Mutual Fund Performance: Evidence From South Africa

Abstract

This paper aims to evaluate the performance of South African equity funds between January 2009 and November 2014. This study period overlaps with the period of quantitative easing during which developing economies in financial markets have been influenced severely. Thanks to the increase in the money supply directed towards the capital markets, a relief was experienced in related markets following the crisis period. During this 5-year 10-month period, in which the relevant quantitative easing continued, Johannesburg Stock Exchange (JSE) yielded approximately 16% compounded on average, per year. In this study, South African equity funds are examined in order to compare these funds' performance within this period. Within this scope, 10 South African equity funds are selected. In order to measure these funds' performances, the Sharpe ratio (1966), Treynor ratio (1965), Jensen's alpha (1968) methods are used. Jensen's alpha is also used in identifying selectivity skills of fund managers. Furthermore, the Treynor & Mazuy (1966) and Henriksson & Merton (1981) regression analysis methods are applied to ascertain the market timing ability of fund managers. Furthermore, Treynor&Mazuy (1966) regression analysis method is applied for market timing ability of fund managers.

Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds

“…Other researchers used different measures to evaluate performance and detected the management abilities. To estimate the performance of South African equity funds and to determine the relationship between the independent and dependent variables, Tan (2015) used a multiple regression analysis (Sharpe ratio (Sharpe 1966), Treynor ratio (Treynor 1965), Jensen's alpha (Jensen 1967) methods, Treynor and Mazuy (1966) and Henriksson and Merton (1981)). The author suggested that South African fund managers could not display a good performance both in market timing abilities and selection skills.…”

Critical Analysis of Sharpe, Treynor and Jensen Methods in Analyzing Stock Portfolio Performance LQ-45 Stock Studies

“…The results showed that most of the mutual fund schemes performed well. Tan (2015) also conducted a study evaluating the performance of South Afirka equity funds using the Sharpe, Treynor, and Jensen methods in the 2009-2014 period. The sample used was 10 equity funds with the Johannesburg Stock Exchange (JSE) Index.…”

Canada-Africa Relations in Changing Core-Periphery Dynamics: A Chance to “Come Back” Differently

“…Africa is the second-fastest-growing economic region after East Asia. Exceptional conditions of the last decade have spurred this growth: the financial crisis of 2008 pumped liquidity into the global system as the US Federal Reserve put in place its quantitative easing policy (Fiano 2015;Tan 2015); Africa is seen as a new frontier market (Moghalu 2010;Napier 2010) and was recipient of global flows searching higher returns on investment; and emerging economies, particularly Asian countries, are trading and investing more heavily in Africa (Nowak 2016;Taylor 2012). All of these factors, along with the continent's average growth of 4.5 percent over the past two decades (World Bank 2015), supports the observation that African economies are in fact (still) rising.…”