Article ID: | iaor1999737 |
Country: | South Africa |
Volume: | 21 |
Issue: | 3 |
Start Page Number: | 47 |
End Page Number: | 66 |
Publication Date: | Jan 1997 |
Journal: | JSEE |
Authors: | Joao M. |
Keywords: | investment |
This paper uses the parametric and nonparametric procedures developed by Henriksson and Merton to evaluate empirically the investment performance of external pension fund managers in South Africa. Particular attention is devoted to the existence of either superior selectivity or market timing ability in managed portfolios. The results suggest that these fund managers do not appear to convincingly display any special market timing abilities, although there is some evidence of ‘stock picking’ skills. The use of a nonparametric test which does not rely on a particular return structure is deemed particularly valuable considering the ongoing debate concerning the appropriate return generating process.