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.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:wits/oai:wiredspace.wits.ac.za:10539/20843 |
| Date | 10 August 2016 |
| Creators | Naidoo, Kamini |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Thesis |
| Format | application/pdf |
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