{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/13123"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/13123","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"The effect of security return dispersion on performance measurement in a South African context","abstract":"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.","abstract_html":"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.","abstract_has_math":false,"creators":["Gething, Bryce A"],"institution":"Division of Actuarial Science","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Polakow, Daniel"],"committee_chairs":[],"committee_members":[],"year":2014,"date_issued":"2014","date_published":"2014","updated_at":"2026-07-22T22:23:07Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/13123","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Polakow, Daniel"]},{"key":"dc:creator","label":"Author","values":["Gething, Bryce A"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2015-06-26T11:21:08Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2015-06-26T11:21:08Z"]},{"key":"dc:date.issued","label":"Date","values":["2014"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Division of Actuarial Science"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["University of Cape Town"]},{"key":"dc:type","label":"Dc Type","values":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["MPhil"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/13123"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Includes bibliographical references."]},{"key":"dc:description.abstract","label":"Abstract","values":["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."]},{"key":"dc:title","label":"Title","values":["The effect of security return dispersion on performance measurement in a South African context"]}]}],"canonical_facts":{"dc:contributor.advisor":["Polakow, Daniel"],"dc:creator":["Gething, Bryce A"],"dc:date.accessioned":["2015-06-26T11:21:08Z"],"dc:date.available":["2015-06-26T11:21:08Z"],"dc:date.issued":["2014"],"dc:description":["Includes bibliographical references."],"dc:description.abstract":["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."],"dc:identifier.uri":["http://hdl.handle.net/11427/13123"],"dc:language.iso":["eng"],"dc:publisher.department":["Division of Actuarial Science"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["The effect of security return dispersion on performance measurement in a South African context"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MPhil"]},"updated_at":"2026-07-22T22:23:07Z"}