Changes in quarterly holdings of Domestic General Equity unit trust funds in JSE sectors displayed a negative association with same quarter returns. The results were obtained from cross tabulations of unit trust sector holdings data taken from the period June 2002 to June 2009. The relationship was consistent with loss aversion behaviour: a tendency to hold stocks with negative returns to avoid realising a loss, and to sell stocks with positive returns to achieve a more immediate gain. This finding at the sector level of unit trust holdings was a reversal of the positive correlation between changes in holdings and stock returns observed in US mutual funds by Sias, Starks and Titman (2006). Those sectors purchased by Domestic General Equity unit trusts in the preceding quarter generated significant positive abnormal returns over the following quarter. Trading rules, which replicated the weighted purchasing of sectors by unit trusts, were tested for holding periods of between one and four quarters. The trading rule with a single quarter holding period, generated an estimated cumulative return 43% greater than a benchmark of equal sector weightings from September 2002 to June 2009; but the high level of transaction costs associated with an average annual portfolio turnover ratio of 3.0 made it impossible to achieve such a return in practice.