The effect of security return dispersion on performance measurement in a South African context

Includes bibliographical references. === This work replicates a similar study performed by de Silva et al. (2001). Our study was performed on the South African market. De Silva et al. (2001) studied the effect of cross-sectional volatility (CSV) on fund managerial skill measurement. This lead to the...

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Bibliographic Details
Main Author:	Gething, Bryce A
Other Authors:	Polakow, Daniel
Format:	Dissertation
Language:	English
Published:	University of Cape Town 2015
Subjects:	Mathematical Finance
Online Access:	http://hdl.handle.net/11427/13123

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spelling	ndltd-netd.ac.za-oai-union.ndltd.org-uct-oai-localhost-11427-131232020-10-06T05:11:14Z The effect of security return dispersion on performance measurement in a South African context Gething, Bryce A Polakow, Daniel Mathematical Finance Includes bibliographical references. This work replicates a similar study performed by de Silva et al. (2001). Our study was performed on the South African market. De Silva et al. (2001) studied the effect of cross-sectional volatility (CSV) on fund managerial skill measurement. This lead to the conjecture that increased fund performance dispersion was primarily due to higher CSV, and not changes in informational efficiency or ranges in managerial talent. In this dissertation we firstly critique the CSV-adjusted alpha as a measure of fund performance and show that it can only be used as a means of normalising fund performance, yet reveals very little with regard to managerial talent. Since fund performance is intrinsically linked to CSV, we find it difficult to disentangle the effects of CSV and managerial talent dispersion. Adjusting for CSV therefore also implies adjustment for managerial talent, and we conclude with ideas for how a CSV-adjusted alpha may be used to assess manager talent. 2015-06-26T11:21:08Z 2015-06-26T11:21:08Z 2014 Master Thesis Masters MPhil http://hdl.handle.net/11427/13123 eng application/pdf University of Cape Town Faculty of Commerce Division of Actuarial Science
collection	NDLTD
language	English
format	Dissertation
sources	NDLTD
topic	Mathematical Finance
spellingShingle	Mathematical Finance Gething, Bryce A The effect of security return dispersion on performance measurement in a South African context
description	Includes bibliographical references. === This work replicates a similar study performed by de Silva et al. (2001). Our study was performed on the South African market. De Silva et al. (2001) studied the effect of cross-sectional volatility (CSV) on fund managerial skill measurement. This lead to the conjecture that increased fund performance dispersion was primarily due to higher CSV, and not changes in informational efficiency or ranges in managerial talent. In this dissertation we firstly critique the CSV-adjusted alpha as a measure of fund performance and show that it can only be used as a means of normalising fund performance, yet reveals very little with regard to managerial talent. Since fund performance is intrinsically linked to CSV, we find it difficult to disentangle the effects of CSV and managerial talent dispersion. Adjusting for CSV therefore also implies adjustment for managerial talent, and we conclude with ideas for how a CSV-adjusted alpha may be used to assess manager talent.
author2	Polakow, Daniel
author_facet	Polakow, Daniel Gething, Bryce A
author	Gething, Bryce A
author_sort	Gething, Bryce A
title	The effect of security return dispersion on performance measurement in a South African context
title_short	The effect of security return dispersion on performance measurement in a South African context
title_full	The effect of security return dispersion on performance measurement in a South African context
title_fullStr	The effect of security return dispersion on performance measurement in a South African context
title_full_unstemmed	The effect of security return dispersion on performance measurement in a South African context
title_sort	effect of security return dispersion on performance measurement in a south african context
publisher	University of Cape Town
publishDate	2015
url	http://hdl.handle.net/11427/13123
work_keys_str_mv	AT gethingbrycea theeffectofsecurityreturndispersiononperformancemeasurementinasouthafricancontext AT gethingbrycea effectofsecurityreturndispersiononperformancemeasurementinasouthafricancontext
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The effect of security return dispersion on performance measurement in a South African context

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