Using Risk Characteristics to Classify Funds

Joe Kainja


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.

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Applied Finance and Accounting (AFA)        

ISSN 2374-2410(Print)           ISSN 2374-2429(Online)

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