Equity style and performance persistence in South African unit trusts

Scher, N; Müller, Chris

doi:10.1080/10293523.2005.11082464

Cited by 10 publications

(3 citation statements)

References 24 publications

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“…Previous studies on South African unit trusts (Oldfield & Page, 1997;Meyer, 1998;Von Wielligh & Smit, 2000;Scher & Muller, 2005) used the 91-day Treasury Bill rate as a proxy for the South African risk-free rate. In keeping with these studies, the daily 91-day Treasury Bill discount rate was sourced from the South African Reserve Bank website.…”

Section: Data and Research Methodologymentioning

confidence: 99%

Paying the High Price of Active Management: A New Look at Unit Trust Fees

Rensburg¹,

Krige²

2018

Studies in Economics and Econometrics

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Section: Data and Research Methodologymentioning

confidence: 99%

Paying the High Price of Active Management: A New Look at Unit Trust Fees

Rensburg¹,

Krige²

2018

Studies in Economics and Econometrics

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“…, and ℎ While Sharpe (1992) recommended 12 factors, the findings of French and Fama (1993) identified that for US equities, there are three consistent and significant drivers (the market, value and size effects) implying that there are at least three distinct groupings. South African studies, including De Villiers, Lowings, Pettit and Affleck-Graves (1986), Page and Palmer (1991), Fraser and Page (2000), Scher and Muller (2005) and more recently Fox and Krige (2013) have also embraced the investment style phenomenon.…”

Section: Recent Research Findings Includingmentioning

confidence: 99%

Using Risk Characteristics to Classify Funds

Kainja¹

2018

AFA

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We analyzed the South African general equity unit trusts for the period 30 June 2002 to 31 December 2014 to assess if we can re-categorize them into risk homogeneity groups. The current ASISA standards do not fully classify the unit trusts into categories that have within-group homogeneity and between-group heterogeneity.By analyzing the persistence of both systematic and total risk we concluded that we could objectively classify these unit trusts into objective risk homogeneity groups and improve on the current ASISA-mandate-based classification.

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“…Based on the results, the funds were subsequently categorised into large-cap growth, small-cap growth, large-cap value and small-cap value 23 . Scher and Muller (2005) used RBSA by Sharpe to determine the exposure of equity unit trusts in South Africa. Annually, the researchers conducted a style analysis based on the previous 12 months' return data (on aggregate).…”

Section: Research Subsequent To Sharpementioning

confidence: 99%

Return-based style analysis of domestic targeted absolute and real return unit trust funds in South Africa

Louw¹,

Beer²

2012

COC

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By means of return-based style analysis (RBSA), heterogeneous style sub-categories were identified within the targeted absolute and real return (TARR) category of the South African unit trust market to create a framework for sub-categorisation. The study dealt with TARR funds and their place within the investment universe. The literature review emphasised the importance of asset allocation, which supports the use of RBSA to identify asset allocation and further provided a motivation for the semi-strong form of RBSA applied to the sample data. The findings suggest that in general, return-based style analysis applied to each fund identifies the asset allocation for the fund and is valid and that the collective results of return-based style analysis applied to the funds can be used to create a framework for sub-categorisation

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Equity style and performance persistence in South African unit trusts

Cited by 10 publications

References 24 publications

Paying the High Price of Active Management: A New Look at Unit Trust Fees

Paying the High Price of Active Management: A New Look at Unit Trust Fees

Using Risk Characteristics to Classify Funds

Return-based style analysis of domestic targeted absolute and real return unit trust funds in South Africa

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