{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/27070"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/27070","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Ex-ante evaluation of investment performance fees using spread options","abstract":"This dissertation analyses ex-ante asymmetric performance fee structures used by South African Mutual Funds and estimates performance fees some time before the fees are paid. Certain parties might benefit from having a reasonable estimate of its value. We use spread option theory to value ex-ante performance fees. The data consist of monthly benchmark and fund gross returns from December 1999 to October 2014. The theoretical value of ex-ante performance fees is a function of spread volatility, therefore high spread volatilities give rise to high ex-ante performance fees. Ex-ante performance fee estimates are highly sensitive to the correlation between the fund and benchmark and a low positive correlation gives rise to a high ex-ante performance fee. The distribution of ex-ante performance fees is positively skewed because of the maximum function in the payoff. Ex-ante performance fee estimates obtained are lower than the actual performance fees paid.","abstract_html":"This dissertation analyses ex-ante asymmetric performance fee structures used by South African Mutual Funds and estimates performance fees some time before the fees are paid. Certain parties might benefit from having a reasonable estimate of its value. We use spread option theory to value ex-ante performance fees. The data consist of monthly benchmark and fund gross returns from December 1999 to October 2014. The theoretical value of ex-ante performance fees is a function of spread volatility, therefore high spread volatilities give rise to high ex-ante performance fees. Ex-ante performance fee estimates are highly sensitive to the correlation between the fund and benchmark and a low positive correlation gives rise to a high ex-ante performance fee. The distribution of ex-ante performance fees is positively skewed because of the maximum function in the payoff. Ex-ante performance fee estimates obtained are lower than the actual performance fees paid.","abstract_has_math":false,"creators":["Dube, Tinashe Alison"],"institution":"Division of Actuarial Science","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Van Biljon, Andrew"],"committee_chairs":[],"committee_members":[],"year":2017,"date_issued":"2017","date_published":"2017","updated_at":"2026-07-22T22:22:39Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/27070","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Van Biljon, Andrew"]},{"key":"dc:creator","label":"Author","values":["Dube, Tinashe Alison"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2018-01-29T07:27:29Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2018-01-29T07:27:29Z"]},{"key":"dc:date.issued","label":"Date","values":["2017"]},{"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/11427/27070"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["This dissertation analyses ex-ante asymmetric performance fee structures used by South African Mutual Funds and estimates performance fees some time before the fees are paid. Certain parties might benefit from having a reasonable estimate of its value. We use spread option theory to value ex-ante performance fees. The data consist of monthly benchmark and fund gross returns from December 1999 to October 2014. The theoretical value of ex-ante performance fees is a function of spread volatility, therefore high spread volatilities give rise to high ex-ante performance fees. Ex-ante performance fee estimates are highly sensitive to the correlation between the fund and benchmark and a low positive correlation gives rise to a high ex-ante performance fee. The distribution of ex-ante performance fees is positively skewed because of the maximum function in the payoff. Ex-ante performance fee estimates obtained are lower than the actual performance fees paid."]},{"key":"dc:title","label":"Title","values":["Ex-ante evaluation of investment performance fees using spread options"]}]}],"canonical_facts":{"dc:contributor.advisor":["Van Biljon, Andrew"],"dc:creator":["Dube, Tinashe Alison"],"dc:date.accessioned":["2018-01-29T07:27:29Z"],"dc:date.available":["2018-01-29T07:27:29Z"],"dc:date.issued":["2017"],"dc:description.abstract":["This dissertation analyses ex-ante asymmetric performance fee structures used by South African Mutual Funds and estimates performance fees some time before the fees are paid. Certain parties might benefit from having a reasonable estimate of its value. We use spread option theory to value ex-ante performance fees. The data consist of monthly benchmark and fund gross returns from December 1999 to October 2014. The theoretical value of ex-ante performance fees is a function of spread volatility, therefore high spread volatilities give rise to high ex-ante performance fees. Ex-ante performance fee estimates are highly sensitive to the correlation between the fund and benchmark and a low positive correlation gives rise to a high ex-ante performance fee. The distribution of ex-ante performance fees is positively skewed because of the maximum function in the payoff. Ex-ante performance fee estimates obtained are lower than the actual performance fees paid."],"dc:identifier.uri":["http://hdl.handle.net/11427/27070"],"dc:language.iso":["eng"],"dc:publisher.department":["Division of Actuarial Science"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Ex-ante evaluation of investment performance fees using spread options"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MPhil"]},"updated_at":"2026-07-22T22:22:39Z"}