|Institution:||University of Cape Town|
|Full text PDF:||http://hdl.handle.net/11180/3029|
Includes abstract. This paper aims to expand on the growing area of fund style classification and benchmarking research in developed markets by extending such analyses to the South African context. ... A differentiating feature of this study is both the style indices used and the sample of fund manager return data in the South African context. The style indices used were sourced from A-DEX, which unlike those used in Scher and Muller (2005) comprise a greater sample of JSE listed companies and are fully tradable. Furthermore, the data sample compiled by RisCura Solutions (Pty) Ltd and contains returns from a total of sixty South African institutional fund managers. ... The current study analyses one of the largest samples of institutional manager return data in the South African context.