Thesis submitted in fulfilment of the requirements for the degree of Master of Management in Finance and Investments in the FACULTY OF COMMERCE, LAW AND MANAGEMENT WITS BUSINESS SCHOOL at the UNIVERSITY OF THE WITWATERSRAND / 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.

Thesis (MBA)--Stellenbosch University, 2001. / ENGLISH ABSTRACT: The objective of this study is to determine the optimum number of shares to be included in a well-diversified portfolio of small-capitalised companies listed on the Johannesburg Securities Exchange. A previous study by Jordan (1998) on South African companies falling in this category found that at least 20 shares should be included in a well-diversified portfolio. Neu-ner and Firer (1997) conducted a similar study of naïve diversification on all shares listed on the JSE with findings that at least thirty shares should be included in a well-diversified portfolio, which concurred with the findings of the study done by Statman (1997) on the NYSE. Findings of numerous studies conducted in the USA yielded different results with suggestions that between eight and twenty random selected stocks make a welldiversified portfolio. Fama and French (1992) conducted a research on risk and return with findings that size of a company is a better proxy for risk than beta. Small companies tend to produce returns that are greater than the returns from portfolios of larger companies. The research for determining the number of shares to be included in a portfolio of small company shares was conducted using naïve or random diversification and efficient diversification based on Markowitz efficient frontier. The results of the study indicate that random diversification of a portfolio in small company shares requires between twenty and thirty shares for a portfolio to be well diversified. The findings also showed consistency for the different investment periods investigated in terms of risk reduction. The research findings concur with the studies done by Statman, and Neu-ner and Firer, which suggest that a well-diversified portfolio should contain approximately thirty shares. The efficient diversification or Markowitz diversification resulted in fewer shares included in a well-diversified portfolio. However the optimum portfolio depends on the investors' preference as to the trade-off between risk and return. Efficient diversification is primarily based on the degree of covariance between asset returns in a portfolio. The results found using this technique indicate that a well-diversified portfolio should have approximately sixteen shares. The CAPM TUTOR programme used for efficient diversification conducted the research on an ex ante basis. / AFRIKAANSE OPSOMMING: Die doel van hierdie studie is om die optimale getal aandele van 'n goed gediversifiseerde portefeulje wat saamgestel is uit klein gekapitaliseerde maatskappye wat op die Johannesburgse Effektebeurs noteer is, te bepaal. 'n Vorige studie deur (Jordan, 1998) van Suid-Afrikaanse maatskappye wat in hierdie kategorie val, het bevind dat ten minste 20 aandele ingesluit behoort te word in 'n goed gediversifiseerde portefeulje. Neu-ner en Firer (1997) het 'n soortgelyke studie onderneem van naïewe diversifikasie van al die aandele wat op die Johannesburgse Effektebeurs noteer is. Hulle het bevind dat ten minste 30 aandele ingesluit behoort te word in 'n goed gediversifiseerde portefeulje, wat ooreenstem met die bevindings van die studie deur Statman (1997) oor die New Yorkse Effektebeurs. Bevindings van talle studies wat in die VSA gedoen is, het verskillende resultate opgelewer en dui daarop dat tussen agt en 20 lukraak geselekteerde aandele 'n goed gediversifiseerde portefeulje verteenwoordig. Fama en French (1992) het navorsing gedoen oor risiko en opbrengs, en het bevind dat die grootte van 'n maatskappy 'n beter aanduiding vir risiko is as beta. Klein maatskappye neig om opbrengste te lewer wat groter is as die opbrengs van portefeuljes wat bestaan uit groter maatskappye. Navorsing om die getal aandele te bepaal wat ingesluit behoort te word in 'n portefeulje wat bestaan uit aandele van klein maatskappye, is gedoen deur gebruik te maak van naïewe of lukrake diversifikasie en doeltreffende diversifikasie, gebaseer op die Markowitz doeltreffendheidsfront. Die resultate van hierdie studie dui aan dat lukrake diversifikasie, van 'n portefeulje wat uit aandele van klein maatskappye bestaan, tussen 20 en 30 aandele vereis vir die portefeulje om goed gediversifiseerd te wees. Hierdie bevindings het ook gedui op konsekwentheid vir die verskillende beleggingsperiodes wat ondersoek is in terme van risikoverlaging. Hierdie navorsingsbevindings stem ooreen met die studies van Statman, Neu-ner en Firer, wat daarop dui dat 'n goed gediversifiseerde portefeulje uit ongeveer 30 aandele behoort te bestaan. Die doeltreffende diversifikasie, of Markowitz diversifikasie, het tot gevolg gehad dat minder aandele ingesluit is in 'n goed gediversifiseerde portefeulje. Die optimale portefeulje word egter bepaal deur beleggersvoorkeur ten opsigte van die verrekening tussen risiko en opbrengs. Doeltreffende divesifikasie is hoofsaaklik gebaseer op die mate van kovariansie tussen bate-opbrengs in 'n portefeulje. Die resultate dui daarop dat deur hierdie tegniek te gebruik, 'n goed gediversifiseerde portefeulje ongeveer 16 aandele moet insluit. Die CAPM TUTOR-program wat gebruik is vir doeltreffende diversifikasie, het die navorsing op 'n ex ante (vooruitgeskatte ) basis gedoen.

Study project (MBA)--University of Stellenbosch, 2002. / ENGLISH ABSTRACT: The bond market is an important economic element of both developed and developing economies. The after effects of the Asian crises have prompted arguments that the existence of well-functioning domestic bond markets would have helped to mitigate the impact of shocks in the financial systems of the emerging markets both by providing an alternative source of funding to bank lending and by exposing investors rather than taxpayers to negative shocks. Comparative analyses of various emerging markets were done by using data from the IMF, IFC and various publications. Data from the developed nations, in particular the United States were used as a source of reference because corporate bond market has been used successfully in these markets. Given the limited sources of reference locally, data was sourced mainly from the Bond Exchange of South Africa publications, financial magazines and newspapers, workshop presentations and comments from various bankers, economists and fixed-income analysts. The report starts by looking at the size and growth of the market in comparison with its counterparts in the emerging markets. The reasons, facts, figures and arguments for such growth are thoroughly discussed. This study presents comprehensive macro-economic arguments on the development of the corporate bond market and the benefits they offer to corporates as an alternative source of long-term capital debt funding. The quantitative and qualitative model that assists corporates with the decision making process of whether to issue a bond to fund the capital structure is discussed. The study undertook a quantitative survey of the elements of corporate bond market in terms of coupon rates, bond pricing, risks (namely, credit rating risk and default risk) and the performance of the market, in particular the marketability, liquidity and returns. The investment strategy in the riskier part of the bond market is introduced and discussed, though limited in terms of development. The report concludes by mentioning the successes of the bond market by identifying the existing gaps in the market and the future development of the corporate bond market in South Africa, especially to attract more issuers to the net. / AFRIKAANSE OPSOMMING: Die lang termyn effekte mark, is "n belangrike finansierings element van beide die ontwikkelde en die ontwikkelende ekonomië. Die Asiese krises het as nagevolg gehad dat daar gefokus kon word op die moontlik versagtende invloed van "n goed gedefinieerde funksionele binnelandse effekte mark. Dit kon van die nagevolge versag het deur die daarstelling van "n alternatiewe finansierings bron en die daaropvolgende blootstelling van beleggers in die plek van die belastingbetalers. Vergelykende ontledings van verskeie ontwikkelende mark ekonomië is gedoen deur gebruikmaking van inligting verskaf deur die I.M.F. en I.F.K. asook ander publikasies. Inligting oor ontwikkelde lande in besonder die V.S.A. is gebruik as vergelykende anelise omdat die lang termyn effekte mark suksesvol bedryf word in hierdie markte. Weens die gebrekkige beskikbaarheid van binnelandse bronne i sinligting meestal vanaf die publikasies van die Lang Termyn Effekte beurs van Suid Afrika, finansiële tydskrifte, koerant publikasies, werkswinkel voorleggings asook gespekke met bankiers, ekonome en vaste koers beleggings ontleders verkry. Hierdie studie stuk, vergelyk in die eerste deel die omvang en groei van die mark in vergelyking met ander markte in ontwikkelende lande. Die verskeie groei veranderlikes asook redes en feite rakende groei word in diepte bespreek. Vergelykende makro ekonomiese bewyse vir die ontwikkeling en vestiging van "n lang termyn effekte mark, en die voordele daarvan vir Maatskappye as "n alternatiewe bron van kapitaal word in hierdie studie aangebied. Die kwantitatiewe en kwalitatiewe model vir gebruik deur Maatskappye om tot besluitneming te kom rakende die gebruik van effekte om kapitaal benodighede te befonds word ook bespreek. Die studie het ook "n kwantitatiewe opname ingesluit rakende die verskeie elemente van d ie effekte mark en 0 nder a ndere is daar nad ie koepon koerse, effekte prys bepaling, risiko (naamlik krediet en dishonorering), mark tendense en opbrengste, met besondere verwysing na bemarkbaarheid, likwiditeit en opbrengs. Beleggings strategie in die meer riskante deel van die lang termyn effekte mark word ook bespreek, maar dit is beperk weens die beperkte ontwikkeling daarvan. Afsluitend word verwys na verskeie sukses faktore in die effekte mark deur die indentifisering van bestaande gapings, en die toekomstige ontwikkeling van hierdie spesifieke mark in Suid Afrika. Die doelstelling om meer toetreders na die mark te lok as deelnemers deur die uitgifte van lang termyn effekte word ook benadruk.

Thesis (MBA)--Stellenbosch University, 2007. / ENGLISH ABSTRACT: The Brandes Institute and Global Wealth Allocation developed a measure of concentration to investigate whether more concentrated portfolios will give better returns. The Concentration Coefficient of a portfolio is defined as the inverse of the sum of the squares of the weights of the different shares within a given portfolio. As such it describes the concentration of the portfolio as if the investor invested in a number of equally weighted shares. Using the Concentration Coefficient the Brandes Institute investigated the relationship between a number of portfolio characteristics and portfolio concentration for a number of portfolios in the United States market. This study firstly looks at the literature available on portfolio concentration. To this end it discusses a number of different measures of portfolio concentration, and give the pros and cons of each. The author then attempts to recreate the study that was done by the Brandes Institute for the South African Market. The analysis shows that there are some similarities in behaviour between the South African and United States markets, even though the South African market is much smaller. The findings of the above analysis concurs with that of the Brandes Institute, in that there does not seem to be a significant relationship between return and portfolio concentration. The author further investigates how concentration would have impacted returns, had each portfolio manager used his chosen strategy, but only in a more concentrated fashion. In order to do this the return of the actual portfolio was calculated and compared with the return from an idealized portfolio. TIlls idealized portfolio was taken as consisting only of the top ten equity investments in which the portfolio manager invested for the gi yen period. Again the result showed no significant relationship between the perfonnance of the portfolio and portfolio concentration. The inruitive result thus holds, in that increased portfolio concentration does not necessarily lead to higher returns, but that it does lead to more volatility in perfonnance. In conclusion the author makes a number of recommendations for future research that will contribute to the understanding of the effect of portfolio concentration. / AFRIKAANSE OPSOMMING: Die Brandes lnstituut en Global Wealth Allocation het 'n maatstaf van konsentrasie ontwikkel om te bepaal ofmeer gekonsentreerde fondse beter opbrengste sal1ewer. Die Konsentrasie Koeffisient van 'n fonds word gedefinieer as die invers van die sam van die kwadrate van die gewigte van die verskillende aandele in die fonds. Dil beskryf dus die konsentrasie van 'n fonds asaf die beJegger in 'n aantal ewewigte aandele bele het. Die Brandes lnstituut het die Konsentrasie Koeffisient gebruik om die onderlinge verband tussen 'n aanta! fonds eienskappe en die konsentrasie van fondse in die markle van die Verenigde State van Amerika te ondersoek. Hierdie ondersoek deen eerstens 'n literatuur studie oor fonds konsentrasie. Die verskillende maatstawwe van fonds konsentrasie word bespreek, en rue voor- en nadele van elk word gegee. Die skrywer poog verder om die studie soos gedoen deur die Brandes Instituut te dupliseer vir die Suid Afrikaanse mark. Die analise toon dat alhoewel die Suid Afrikaanse mark heeJwat kleiner is as die van die Verenigde State van Amerika. daar tog duidelike ooreenkomste in die resultate is. Die bevindinge van die bogenoemde analise stroak met die resultate verkry deur die Brandes lnstituut, aangesien daar geen duidelike verb and tussen ophrengs en fonds konsentrasie blyk te wees nie. Die skrywer ondersoek verder hoe konsentrasie opbrengs sou be'invloed het indien elke fonds bestuurder sy gekose strategie gevolg het, maar net meer gekonsentreerd. Ten einde dit te doeo word die oprengs van die werklike fonds vergeJyk met die opbrengs van 'n geYdialiseerde fonds. Die geYdialiseerde fonds bestaan slegs uit die top tien ekwiteit aandele waarin die fonds bestuurder in die betrokke periode bele het. Weereens toon die reultate geen noemenswaardige verband tussen opbrengs en fonds konsentrasie nie. Die intuitiewe resultaat geld dus steeds, aangesien verhoogde fonds konsentrasie nie noodwendig tot beter opbrengste lei rue, maar dat dit wei hoer volatiliteit tot gevolg het. Ten slotte maak die skrywer 'n aantal aanbevelings vir verdere navorsing wat sal bydrae tot die begrip van die invloed van fonds konsentrasie.

A research report submitted to the Faculty of Commerce, Law and Management, University of the Witwatersrand, in partial fulfilment of the requirements for the degree of Master of Management (in the field Finance and Investment Management) , 2016 / Style investing is a well-documented global phenomenon that refers to the manner in which investors formulate their capital allocation decisions. The two broad styles of investing to be discussed in this report are the ‘value style’ and the ‘growth style’ investing. Recent empirical research suggests that value style of investing outperforms growth style investing over the long term. Rational theories suggest that a value premium exist because value counters have higher unsystematic risk. However, theories such as behavioural finance attribute the value premium to more psychological social factors such as emotional and heuristic biases. The aim of this study was to determine whether value style investing outperforms growth style investing in South Africa. For the purposes of this study, we evaluated the performance of various portfolios for the period of December 2000 to December 2015. In addition, the study determined the relative risk of the two styles, by testing whether value outperforms growth during periods of financial crisis, and during a period of slow economic growth. In defining the parameters of our study, we divided the constituents of Financial Times and London Stock Exchange/Johannesburg Stock Exchange (FTSE /JSE) index into growth and value based on their relative Price to book (P/B) going back to December 2000. This created four portfolios; namely, Deep value, Relative value, Relative growth and Super growth. Portfolio Analytics were employed to determine which style outperforms over the period. Regression analyses was used to ascertain which portfolio generated abnormal risk adjusted returns over the period. Relative risk is also analysed. The results of this research indicate that there is limited evidence of value premium in South Africa over the period of the study, albeit there are some periods where one style is dominant over the other. Regressions suggest that none of the portfolios constructed using market capital weighted generate abnormal returns. However, deep value, relative value and relative growth portfolios generate abnormal returns when constructed on equalweighted basis. On a relative risk basis, deep value outperforms during the financial crisis, whereas relative value outperforms during economic slowdowns. / GR2018

Credit derivatives played a large role in intensifying losses during the subprime lending crisis, which began in 2007 in the US and spiralled into a financial crisis in 2008. One of the major reasons for this descent into financial crisis was the uncertainty about the exposure of some systemically important financial institutions through their derivative positions, specifically credit derivative instruments such as credit default swaps (CDSs). Using data obtained from the SARB, the study found that prior to the crisis, the size of the South African OTC credit derivatives market was increasing steadily. However, the 2008 financial crisis temporarily stunted this growth, and the size of the market declined. Since 2010, the growth of the market has once again been on an upward trajectory. The study examines recent international and local regulations relating to OTC derivatives and makes policy recommendations for South Africa. / Economics / M. Com. (Economics)

This study examines the pattern of covariation of the industrial index returns of South Africa and foreign industrial sectors. This follows recent increase in national equity correlations and increases in the influence of industry effects in portfolio diversification. The covariation pattern in returns across industries and countries during both bull and bear runs is examined using correlation analysis to determine if there is a difference between the two epochs. The study presents preliminary evidence of the covariation between sectors during a bear and a bull run. Return covariation among sectors is impelled to a greater extent by country-specific factors than by industry-specific factors, implying the segmentation of industrial sectors. Thus, South African investors can in general gain more if a portfolio comprising shares across industries and countries is held, even if these investors buy shares from similar industries.

Thesis (MBA)--Stellenbosch University, 2000. / ENGLISH ABSTRACT: The purpose of this report is to determine how much international diversification a South African investor should practice in order to minimise his portfolio risk and to maximise his portfolio return. The most recent budget allows the South African investor to invest up to R500 000 in overseas investments. The analysis was performed over the period December 1993 to May 2000 for an investor investing in Investec Guinness Flight unit trusts. Unit trusts were used instead of general indices, because it is a well-known investment vehicle for the layman and is already a well-diversified representation of a specific focus sector. The Markowitz Portfolio Selection Theory was used to perform the analysis and to determine the optimal internationally diversified portfolios composed of the following markets: South Africa, the United States of America, Europe, the United Kingdom, and Japan. It was found that International Diversification does hold great potential benefits for the South African investor investing from an emerging market. It was also found that the South African Equity market carries the highest risk compared against the other markets investigated, however the South African Bond and Money Market showed good risk return features compared to other markets. Optimal portfolios were generated for the 'conservative' or most risk-averse investor, the 'balanced' investor, and the 'aggressive' investor or the risk-loving investor. The portfolio combinations looked like this respectively: 4% USA Equity, 5% EU Equity, 3% SA Bond, and 88% Money Market for the conservative investor; 33% USA Equity, 25% EU Equity, 18% SA Bond, and 24% SA Money Market for the balanced investor; 51% USA Equity, 48% EU Equity and 1% SA Bond for the aggressive investor. / AFRIKAANSE OPSOMMING: Die doel van hierdie verslag is om vas te stel hoeveel internasionale diversifikasie 'n Suid-Afrikaanse investeerder moet aangaan ten einde die risiko's rondom sy portefeulje enersyds te minimaliseer en andersyds maksimum opbrengste te lewer. Die analise is oor die tydperk Desember 1993 tot Mei 2000 uitgevoer vir 'n investeerder wat in Investec Guinness Flight effektetrust sou investeer. Instede van algemene aandeleindekse, is van effektetrusts gebruik gemaak omdat dit 'n welbekende investeringsvoertuig onder Jan Publiek is en reeds 'n goedgediversifiseerde verteenwoordiging van 'n spesifieke fokussektor is. Daar is van die Markowitz Portefeulje Seleksie Teorie gebruik gemaak vir die analise en dáárdeur is ook vasgestel wat die optimaal-internationaal gediversifiseerde portefeulje uit die volgende market sou wees: Suid-Afrika, Die Verenigde State van Amerika, Europa, Brittanje en Japan. Daar is gevind dat, Internationale Diversifikasie potentiëel-goeie opbrengste vir die Suid-Afrikaanse investeerder in 'n opkomende mark lewer. Daar is ook gevind dat die Suid-Afrikaanse Algemene Ekwiteitmark die hoogste risiko dra vergeleke met ander markte tydens die ondersoek periode, alhoewel die Suid-Afrikaanse Kapitaalmark en Geldmark goeie lae risiko opbrengste oplewer teenoor ander markte. Optimale portefeuljes is gegenereer vir die konserwatiewe of mees risiko-gekante investeerder, die gebalanseerde investeerder en die aggressiewe investeerder. Die portefeuljekombinasies is onderskeidelik as volg:. 4% VSA Ekwiteit, 5% Europese Unie Ekwiteit, 3% SA Kapitaalmark, en 88% SA Geldmark vir die konserwatiewe investeerder; 33% VSA Ekwiteit, 25% Europese Unie Ekwiteit, 18% SA Kapitaalmark, en 24% SA Geldmark vir die gebalanseerde investeerder; 51% VSA Ekwiteit, 48% Europese Unie Ekwiteit en 1% SA Kapitaalmark vir die aggressiewe investeerder.

Thesis (MComm)--Stellenbosch University, 2014. / ENGLISH ABSTRACT: In this study Portfolio Opportunity Distributions (PODs) is applied as an alternative performance evaluation method. Traditionally, Broad-Market Indices or peer group comparisons are used to perform performance evaluation. These methods however have various biases and other problems related to its use. These biases and problems include composition bias, classification bias, concentration, etc. R.J. Surz (1994) introduced PODs in order to eliminate some of these problems. Each fund has its own opportunity set based on its style mandate and constraints. The style mandate of the fund is determined by calculating the fund’s exposure to the nine Surz Style Indices through the use of Returns-Based Style Analysis (RBSA). The indices are created based on the style proposed by R.J. Surz (1994). Some adjustments were made to incorporate the unique nature of the South African equity market. The combination of the fund’s exposures to the indices best explains the return that the fund generated. In this paper the fund’s constraints are based on the regulation requirements imposed on the funds in South Africa by the Collective Investment Schemes Control Act No. 45 of 2002 (CISCA). Thousands of random portfolios are then generated based on the fund’s opportunity set. The return and risk of the simulated portfolios represent the possible investment outcomes that the manager could have achieved given its opportunity set. Together the return and risk of the simulated portfolios represent a range of possible outcomes against which the performance of the fund is compared. It is also possible to determine the skill of the manager since it can be concluded that a manager who consistently outperforms most of the simulated portfolios shows skill in selecting shares to be included in the portfolio and assigning the correct weights to these shares. The South African Rand depreciated quite a bit during the period under evaluation and therefore funds invested large portions of their assets in foreign investments. These investments mostly yielded very high or very low returns compared to the returns available in the domestic equity market which impacted the application of PODs. Although the PODs methodology shows great potential, it is impossible to conclude with certainty whether the PODs methodology is superior to the traditional methods based on the current data. / AFRIKAANSE OPSOMMING: In hierdie studie word Portefeulje Geleentheids Verdelings (“PODs”) bekendgestel as ‘n alternatiewe manier om die obrengste van bestuurders te evalueer. Gewoonlik word indekse en die vergelyking van die fonds met soortgelyke fondse gebruik om fondse te evalueer. Die metodes het egter verskeie probleme wat met die gebruik daarvan verband hou. Die probleme sluit onder andere in: die samestelling en klassifikasie van soortgelyke fondse, die konsentrasie in die mark, ens. R.J. Surz (1994) het dus Portefeulje Geleentheids Verdelings (“PODs”) bekendgestel in ‘n poging om sommige van die probeleme te elimineer. Elke fonds het sy eie unieke geleentheids versameling wat gebaseer is op die fonds se styl en enige beperkings wat op die fonds van toepassing is. Die fonds se styl word bepaal deur die fonds se blootstelling aan die nege Surz Styl Indekse te meet met behulp van opbrengs-gebaseerde styl analise (“RBSA”). Die indekse is geskep gebaseer op die metode wat deur R.J. Surz (1994) voorgestel is. Daar is egter aanpassings gemaak om die unieke aard van die Suid-Afrikaanse aandele mark in ag te neem. Die kombinasie van die fonds se blootstelling aan die indekse verduidelik waar die fonds se opbrengs vandaan kom. In die navorsingstuk is die beperkings wat van toepassing is op die fonds afkomstig uit die regulasie vereistes wat deur die “Collective Investment Schemes Control Act No. 45 of 2002 (CISCA)” in Suid-Afrika op fondse van toepassing is. Duisende ewekansige portefeuljes word dan gegenereer gebaseer op die fonds se unieke groep aandele waarin die fonds kan belê. Die opbrengs en risiko van die gesimuleerde portefeuljes verteenwoordig al die moontlike beleggings uitkomste wat die fonds bestuurder kon gegenereer het gegewe die fonds se unieke groep aandele waarin dit kon belê. Die opbrengs en risiko van al die gesimuleerde portefeuljes skep saam ‘n verdeling van moontlike beleggings uitkomste waarteen die opbrengs en risiko van die fonds vergelyk word. Hierdie proses maak dit moontlik om die fonds bestuurder se vermoë om beter as meeste van die gesimuleerde portefeuljes te presteer te bepaal. Die aanname kan gemaak word dat ‘n bestuurder wat konsekwent oor tyd beter as meeste van die gesimuleerde portefeuljes presteer oor die vermoë beskik om die regte aandele te kies om in die portefeulje in te sluit en ook die regte gewigte aan die aandele toe te ken. Die Suid-Afrikaanse Rand het heelwat gedepresieer tydens die evaluasie periode en daarom het fondse groot porsies van hul beleggings oorsee belê. Die beleggings het dus of heelwat groter of heelwat kleiner opbrengste gehad in vergelyking met die opbrengste beskikbaar in die plaaslike aandelemark en dit het die toepassing van PODs beïnvloed. PODs toon baie potential, maar dit is egter onmoontlik om met die huidige data stel vas te stel of dit ‘n beter metode is.

Thesis (MDF)--Stellenbosch University, 2014. / Based on quarterly data for the period 1985 to 2012, this study analyses the effect of Foreign Portfolio Investment on the growth of the South African economy. In order to support the country’s economic growth, South Africa needs foreign capital in the form of foreign capital flows and these include both foreign direct investment and foreign portfolio investment. Given the low national savings rate in South Africa, foreign portfolio inflows play an important role in the sustenance of higher levels of investment and growth. The study employed the Johansen Cointegration technique to analyse the long-run relationship and the Vector Error Correction Model for the short-term interaction between variables. The long-run results illustrated that there is a negative relationship between Gross Domestic Product and foreign portfolio investment. However in the short run the results indicate a positive relationship between foreign portfolio investment and gross domestic product. These results are supported by the Granger causality test which shows that foreign portfolio investment Granger causes Gross domestic product. The findings from the study suggest that authorities should take advantage of foreign portfolio investment in the short run. However the results also suggest that foreign direct investment is another important source of capital in the long term.