Portfolio performance under dynamic systematic risk and conditional betas: The South African unit trust market

Bwalya Kalima () and Thabo Gopane ()
Additional contact information
Bwalya Kalima: University of Johannesburg, Johannesburg, South Africa
Thabo Gopane: University of Johannesburg, Johannesburg, South Africa

Applied Econometrics, 2022, vol. 66, 85-98

Abstract: This study examines whether South African unit trust managers can outperform the market and demonstrate distinct market-timing abilities under systematic dynamic risk. A conditional portfolio evaluation method is used under dynamic systematic risk. The BEKK–MGARCH model is applied to estimate the time-varying CAPM beta. The sample of the study includes 86 unit trust funds for the hardly studied multi-asset class between 2010 and 2019 in South Africa. The findings of the study show positive evidence that portfolio managers in the South African unit trust market possess some skills for market timing and outperformance. These results differ from most of the outcomes obtained through model-free performance-evaluation methods. The significant contribution of this study to the literature is in conditioning beta to both time and economic variables within the same asset pricing model, and then applying it to the emerging market of South Africa. Another strength of this paper is maintaining patient and formal adherence to econometric requirements of model validation. The empirical findings of the study should benefit portfolio managers, investors, and regulators with updated insight into the importance of considering both risk variability and changing economic factors in portfolio evaluation.

Keywords: portfolio performance evaluation; dynamic systematic risk; unit trust (search for similar items in EconPapers)
JEL-codes: C58 G10 G11 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://pe.cemi.rssi.ru/pe_2022_66_085-098.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ris:apltrx:0447

Access Statistics for this article

Applied Econometrics is currently edited by Anatoly Peresetsky

More articles in Applied Econometrics from Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Bibliographic data for series maintained by Anatoly Peresetsky ().