Return-based style analysis of domestic targeted absolute and real return unit trust funds in South Africa

Abstract

By means of return-based style analysis (RBSA), heterogeneous style sub-categories were identified within the targeted absolute and real return (TARR) category of the South African unit trust market to create a framework for sub-categorisation. The study dealt with TARR funds and their place within the investment universe. The literature review emphasised the importance of asset allocation, which supports the use of RBSA to identify asset allocation and further provided a motivation for the semi-strong form of RBSA applied to the sample data. The findings suggest that in general, return-based style analysis applied to each fund identifies the asset allocation for the fund and is valid and that the collective results of return-based style analysis applied to the funds can be used to create a framework for sub-categorisation