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Mutual Fund Performance: Evidence From South Africa

Emerging Markets Journal

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Field Value
 
Title Mutual Fund Performance: Evidence From South Africa
 
Creator Tan, Ömer Faruk
 
Subject Mutual Fund; South Africa; Performance Evaluation
 
Description This paper aims to evaluate the performance of South African equity funds between January 2009 and November 2014. This study period overlaps with the study 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.
 
Publisher University Library System, University of Pittsburgh
 
Contributor —
 
Date 2015-11-12
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://emaj.pitt.edu/ojs/index.php/emaj/article/view/83
10.5195/emaj.2015.83
 
Source EMAJ: Emerging Markets Journal; Vol 5, No 2 (2015); 49-57
2158-8708
 
Language eng
 
Relation http://emaj.pitt.edu/ojs/index.php/emaj/article/view/83/258
http://emaj.pitt.edu/ojs/index.php/emaj/article/downloadSuppFile/83/15
 
Rights Copyright (c) 2015 EMAJ: Emerging Markets Journal