An investigation into South African property unit trusts: do active managers add value to investors?
type: CreativeWork
description: Active vs passive management is a central debate within asset management, with active managers promising superior market beating performance after fees through their superior knowledge and stock selection. This study investigates the performance of 34 South African property unit trusts over multiple periods between 2005 and 2018. Fund performance was evaluated using three risk-adjusted measures, namely the Sharpe ratio, information ratio and Jensen's alpha, in order to determine whether there is significant outperformance amongst the funds. The benchmark used to compare performance was the South African Listed Property index (SAPY), which is the most common and well established proxy for the South African property market. The sample was divided into three periods, long term 2005-2018, medium term 2008-2018 and short term 2015-2018. In all periods, outperformance of active funds were shown to be inconclusive, with only a small number of funds showing significant positive alphas and significantly high Sharpe and information ratios. A small number of funds achieved outperformance across multiple periods. On average significant outperformance was uncommon and inconsistent. Furthermore, a number of funds achieved significant underperformance over multiple periods, with inferior risk-adjusted returns and alphas compared to the benchmark. However, the volatility of fund returns were shown to be less than the benchmark on average in all periods, indicating that active managers were able to reduce volatility compared to the benchmark. In the more recent short term period, performance of the active funds were especially low with many negative alphas' present. The best performing fund across multiple periods was shown to be a risk parity portfolio of property stocks, which achieved significantly higher returns whilst having lower volatility than the benchmark and other funds. Ultimately the results suggest that active managers in the sector do not provide sufficient evidence f…
abstract: Active vs passive management is a central debate within asset management, with active managers promising superior market beating performance after fees through their superior knowledge and stock selection. This study investigates the performance of 34 South African property unit trusts over multiple periods between 2005 and 2018. Fund performance was evaluated using three risk-adjusted measures, namely the Sharpe ratio, information ratio and Jensen's alpha, in order to determine whether there is significant outperformance amongst the funds. The benchmark used to compare performance was the South African Listed Property index (SAPY), which is the most common and well established proxy for the South African property market. The sample was divided into three periods, long term 2005-2018, medium term 2008-2018 and short term 2015-2018. In all periods, outperformance of active funds were shown to be inconclusive, with only a small number of funds showing significant positive alphas and significantly high Sharpe and information ratios. A small number of funds achieved outperformance across multiple periods. On average significant outperformance was uncommon and inconsistent. Furthermore, a number of funds achieved significant underperformance over multiple periods, with inferior risk-adjusted returns and alphas compared to the benchmark. However, the volatility of fund returns were shown to be less than the benchmark on average in all periods, indicating that active managers were able to reduce volatility compared to the benchmark. In the more recent short term period, performance of the active funds were especially low with many negative alphas' present. The best performing fund across multiple periods was shown to be a risk parity portfolio of property stocks, which achieved significantly higher returns whilst having lower volatility than the benchmark and other funds. Ultimately the results suggest that active managers in the sector do not provide sufficient evidence f…
author: Rickens, Carl
keywords: Investment Management
date published: 2020
date modified: 2026-07-22T22:22:47Z
provider: University of Cape Town
publisher: Networked Digital Library of Theses and Dissertations
type: WebPage
source organization: Department of Finance and Tax

PropertyValue
property ID: Handle
value: http://hdl.handle.net/11427/33011