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.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/21111 |
| Date | 12 1900 |
| Creators | Van der Westhuysen, Gideon |
| Contributors | Krige, Niel, Stellenbosch University. Faculty of Economic and Management Sciences. Graduate School of Business. |
| Publisher | Stellenbosch : Stellenbosch University |
| Source Sets | South African National ETD Portal |
| Language | en_ZA |
| Detected Language | English |
| Type | Thesis |
| Rights | Stellenbosch University |
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