An investigation into South African general equity unit trusts during different economic periods
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1 An investigation into South African general equity unit trusts during different economic periods Presented by: Mark Hayes (University of the Witwatersrand ) Dino Bertolis (EY)
2 Agenda 1. Research questions 2. Approach 3. Research methodology 4. Results 5. Results (summary) 6. Investment strategy 7. Conclusion 8. Further research 2
3 Research questions Primary aim of the paper: Investigate the performance of general equity unit trust investment managers relative to the market over different economic periods from this, investigate whether unit trust investment managers outperform the market on average. 3
4 Approach Timeframe: Investigation from January 1994 to December Economic Periods Split into 3 distinct periods: Economic downturn Stable or average economic growth Above-average economic growth How do we differentiate between periods? Business Cycle Indicators (BCIs)
5 BCIs Business Cycle Indicators (BCIs) o SARB data o Comprises of economic time series data 3 types: Leading Coincident Lagging Diffusion Index A diffusion index measures the extent of a change in a BCI. It assesses the proportion of an indicator s underlying components that are moving in the same direction as the indicator as a whole.
6 Figure 1: Current diffusion index (deviation from long-term trend) Figure 2: Historical diffusion index
7 Post 2010 Various Business Confidence Index (BCI) Indicators Leading BCI Indicator Coincident BCI Indicator Lagging BCI Indicator
8 Economic Period Split - Summary Period Economic Cycle Start End January 1994 December 1996 Up January 1997 August 1999 Down September 1999 December 2003 Stable January 2004 November 2007 Up December 2007 August 2009 Down September 2009 December 2012 Stable
9 Research methodology Data: Monthly total returns for general equity unit trusts, converted into forces of interest. Hypothesis: Null hypothesis: H 0 : The relative performance is not significantly different from 0. Alternate hypothesis: H 1 : The relative performance differs significantly from 0. For a particular month, j, Jensen s alpha is calculated as α ij = R ij [R fj + β im R Mj R fj ] β im = Cov(R i, R m ) Var(R m )
10 Research methodology For each economic sub-period: Betas were calculated across all months for each unit trust Jensen s alpha was calculated individually for each unit trust and each month, using the aggregated beta A mean alpha was calculated for each unit trust across all months Test statistic: t = α s/ n distributed as a Student s t-distribution with n-1 degrees of freedom.
11 Calculation Sub-period Unit Trust Beta Month 1 Month 2 Month 3 Month 4 Average (α) Average
12 Jensen's Alpha Results Period 1: January 1994 to December 1996 (Above-average growth) 20.00% 15.00% 10.00% 5.00% 0.00% % % Beta
13 Jensen's Alpha Results Period 2: January 1997 to August 1999 (Downturn) 6.00% 4.00% 2.00% 0.00% -2.00% % -6.00% -8.00% % % % Beta
14 Jensen's Alpha Results Period 3: September 1999 to December 2003 (Stable growth) 20.00% 15.00% 10.00% 5.00% 0.00% % % % Beta
15 Jensen's Alpha Results Period 4: January 2004 to November 2007 (Above-average growth) Beta
16 Jensen's Alpha Results Period 5: December 2007 to August 2009 (Downturn) 15.00% 10.00% 5.00% 0.00% -5.00% % % % % Beta
17 Jensen's Alpha Results Period 6: September 2009 to December 2012 (Stable growth) 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% -2.00% % -6.00% -8.00% Beta
18 Results (Summary) Period Economic Period Average Alpha (per annum) 1 Up 3.47% 2 Down -3.02% 3 Stable 0.74% 4 Up 4.25% 5 Down -3.03% 6 Stable -0.31% Overall 0.99%
19 Results (Summary) Period Economic Period Average Alpha (per annum) 1 Up 3.47% 2 Down -3.02% 3 Stable 0.74% 4 Up 4.25% 5 Down -3.03% 6 Stable -0.31%
20 Results (Summary) Period Economic Period Average Alpha (per annum) Previous Research 1 Up 3.47% Negative 2 Down -3.02% Positive 3 Stable 0.74% 4 Up 4.25% Negative 5 Down -3.03% Positive 6 Stable -0.31%
21 Results (Summary) Period Economic Period Average Alpha (per annum) Average Beta 1 Up 3.47% Down -3.02% Stable 0.74% Up 4.25% Down -3.03% Stable -0.31% 0.76
22 Results (Summary) Period Economic Period Average Alpha (per annum) Average Beta 1 Up 3.47% Down -3.02% Stable 0.74% Up 4.25% Down -3.03% Stable -0.31% 0.76
23 Investment Strategy Buy before the rapid growth, sell before an economic downturn. Problems: 1) Determining economic periods in advance 2) Potentially greater return available from tactical asset allocation 3) Portfolio of unit trusts required funds of funds?
24 Conclusion Period Performance Significant? Average growth Market No
25 Conclusion Period Performance Significant? Average growth Market No Above-average growth Outperformance Yes
26 Conclusion Period Performance Significant? Average growth Market No Above-average growth Outperformance Yes Downturn Underperformance Yes
27 Conclusion Period Performance Significant? Average growth Market No Above-average growth Outperformance Yes Downturn Underperformance Yes Entire period Market No
28 Additional research Investigate the appropriateness of the market benchmark for South African general equity unit trusts. In particular, what the implications are of unit trust benchmarks being different to the market benchmark? Apply more complex risk-adjusted models to the performance data, such as Carhart s (1997) four-factor model. Adjust the models to allow for the effects of the cash holdings, which are required to deal with unexpected cash flows. Investigate the alpha generation capabilities of investment managers for other asset classes.
29 Thank you! For more information contact: Mark Hayes Dino Bertolis 29
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