Thesis (MComm)--Stellenbosch University, 2014. / ENGLISH ABSTRACT: In this study Portfolio Opportunity Distributions (PODs) is applied as an alternative performance
evaluation method. Traditionally, Broad-Market Indices or peer group comparisons are used to
perform performance evaluation. These methods however have various biases and other problems
related to its use. These biases and problems include composition bias, classification bias,
concentration, etc. R.J. Surz (1994) introduced PODs in order to eliminate some of these
problems.
Each fund has its own opportunity set based on its style mandate and constraints. The style
mandate of the fund is determined by calculating the fund’s exposure to the nine Surz Style Indices
through the use of Returns-Based Style Analysis (RBSA). The indices are created based on the
style proposed by R.J. Surz (1994). Some adjustments were made to incorporate the unique
nature of the South African equity market. The combination of the fund’s exposures to the indices
best explains the return that the fund generated. In this paper the fund’s constraints are based on
the regulation requirements imposed on the funds in South Africa by the Collective Investment
Schemes Control Act No. 45 of 2002 (CISCA).
Thousands of random portfolios are then generated based on the fund’s opportunity set. The return
and risk of the simulated portfolios represent the possible investment outcomes that the manager
could have achieved given its opportunity set. Together the return and risk of the simulated
portfolios represent a range of possible outcomes against which the performance of the fund is
compared. It is also possible to determine the skill of the manager since it can be concluded that a manager
who consistently outperforms most of the simulated portfolios shows skill in selecting shares to be
included in the portfolio and assigning the correct weights to these shares.
The South African Rand depreciated quite a bit during the period under evaluation and therefore
funds invested large portions of their assets in foreign investments. These investments mostly
yielded very high or very low returns compared to the returns available in the domestic equity
market which impacted the application of PODs. Although the PODs methodology shows great
potential, it is impossible to conclude with certainty whether the PODs methodology is superior to
the traditional methods based on the current data. / AFRIKAANSE OPSOMMING: In hierdie studie word Portefeulje Geleentheids Verdelings (“PODs”) bekendgestel as ‘n
alternatiewe manier om die obrengste van bestuurders te evalueer. Gewoonlik word indekse en die
vergelyking van die fonds met soortgelyke fondse gebruik om fondse te evalueer. Die metodes het
egter verskeie probleme wat met die gebruik daarvan verband hou. Die probleme sluit onder
andere in: die samestelling en klassifikasie van soortgelyke fondse, die konsentrasie in die mark,
ens. R.J. Surz (1994) het dus Portefeulje Geleentheids Verdelings (“PODs”) bekendgestel in ‘n
poging om sommige van die probeleme te elimineer.
Elke fonds het sy eie unieke geleentheids versameling wat gebaseer is op die fonds se styl en
enige beperkings wat op die fonds van toepassing is. Die fonds se styl word bepaal deur die fonds
se blootstelling aan die nege Surz Styl Indekse te meet met behulp van opbrengs-gebaseerde styl
analise (“RBSA”). Die indekse is geskep gebaseer op die metode wat deur R.J. Surz (1994)
voorgestel is. Daar is egter aanpassings gemaak om die unieke aard van die Suid-Afrikaanse
aandele mark in ag te neem. Die kombinasie van die fonds se blootstelling aan die indekse
verduidelik waar die fonds se opbrengs vandaan kom. In die navorsingstuk is die beperkings wat
van toepassing is op die fonds afkomstig uit die regulasie vereistes wat deur die “Collective
Investment Schemes Control Act No. 45 of 2002 (CISCA)” in Suid-Afrika op fondse van
toepassing is. Duisende ewekansige portefeuljes word dan gegenereer gebaseer op die fonds se unieke groep
aandele waarin die fonds kan belê. Die opbrengs en risiko van die gesimuleerde portefeuljes
verteenwoordig al die moontlike beleggings uitkomste wat die fonds bestuurder kon gegenereer
het gegewe die fonds se unieke groep aandele waarin dit kon belê. Die opbrengs en risiko van al
die gesimuleerde portefeuljes skep saam ‘n verdeling van moontlike beleggings uitkomste
waarteen die opbrengs en risiko van die fonds vergelyk word.
Hierdie proses maak dit moontlik om die fonds bestuurder se vermoë om beter as meeste van die
gesimuleerde portefeuljes te presteer te bepaal. Die aanname kan gemaak word dat ‘n bestuurder
wat konsekwent oor tyd beter as meeste van die gesimuleerde portefeuljes presteer oor die
vermoë beskik om die regte aandele te kies om in die portefeulje in te sluit en ook die regte
gewigte aan die aandele toe te ken.
Die Suid-Afrikaanse Rand het heelwat gedepresieer tydens die evaluasie periode en daarom het
fondse groot porsies van hul beleggings oorsee belê. Die beleggings het dus of heelwat groter of
heelwat kleiner opbrengste gehad in vergelyking met die opbrengste beskikbaar in die plaaslike
aandelemark en dit het die toepassing van PODs beïnvloed. PODs toon baie potential, maar dit is
egter onmoontlik om met die huidige data stel vas te stel of dit ‘n beter metode is.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/86644 |
| Date | 04 1900 |
| Creators | Nortje, Hester Maria |
| 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 | Unknown |
| Type | Thesis |
| Format | 164 p. : ill. |
| Rights | Stellenbosch University |
Page generated in 0.0026 seconds