Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Assessing portfolio performance: The case of South African Unit Trusts

Assessing portfolio performance: The case of South African Unit Trusts Craig E. Oldfield and Michael J. Page Graduate School of Business, University of Cape Town, Private Bag, Rondebosch, 7700, Republic of South Africa Assessing portfolio performance: The case of South African Unit Trusts The standard approach used to assess the performance consistent basis could add to the evidence regarding the of unit trust managers is based on the premise that the validity of the efficient market hypothesis. investment strategy is basically stationary. Active man­ agement is viewed as being confined to timing - The economic assessment of the performance of profes­ occasional switching-between risky and riskless securities sionally managed funds is at best problematic. In the - and selectivity - switching between securities of standard tests of investment performance, the rate of essentially the same systematic risk to exploit temporary return to the holder of a particular fund is compared to the mispricing. This research utilises a traditional measure of performance of a proper "buy and hold portfolio" that has portfolio performance and a relatively straightforward the same priced risk characteristics as the fund under methodology that attempts to identify the timing and consideration. The traditional use of the Capital Asset selection skills of a sample of South African http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Investment Analysts Journal Taylor & Francis

Assessing portfolio performance: The case of South African Unit Trusts

Oldfield, Craig E.; Page, Michael J.
Investment Analysts Journal , Volume 26 (44): 17 – Jun 1, 1997
Download PDF
11 pages

Loading next page...
 
/lp/taylor-francis/assessing-portfolio-performance-the-case-of-south-african-unit-trusts-1e7A6G4oT5

References

References for this paper are not available at this time. We will be adding them shortly, thank you for your patience.

Publisher
Taylor & Francis
Copyright
© 1997 Taylor and Francis Group, LLC
ISSN
2077-0227
eISSN
1029-3523
DOI
10.1080/10293523.1997.11082365
Publisher site
See Article on Publisher Site

Abstract

Craig E. Oldfield and Michael J. Page Graduate School of Business, University of Cape Town, Private Bag, Rondebosch, 7700, Republic of South Africa Assessing portfolio performance: The case of South African Unit Trusts The standard approach used to assess the performance consistent basis could add to the evidence regarding the of unit trust managers is based on the premise that the validity of the efficient market hypothesis. investment strategy is basically stationary. Active man­ agement is viewed as being confined to timing - The economic assessment of the performance of profes­ occasional switching-between risky and riskless securities sionally managed funds is at best problematic. In the - and selectivity - switching between securities of standard tests of investment performance, the rate of essentially the same systematic risk to exploit temporary return to the holder of a particular fund is compared to the mispricing. This research utilises a traditional measure of performance of a proper "buy and hold portfolio" that has portfolio performance and a relatively straightforward the same priced risk characteristics as the fund under methodology that attempts to identify the timing and consideration. The traditional use of the Capital Asset selection skills of a sample of South African

Journal

Investment Analysts Journal – Taylor & Francis

Published: Jun 1, 1997

References

  • “On timing and selectivity”
  • “Unit Trusts' Performance: Does the Yardstick Matter?”
  • “Assessing Portfolio Performance: The Case of Flexible Investment Unit Trusts”
  • “UK unit trust performance 1980–1989: A passive time varying approach”
  • “Market timing and mutual fund investment performance”
  • “Differential information and timing ability”
  • “Components of Investment Performance”
  • “Portfolio performance and the cost of timing decisions”
  • “Performance measurement without benchmarks: An examination of mutual fund returns”
  • “Market timing and mutual fund performance: An empirical investigation”
  • “On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills”
  • “Assessing the market timing performance of managed portfolios”
  • “The performance of mutual funds in the period 1945–1964”
  • “The performance of SA unit trusts: 1977–1986”
  • “The investment performance of mutual funds: an empirical investigation of timing, selectivity, and market efficiency
  • “Market timing, selectivity and mutual fund performance: An empirical study”
  • “New evidence on timing and security selection skills of mutual fund managers”