文章基本信息

标题：Mutual Fund Performance: Evidence From South Africa
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作者：Ömer Faruk Tan
期刊名称：EMAJ: Emerging Markets Journal
印刷版ISSN：2158-8708
出版年度：2015
卷号：5
期号：2
页码：49-57
语种：English
出版社：University Library System, University of Pittsburgh
摘要：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.
关键词：Mutual Fund;South Africa;Performance Evaluation