The persistence of active fund management performance

Wessels, D.R.; Krige, J.D.

doi:10.4102/sajbm.v36i2.628

Cited by 5 publications

(3 citation statements)

References 11 publications

(17 reference statements)

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“…The author also finds the performance evaluation results to be sensitive to the methodology and the types of performance measures employed in the study, as well as the timing and the length of the evaluation periods. Contrary to the evidence of performance persistence discovered by Wessels and Krige (2005) and Pawley (2006), the study conducted by Nana (2012) does not provide conclusive evidence on the performance persistence in the South African unit trust industry.…”

Section: Literature Reviewmentioning

confidence: 68%

“…Similar to the results obtained by Brink (2004), Oldham and Kroeger (2005) find that South African fund managers, in general, are unable to deliver consistent superior performance for any length of sub-periods in the examination period. Wessels and Krige (2005) investigate the performance persistence of South African equity unit trusts over the period from 1988 to 2003. More specifically, the authors attempt to determine whether the performance of winning funds in the prior periods persist in the upcoming periods; and whether funds that previously underperform remain underperformers in the following periods.…”

Section: Literature Reviewmentioning

confidence: 99%

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Performance evaluation of actively managed mutual funds

Malefo

Hsieh²,

Hodnett

2016

Investment Management and Financial Innovations

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Motivated by the growing attraction of the mutual fund industry worldwide, this research seeks to explore the economic benefits contributed by the South African equity unit trust managers over the period from 6 January 2002 to 2 September 2012. The performance statistics of selected equity unit trusts are examined for the overall examination period and two sub-periods: 6 January 2002 to 6 May 2007 and 7 May 2007 to 2 September 2012. The first sub-period captures the bullish performance of the unit trusts before the 2008 global financial crisis. The second sub-period captures the global financial crisis and the European debt crisis before the European Central Bank (ECB) subsequently implemented the outright monetary transactions (OMT) to curb the yields in Eurozone. The risk-adjusted performance measures employed by this study include the Sharpe ratio, M-squared, Treynor measure and Jensen’s alpha. Regardless of the different applications of risk-return parameters employed to evaluate fund performance, the results reveal that, on average, most of the equity unit trust managers in South Africa do not outperform the market proxy on a consistent basis. The majority of the unit trust managers show good performance before the crisis, with subsequent inferiority in performance in turbulent times. Keywords: unit trusts, active portfolio management, passive portfolio management, performance evaluation, efficient market hypothesis (EMH). JEL Classification: G11, G12, G14, G15

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Section: Literature Reviewmentioning

confidence: 68%

Section: Literature Reviewmentioning

confidence: 99%

Performance evaluation of actively managed mutual funds

Malefo

Hsieh²,

Hodnett

2016

Investment Management and Financial Innovations

View full text Add to dashboard Cite

show abstract

“…However, Firer et al (2001) document that the two-year period of investigating performance persistence is the best strategy for investors seeking superior outperformance. Moreover, Wessels and Krige (2005) analyse 32 equity funds from 1988 to 2003 and reveal short-term persistence over a month to month and quarter to quarter period while long-term periods of over one year or more showed weak evidence of persistence.…”

Section: Literature Reviewmentioning

confidence: 99%

Performance evaluation of equity unit trusts in South Africa

Thobejane

Simo-Kengne

Mwamba

2017

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Purpose The purpose of this paper is to evaluate the performance of 191 equity unit trusts in an emerging market, South Africa over the period from February 2006 to January 2016, which captures different market conditions (pre-global financial crisis, crisis and recovery periods). Besides testing for managerial ability, both cross-sectional regression and the non-parametric rank correlation test are used to test whether the performance generated by unit trusts does persist. Design/methodology/approach To evaluate the managerial ability of portfolio managers, two widely used methods, the Treynor-Mazuy (1966) model and Henriksson-Merton (1981) model, are employed. Both models test whether portfolio managers have stock selection and market timing ability. The cross-sectional regression and the rank correlation test are implemented which account for both parametric and non-parametric approaches of persistence testing, respectively. Findings Weak evidence of stock selection as well as market timing ability was found. Moreover, most of the unit trusts are reported to have insignificant coefficients. When testing for performance persistence using returns, the Sharpe ratio and the Sortino ratio as performance metrics, the overall results also revealed weak evidence of persistence that is equally spread across winning and losing funds. Originality/value While research on unit trusts’ performance has been conducted in emerging economies, little has been done in testing for managerial ability in general and in South Africa in particular. Moreover, the research tends to focus more on one class – Equity General. This paper extends the performance literature by testing whether portfolio managers in the South African equity unit trusts industry have stock selection and market timing ability.

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The unit trust industry in South Africa from 1965 to June 2005: are investors better off?

Meyer-Pretorius

Wolmarans²

2006

Meditari Accountancy Research

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The vast global unit trust/mutual fund industry was worth more than $16 trillion by the end of June 2005. Over time, investors' interests seem to have shifted from individual shares to share funds. The unit trust industry in South Africa is no exception. Over the 40-year period from its inception in 1965 to 2005, the industry has grown from only one fund to 567 different funds, worth more than R345 billion.This study highlights some of the most important changes that have occurred in the South African unit trust industry over the last 40 years. These shifts are compared to changes that the USA mutual fund industry has experienced in the 60 years of its existence. An attempt is then made to answer the question whether South African investors are better off with these changes or not.

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The persistence of active fund management performance

Cited by 5 publications

References 11 publications

Performance evaluation of actively managed mutual funds

Performance evaluation of actively managed mutual funds

Performance evaluation of equity unit trusts in South Africa

The unit trust industry in South Africa from 1965 to June 2005: are investors better off?

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