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dc.contributor.advisorViljoen, Diana Dr.
dc.contributor.advisorVan Vuuren, Gary Prof.
dc.contributor.advisorPeyper, Wiehan Mr.
dc.contributor.authordu Plessis, Ruschelle
dc.date.accessioned2016-04-21T09:30:04Z
dc.date.available2016-04-21T09:30:04Z
dc.date.issued2015
dc.identifier.urihttp://hdl.handle.net/10394/17040
dc.descriptionMCom (Risk Management)--North-West University, Vaal Triangle Campus, 2016
dc.description.abstractSocially responsible investing has presented itself as a growing, multifaceted, advanced and sophisticated investment philosophy. Socially responsible investment (SRI) involves incorporating social, ethical and responsible investment objectives with financial investment objectives during the investment decision-making process. Social, ethical and responsible investment objectives are set in line with environmental, social and corporate governance (ESG) criteria which are established within the SRI strategy followed. SRI strategies include screening (negative, positive and best-of-sector), shareholder activism and cause-based investing. Although international SRI markets such as that of the United States of America and the United Kingdom are sophisticated and established markets, the South African SRI market is still relatively new and is yet to reach its full potential. Thus, as a growing market, little research regarding the long term risk-adjusted performance of SRI funds in South Africa has been conducted. The long term risk-adjusted performance of the sample of SRI funds was measured through the use of five risk-adjusted performance measures, namely the Treynor ratio, Sharpe ratio, Jensen’s alpha, Sortino ratio and Omega ratio, and through the use of three performance measurement models which included the capital asset pricing model (CAPM), Fama-French three-factor model and Carhart four-factor model. The risk-adjusted performance of the sample of SRI funds was measured with the intent to establish if these funds out- or underperformed against three benchmark categories, namely the Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) SRI Index, a matched sample of conventional investment (non-SRI) funds and the FTSE/JSE All Share Index. The probable effect of the 2007/08 global financial crisis was also measured to analyse whether such a hazardous market event affected the performance of the SRI funds. According to the results and findings, the risk-adjusted performance of the SRI funds has improved over the research period. However, the SRI funds neither outperformed nor underperformed against the three benchmark categories over the research period. The performance measurement models’ analysis indicated that the SRI funds were less sensitive to market fluctuations, more exposed to small capitalisation portfolios, more growth-oriented, and exhibited significant momentum after the period of the 2007/08 global financial crisis. Furthermore, the analysis indicated that the SRI funds significantly underperformed against the non-SRI funds during the Performance of socially responsible investment funds in South Africa research period. Mixed results were obtained with regards to the probable effect of the 2007/08 global financial crisis on the performance of the SRI funds.en_US
dc.language.isoenen_US
dc.subjectSocially responsible investment (SRI)en_US
dc.subjectRisk-adjusted fund performanceen_US
dc.subjectTreynor ratioen_US
dc.subjectSharpe ratioen_US
dc.subjectJensen's alphaen_US
dc.subjectSortino ratioen_US
dc.subjectOmega ratioen_US
dc.subjectCapital asset pricing model (CAPM)en_US
dc.subjectFama-French three-factor modelen_US
dc.subjectCarhart four-factor modelen_US
dc.titlePerformance of socially responsible investment funds in South Africaen
dc.typeThesisen_US
dc.description.thesistypeMastersen_US


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