Thesis (MBA)--Stellenbosch University, 2003. / ENGLISH ABSTRACT: Suspicion has long existed that the performance of unit trusts is artificially inflated at
quarter-ends, as those are the periods focussed on in the press. Studies investigating
this have been done in the USA, but to date no similar study has been done in South
Africa.
This study examines the daily net asset value (NAV) performances of South Africa's
domestic equity funds for the period from 1996 to 2002, as obtained from the
MoneyMate database. Specifically, returns in excess of the benchmark index at quarterends
are compared to excess returns at other month ends. The benchmark index
performance is subtracted to correct for movement in the market. Domestic equity funds
are divided into nine sectors and in much of this study, the funds in a sector are
examined collectively.
Results show that unit trust performance does peak at year-ends and quarter-ends, with
a subsequent drop at the start of years and quarters. Furthermore, more funds beat the
JSE All Share Index at year-ends and quarter-ends, than is normally the case. In
contrast, this pattern was not repeated in the percentage of funds beating zero.
Following these results, tests were done to establish whether a relationship exists
between an end-of-quarter positive return and a subsequent beginning-of-quarter
negative return. The suspected relationship was confirmed specifically in the funds from
the period from 2000 to 2002.
From this study, it would appear that inflating unit trust performances at quarter-ends is
not yet extinct in South Africa. Advice to potential investors would therefore be to invest
at the beginning of a quarter and to sell at the end. / AFRIKAANSE OPSOMMING: Daar bestaan lank reeds die vermoede dat die opbrengste van effektetrusts op
kwartaaleindes opwaarts bestuur word, siende dat dit die opbrengste is wat dekking in
die media geniet. Daar is al in die VSA studies gedoen wat hierdie vermoede
ondersoek, maar tot op hede was daar nog geen soortgelyke studie in Suid-Afrika nie.
Hierdie studie ondersoek die daaglikse opbrengste van die netto batewaarde van Suid-
Afrika se binnelandse effektetrusts vir die tydperk 1996 tot 2002, soos verkry van die
databasis MoneyMate. Die verskil tussen opbrengste van die effektetrusts en die indeks
op kwartaaleindes is vergelyk met die verskil op ander maandeindes (die verskil tussen
opbrengste is geneem om bewegings in die mark in ag te neem). Plaaslike effektetrusts
word in nege sektore verdeel, en in die grootste deel van hierdie studie word die
effektetrusts in 'n sektor as 'n geheel ondersoek.
Resultate toon dat effektetrusts opbrengste wel pieke toon op jaareindes en
kwartaaleindes, en dan weer val in die begin van jare en kwartale. Verder is daar ook
meer effektetrusts wat beter vaar as die JSE Alle Aandele Indeks op jaareindes en
kwartaaleindes as wat normaalweg die geval is. In kontras word hierdie patroon nie
herhaal as gekyk word na die persentasie van effektetrusts wat nul klop nie.
Na aanleiding van hierdie resultate is toetse gedoen om vas te stel of daar 'n verband
bestaan tussen positiewe opbrengste op kwartaaleindes en die daaropvolgende
negatiewe opbrengste aan die begin van kwartale. Hierdie verband is veral gevind vir
die tydperk 2000 tot 2002.
Uit hierdie studie wil dit blyk dat, in Suid-Afrika, die opbrengste van effektetrusts op
kwartaaleindes wel kunsmatig verhoog word. Raad aan voornemende beleggers sou
dus wees om aan die begin van 'n kwartaal te koop, en aan die einde te verkoop.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/53290 |
| Date | 12 1900 |
| Creators | Steyn, Esther |
| Contributors | V. d. M. Smit, E., Stellenbosch University. Faculty of Economic & Management Sciences. Graduate School of Business. |
| Publisher | Stellenbosch : Stellenbosch University |
| Source Sets | South African National ETD Portal |
| Language | en_ZA |
| Detected Language | Unknown |
| Type | Thesis |
| Format | 38 p. : ill. |
| Rights | Stellenbosch University |
Page generated in 0.0027 seconds