Thesis (MBA)--Stellenbosch University, 2005. / ENGLISH ABSTRACT: Investors accept that actual investment pertormance differs from anticipated
pertormance. The difference between the two is attributed to investment risk.
Professional investment managers charge significant fees for active
investment management. Investors funding this industry should evaluate the
risk-adjusted investment pertormance to determine if it justifies the associated
costs.
A number of research papers have presented various methods for adjusting
investment pertormance for the risk assumed in the generation thereof. This
study presents an overview of techniques available for measuring riskadjusted
pertormance of listed equity related investments. The classic
pertormance measures of Treynor, Sharpe and Jensen are discussed.
Alternative ways of quantifying risk offer different methods for risk-adjusting
periormance. This leads to the discussion of more modern approaches to
risk-adjustment, such as the Sortino ratio and the Omega measure.
The lack of risk-adjusted pertormance reporting within the South African
investment management industry is highlighted. An overview of guidelines for
risk-adjusted pertormance reporting is presented. As such, it is relevant to
investment managers, policy makers of the industry and the financial press
reporting on investment management.
A comparison of risk-adjusted pertormance figures between unitised-, indexand
direct equity investment approaches show that a simple direct equity
investment strategy outpertorm on risk-adjusted basis for the five year period
reviewed. / AFRIKAANSE OPSOMMING: Beleggers aanvaar die feit dat gerealiseerde beleggings opbrengste van
verwagte opbrengste verskil. Die verskil word aan beleggings risiko
toegeskryf. Professionele beleggingsbestuurders hef aansienlike fooie om
beleggings aktief te bestuur. Beleggers wat hierdie industrie befonds behoort
die risiko-aangepaste beleggingsprestasie te evalueer ten einde vas te stel of
dit die kostes regverdig wat daarmee gepaardgaan.
'n Aantal navorsingsverslae het reeds verskeie metodes voorgestel vir die
aanpassing van beleggingsprestasie vir risiko aanvaar tydens die najaag van
prestasie. Hierdie studie bied 'n oorsig van beskikbare tegnieke vir die meet
van risiko aangepaste prestasie van genoteerde aandeel- en verwante
beleggings. Die klassieke metodes van Treynor, Sharpe en Jensen word
bespreek. Alternatiewe metodes om risiko te kwantifiseer bied verskillende
metodes om prestasie vir risiko aan te pas. Dit lei tot die bespreking van
meer moderne benaderings tot risiko aanpassing, soos die Sortino verhouding
en die Omega maatstaf.
Hierdie studie bring die tekort van risiko aangepaste prestasie verslaggewing
in die Suid-Afrikaanse beleggingsbestuur industrie aan die lig. 'n Oorsig van
riglyne vir risiko-aangepaste prestasie verslaggewing word gelewer. Die
studie is gevolglik relevant vir beleggingsbestuurders, industrie beleidmakers
en die finansiele pers wat oor beleggingsbestuur verslag doen.
'n Vergelyking van risiko-aangepaste opbrengs syfers tussen kollektiewe-.
indeks- en direkte aandele beleggings benaderings lig uit dat 'n eenvoudige
direkte aandele belegging strategie op 'n risiko-aangepaste basis oor die vyf
jaar periode ondersoek, uitpresteer het.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/50442 |
| Date | 12 1900 |
| Creators | De Villiers, H. O. |
| Contributors | Gevers, W. R., 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 | Unknown |
| Type | Thesis |
| Format | 74 p. : ill. |
| Rights | Stellenbosch University |
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