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Using Risk Characteristics to Classify Funds

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  • Joe Kainja

Abstract

We analyzed the South African general equity unit trusts for the period 30 June 2002 to 31 December 2014 to assess if we can re-categorize them into risk homogeneity groups. The current ASISA standards do not fully classify the unit trusts into categories that have within-group homogeneity and between-group heterogeneity. By analyzing the persistence of both systematic and total risk we concluded that we could objectively classify these unit trusts into objective risk homogeneity groups and improve on the current ASISA-mandate-based classification.

Suggested Citation

  • Joe Kainja, 2018. "Using Risk Characteristics to Classify Funds," Applied Finance and Accounting, Redfame publishing, vol. 4(2), pages 31-44, August.
    • Handle: RePEc:rfa:afajnl:v:4:y:2018:i:2:p:31-44
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    References listed on IDEAS

    as
    1. Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    2. Fung, William & Hsieh, David A, 2001. "The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers," The Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 313-341.
    3. Nandita Das, 2003. "Hedge Fund Classification using K-means Clustering Method," Computing in Economics and Finance 2003 284, Society for Computational Economics.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    ASISA; unit trusts; mandate; performance; return; risk; persistence; objective classification; contingency tables;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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