Browsing by Author "Hodnett, Kathleen"

Now showing 1 - 2 of 2
  • Thumbnail Image
    Item
    Nonlinearities in stock return prediction: A Blended Approach
    (The Clute Institute, 2013) Hodnett, Kathleen; Hsieh, Heng-Hsing; Van Rensberg, Paul
    Our prior research indicates that there are periods within which nonlinear stock selection models outperform their linear counterparts in the South African equity market. In order to explore the nonlinearities in stock return prediction, we propose a blended stock selection technique that has the potential of diversifying the risk of inaccurate forecasts of the linear and nonlinear models. The proposed technique has an objective of optimizing the Qian and Hua (2003) information ratio, which constitutes to the maximization of the forecasting accuracy per unit of forecasting volatility. The blended stock selection model is found to outperform the respective linear and nonlinear models in an out-of-sample fractile analysis on a risk-adjusted basis for South African stocks over the period from 2002 to 2007.
  • Thumbnail Image
    Item
    Performance evaluation of actively managed mutual funds
    (LLC CPC Business Perspectives, 2016) malefo, Boikanyo Kenneth; Hsieh, Heng-Hsing; Hodnett, Kathleen
    Motivated by the growing attraction of the mutual fund industry worldwide, this research seeks to explore the economic benefits contributed by the South African equity unit trust managers over the period from 6 January 2002 to 2 September 2012. The performance statistics of selected equity unit trusts are examined for the overall examination period and two sub-periods: 6 January 2002 to 6 May 2007 and 7 May 2007 to 2 September 2012. The first sub-period captures the bullish performance of the unit trusts before the 2008 global financial crisis. The second sub-period captures the global financial crisis and the European debt crisis before the European Central Bank (ECB) subsequently implemented the outright monetary transactions (OMT) to curb the yields in Eurozone. The risk-adjusted performance measures employed by this study include the Sharpe ratio, M-squared, Treynor measure and Jensen's alpha. Regardless of the different applications of risk-return parameters employed to evaluate fund performance, the results reveal that, on average, most of the equity unit trust managers in South Africa do not outperform the market proxy on a consistent basis. The majority of the unit trust managers show good performance before the crisis, with subsequent inferiority in performance in turbulent times.