The performance of South African mutual funds: 1974–1981

Abstract

This report analyses the performance of eleven South African mutual funds over the eight-year period 1974 to 1981. It is found that the returns achieved by the funds ranged from 15,9% per annum to 22,5% per annum (compounded monthly); these returns are generally lower than those achieved by three stock market indexes. However, when risk adjusted measures of performance are used, it is found that the mutual funds generally outperformed the three indexes. There is also some evidence that at least one mutual fund consistently and significantly outperformed the indexes as well as the other funds. These findings are not consistent with the efficient market hypothesis and suggest instead that a degree of inefficiency exists in the pricing mechanism for shares listed on the JSE.

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