Active fund management and crosssectional variance of returns

dc.contributor.advisorWard, Mikeen
dc.contributor.emailichelp@gibs.co.zaen
dc.contributor.postgraduateChan, Ching Yeeen
dc.date.accessioned2013-09-07T15:39:03Z
dc.date.available2013-04-25en
dc.date.available2013-09-07T15:39:03Z
dc.date.created2013-04-25en
dc.date.issued2012en
dc.date.submitted2013-02-16en
dc.descriptionDissertation (MBA)--University of Pretoria, 2012.en
dc.description.abstractIn active portfolio management, fund managers seek to follow an investment strategy with the objective of outperforming an investment benchmark index. Opportunities to outperform a benchmark in active fund management is made possible through crosssectional dispersion of returns in the market. It is cross-sectional volatility of returns that allows fund managers to identify changing trends in market relationships and to take advantage of market opportunities.Quarterly active share and active return data of Domestic General Equity funds was used to determine whether the level of active share and active return has a correlation with volatility measures such as cross-sectional variance of returns or the South African Volatility Index (SAVI). The actively-managed funds’ outperformance of the benchmark index during periods of differing cross-sectional variance was also looked at. Lastly, the possibility of whether market volatility can be used to inform fund investment decisions was also examined.The findings in this study are that there is no significant relationship between the crosssectional variance of returns, active share and active returns. In measuring fund performance in times of differing cross-sectional dispersion and breaking the analysis period into such intervals rather than as a continuous time series, active funds outperform the benchmark index during periods of low and moderate cross-sectional variance. The SAVI can be used as a fairly accurate and readily available approximation of cross-sectional variance.en
dc.description.availabilityunrestricteden
dc.description.departmentGordon Institute of Business Science (GIBS)en
dc.identifier.citationChan, CY 2012, Active fund management and crosssectional, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/29434 >en
dc.identifier.otherF13/4/136/zwen
dc.identifier.upetdurlhttp://upetd.up.ac.za/thesis/available/etd-02162013-122708/en
dc.identifier.urihttp://hdl.handle.net/2263/29434
dc.language.isoen
dc.publisherUniversity of Pretoriaen_ZA
dc.rights© 2012 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoriaen
dc.subjectUCTDen_US
dc.subjectActive shareen
dc.subjectUnit trusten
dc.subjectCross-sectional varianceen
dc.subjectActive managementen
dc.titleActive fund management and crosssectional variance of returnsen
dc.typeDissertationen

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