Thesis (MComm)--Stellenbosch University, 2012. / ENGLISH ABSTRACT: On 1 July 2011 the revised version of Regulation 28, which governs the South African
pension fund industry with regard to investments, took effect. The new version allows for
pension funds to invest up to 25 percent compared to 20 percent, in the previous version,
of its total investment in foreign assets. The aim of this study is to determine whether
it would be optimal for a South African pension fund to invest the full 25 percent of its
portfolio in foreign assets.
Seven different optimization models are evaluated in this study to determine the optimal
asset mix. The optimization models were selected through an extensive literature study
in order to address key optimization issues, e.g. which risk measure to use, whether
parametric or non parametric optimization should be used and if the Mean Variance model
for optimization defined by Markowitz, which has been the benchmark with regard to asset
allocation, is the best model to determine the long term asset allocation strategies.
The results obtained from the different models were used to recommend the optimal
long term asset allocation for a South African pension fund and also compared to determine
which optimization model proved to be the most efficient.
The study found that when using only the past ten years of data to construct the
portfolios, it would have been optimal to invest in only South African asset classes with
statistical differences with regard to returns in some cases. Using the past 20-years of data
to construct the optimal portfolios provided mixed results, while the 30-year period were
more in favour of an international portfolio with the full 25% invested in foreign asset
classes.
A comparison of the different models provided a clear winner with regard to a probability
of out performance. The Historical Resampled Mean Variance optimization provided the highest probability of out performing the benchmark. From the study it also became
evident that a 20-year data period is the optimal period when considering the historical
data that should be used to construct the optimal portfolio. / AFRIKAANSE OPSOMMING: Op 1 Julie 2011 het die hersiene Regulasie 28, wat die investering van Suid-Afrikaanse
pensioenfondse reguleer, in werking getree. Hierdie hersiene weergawe stel pensioenfondse
in staat om 25% van hulle fondse in buitelandse bateklasse te belê in plaas van 20%, soos
in die vorige weergawe. Hierdie studie stel vas of dit werklik voordelig sal wees vir ‘n SA
pensioenfonds om die volle 25% in buitelandse bateklasse te belê.
Sewe verskillende optimeringsmodelle is gebruik om die optimale portefeulje te probeer
skep. Die optimeringsmodelle is gekies na ’n uitgebreide literatuurstudie sodat van die
sleutelkwessies met betrekking tot optimering aangespreek kon word. Die kwessies waarna
verwys word sluit in, watter risikomaat behoort gebruik te word in die optimeringsproses,
of ‘n parametriese of nie-parametriese model gebruik moet word en of die “Mean-Variance”
model wat deur Markowitz in 1952 gedefinieer is en al vir baie jare as maatstaf vir portefeulje
optimering dien, nog steeds die beste model is om te gebruik.
Die uiteindelike resultate, verkry van die verskillende optimeringsmodelle, is gevolglik
gebruik om die optimale langtermyn bate-allokasie vir ‘n Suid-Afrikaanse pensioenfonds
op te stel. Die verskillende optimeringsmodelle is ook met mekaar vergelyk om te bepaal
of daar ‘n model is wat beter is as die res.
Vanuit die resultate was dit duidelik dat ’n portfeulje wat slegs uit Suid-Afrikaanse bates
bestaan beter sal presteer as slegs die laaste 10-jaar se data gebruik word om die portefeulje
op stel. Hierdie resultate is ook in meeste van die gevalle bevestig deur middel van hipotese
toetse. Deur gebruik te maak van die afgelope 20-jaar se data om die portefeuljes op te
stel, het gemengde resultate gelewer, terwyl die afgelope 30-jaar se data in meeste van die
gevalle ’n internasionaal gediversifiseerde portefeulje as die beter portefeulje uitgewys het.
In ’n vergelyking van die verskillende optimeringsmodelle is die “Historical Resampled Mean Variance” model duidelik as die beter model uitgewys. Hierdie model het die hoogste
waarskynlikheid behaal om die vasgstelde maatstafportefeuljes uit te presteer. Die resultate
het ook gedui op die 20-jaar periode as die beste data periode om te gebruik as die optimale
portfeulje opgestel word.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/20232 |
| Date | 03 1900 |
| Creators | Koegelenberg, Frederik Johannes |
| Contributors | Van Heerden, J. D., Stellenbosch University. Faculty of Economic and Management Sciences. Dept. of Statistics and Actuarial Science. |
| Publisher | Stellenbosch : Stellenbosch University |
| Source Sets | South African National ETD Portal |
| Language | en_ZA |
| Detected Language | English |
| Type | Thesis |
| Format | 154 p. : ill. |
| Rights | Stellenbosch University |
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