The prima facie relationship between size of assets under management and the risk-adjusted performance of South African collective investment schemes

There is a plethora of academic literature on the relationship between a collective investment scheme's (or mutual fund) size and its risk-adjusted performance but the research has produced contradictory results with no apparent consensus. Data from a sample size of 100 (one hundred) collective investment schemes in the Association for Savings and Investments (South Africa) ("ASISA"), SA Equity General Fund classification group over a 10 (ten) year period was analysed using regression techniques and ranking analysis to examine whether there was any prime facie relationship between the fund size and the risk-adjusted performance of South African collective investment schemes. The regression analysis found no statistically significant correlation between fund size and risk-adjusted performance. However, the results of the ranking analysis suggested a possible inverted U-Shape relationship between collective investment scheme fund size and risk-adjusted performance. This therefore presents an argument for an optimal fund size range of between R912,267,649.3 and R1,930,696,676 (about 1 - 2 billion Rand) in assets under management to maximise risk-adjusted performance.

Grantor dc:publisher.institution

Department of Finance and Tax

Year dc:date.issued

2015

Author dc:creator

• Kopke, Kerry-Leigh Elizabeth

Advisor dc:contributor.advisor

• West, Darron

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/16662

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/16662