A strategy based investigation into South African interest bearing variable-term mutual trusts’ perf

A strategy based investigation into South African interest bearing variable-term mutual trusts’ perf

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Speaker(s): Mark Hayes (Curtin University)

This work investigates the risk-adjusted performances of South African interest bearing variable-term (bond) unit trusts over the period 30 November 2001 to 31 March 2016. The performances are assessed by recognising that bond managers evidence asset management skills through the strategies they employ. The strategies are inferred from an academic regression of the multifactor model to bond unit trusts' returns. The multifactor model indices are driven by previous research. The regression coefficients are interpreted as the proportion of a bond unit trust's assets invested passively in investable indices and a basket of indices represents the asset management strategy.

The bond unit trusts are then grouped by their appropriate asset management strategy: interest rate expectations, including yield curve strategies; inter- and intra-sector and security allocation strategies, including spread strategies; and mixed strategies. Performances are then analysed at a bond unit trust level, for each of the 28 bond unit trusts investigated; at a strategy level, for each of the three strategies; and at a market level, averaged across all 28 of the bond unit trusts investigated. At the bond unit trust level, four significantly outperformed and two significantly underperformed. At the strategy level and the market level, there were no significant out- or underperformance.

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