optimised market portfolios consistently resulted in higher Sharpe ratios compared with existing unit trust portfolios over the period under review. Assertion that optimal market portfolio produce returns, which are superior to those of existing unit trust portfolio was confirmed
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    Comparative performance of
    (2011-05-19) Mmolawa, Obakeng Noah
    Exchange traded funds have generated a great deal of interest in markets where they have been introduced including in the South African investment market. In South Africa exchange traded funds are still relatively new and the range available is fairly narrow, however their popularity is growing at a fast rate. Since the introduction of exchange traded funds in South Africa, starting with the listing of the Satrix40 in November 2000, exchange traded funds have emerged as a viable investment alternative to unit trust funds. Given that exchange traded funds are available at low cost, and that they are likely to outperform active funds of similar risk, the question is: would an investor be better off investing in an exchange traded fund than in a unit trust portfolio. The purpose of this research was to compare the performance of an aggregate domestic general equity unit trust fund, to that of the Satrix40, an exchange traded fund, and to determine if an investor would have been better off investing with the aggregate general equity unit trust manager or in the Satrix40. Results from the comparative study of performance indicate that, after costs, the cumulative average abnormal returns of the Satrix40 are significantly more than those for an aggregate general equity unit trust portfolio. This suggests that an investor would have been better off investing with the Satrix40.