Thesis (M.Comm.)--Stellenbosch University, 2004. / ENGLISH ABSTRACT: Many fund managers who are supposed to have your best interest at heart have become just as greedy, have vested interests and their performance has been mediocre. Until they clean up their act, your best bet is to opt for an index fund, or the type that uses our money to track a stock market index, provided the initial and ongoing costs are low if you invest in shares. A great many funds have been run well and conscientiously. However, it’s often not clear to individuals which ones these are. In the absence of clarity, those index funds that are very low-cost are investorfriendly by definition and are the best selection for most of those who wish to own equities. Warren Buffet Throughout the past twenty years, investment funds have been transforming financial markets. There has been a tremendous growth in this industry and at the end of 2003 more than USD 13 trillion were invested in investment funds around the globe. In the United States, 12 percent of all money invested in mutual funds resides in index mutual funds and investors can choose from 149 index funds. Academics have researched mutual funds in depth and most are in favour of index-related funds. The reason for this is that the average US mutual fund that is actively managed does not manage to outperform its benchmark index. In South Africa, the scenario is very different. There are currently only nine index unit trusts with a net asset value of ZAR 1.4 billion. This represents only 60 basis points of all money invested in South African unit trusts. In this study, a few factors are discussed as possible contributors to this situation, with exchange-traded funds and enhanced index fund strategies identified as the most significant factors. This study investigates whether active unit trusts succeed in outperforming their benchmark index. It provides empirical research showing that All-Share Index have been a better risk-adjusted investment over the twenty years studied. This may be seen as a reason why investors prefer enhanced strategies since they provide a premium on the index’s return, and the risk and costs are lower than for active unit trusts. Exchange-traded funds have accumulated investments of close to ZAR 6 billion since the launch of the first Satrix fund, Satrix 40, in 2001. These funds aim at the same return as index unit trusts and have significant cost advantages over index unit trusts. / AFRIKAANSE OPSOMMING: Many fund managers who are supposed to have your best interest at heart have become just as greedy, have vested interests and their performance has been mediocre. Until they clean up their act, your best bet is to opt for an index fund, or the type that uses our money to track a stock market index, provided the initial and ongoing costs are low if you invest in shares. A great many funds have been run well and conscientiously. However, it’s often not clear to individuals which ones these are. In the absence of clarity, those index funds that are very low-cost are investorfriendly by definition and are the best selection for most of those who wish to own equities. Warren Buffet Beleggingsfondse het tot gevolg gehad dat daar ‘n drastiese verandering in finansiële markte oor die afgelope twintig jaar plaasgevind het. Daar was ‘n aansienlike groei in hierdie industrie en aan die einde van 2003 was daar wêreldwyd meer as USD 13 triljoen in beleggingsfondse belê. In die Verenigde State behoort 12 persent van alle geld wat in effektetrusts belê is aan indeksfondse en beleggers het 149 indeksfondse waaruit gekies kan word. Effektetrusts is al in diepte deur akademici bestudeer en die meeste is ten gunste van indeks-verwante fondse. Die rede hiervoor is dat die gemiddelde effektetrust in die Verenigde State nie dit reg kry om beter as sy indeks maatstaf te presteer nie. In Suid Afrika is die omstandighede heeltemal anders. Daar is huidiglik slegs nege indeksfondse met ‘n netto bate waarde van ZAR 1.4 biljoen. Dit verteenwoordig slegs 60 basis punte van al die geld wat in Suid Afrikaanse effektetrusts belê is. In hierdie studie word daar ‘n paar faktore bespreek wat moontlik bygedra het tot hierdie situasie. Beursverhandelde fondse en ”verbeterde” indeksfondse word geïdentifiseer as die twee vernaamste faktore. Hierdie studie kyk of aktiewe effektetrusts suksesvol was om beter te presteer as hulle maatstaf indeks. Empiriese navorsing word gegee wat wys dat die Algemene Indeks ‘n beter risiko-aangepaste belegging was oor die twintig jaar van die studie. Dit kan gesien word as ‘n rede hoekom beleggers “verbeterings” strategieë verkies wat ‘n premie bied op die indeks se prestasie en beide die risiko en koste is laer as met aktiewe fondse. Beursverhandelde fondse het beleggings ten bedrae van ZAR 6 biljoen opgebou sedert die begin van die eerste Satrix fonds, Satrix 40 in 2001. Hierdie fondse mik vir dieselfde opbrengs as indeks effektetrusts en het groot koste voordele bo indeksfondse.

Study project (MBA)--University of Stellenbosch, 2002. / ENGLISH ABSTRACT: The bond market is an important economic element of both developed and developing economies. The after effects of the Asian crises have prompted arguments that the existence of well-functioning domestic bond markets would have helped to mitigate the impact of shocks in the financial systems of the emerging markets both by providing an alternative source of funding to bank lending and by exposing investors rather than taxpayers to negative shocks. Comparative analyses of various emerging markets were done by using data from the IMF, IFC and various publications. Data from the developed nations, in particular the United States were used as a source of reference because corporate bond market has been used successfully in these markets. Given the limited sources of reference locally, data was sourced mainly from the Bond Exchange of South Africa publications, financial magazines and newspapers, workshop presentations and comments from various bankers, economists and fixed-income analysts. The report starts by looking at the size and growth of the market in comparison with its counterparts in the emerging markets. The reasons, facts, figures and arguments for such growth are thoroughly discussed. This study presents comprehensive macro-economic arguments on the development of the corporate bond market and the benefits they offer to corporates as an alternative source of long-term capital debt funding. The quantitative and qualitative model that assists corporates with the decision making process of whether to issue a bond to fund the capital structure is discussed. The study undertook a quantitative survey of the elements of corporate bond market in terms of coupon rates, bond pricing, risks (namely, credit rating risk and default risk) and the performance of the market, in particular the marketability, liquidity and returns. The investment strategy in the riskier part of the bond market is introduced and discussed, though limited in terms of development. The report concludes by mentioning the successes of the bond market by identifying the existing gaps in the market and the future development of the corporate bond market in South Africa, especially to attract more issuers to the net. / AFRIKAANSE OPSOMMING: Die lang termyn effekte mark, is "n belangrike finansierings element van beide die ontwikkelde en die ontwikkelende ekonomië. Die Asiese krises het as nagevolg gehad dat daar gefokus kon word op die moontlik versagtende invloed van "n goed gedefinieerde funksionele binnelandse effekte mark. Dit kon van die nagevolge versag het deur die daarstelling van "n alternatiewe finansierings bron en die daaropvolgende blootstelling van beleggers in die plek van die belastingbetalers. Vergelykende ontledings van verskeie ontwikkelende mark ekonomië is gedoen deur gebruikmaking van inligting verskaf deur die I.M.F. en I.F.K. asook ander publikasies. Inligting oor ontwikkelde lande in besonder die V.S.A. is gebruik as vergelykende anelise omdat die lang termyn effekte mark suksesvol bedryf word in hierdie markte. Weens die gebrekkige beskikbaarheid van binnelandse bronne i sinligting meestal vanaf die publikasies van die Lang Termyn Effekte beurs van Suid Afrika, finansiële tydskrifte, koerant publikasies, werkswinkel voorleggings asook gespekke met bankiers, ekonome en vaste koers beleggings ontleders verkry. Hierdie studie stuk, vergelyk in die eerste deel die omvang en groei van die mark in vergelyking met ander markte in ontwikkelende lande. Die verskeie groei veranderlikes asook redes en feite rakende groei word in diepte bespreek. Vergelykende makro ekonomiese bewyse vir die ontwikkeling en vestiging van "n lang termyn effekte mark, en die voordele daarvan vir Maatskappye as "n alternatiewe bron van kapitaal word in hierdie studie aangebied. Die kwantitatiewe en kwalitatiewe model vir gebruik deur Maatskappye om tot besluitneming te kom rakende die gebruik van effekte om kapitaal benodighede te befonds word ook bespreek. Die studie het ook "n kwantitatiewe opname ingesluit rakende die verskeie elemente van d ie effekte mark en 0 nder a ndere is daar nad ie koepon koerse, effekte prys bepaling, risiko (naamlik krediet en dishonorering), mark tendense en opbrengste, met besondere verwysing na bemarkbaarheid, likwiditeit en opbrengs. Beleggings strategie in die meer riskante deel van die lang termyn effekte mark word ook bespreek, maar dit is beperk weens die beperkte ontwikkeling daarvan. Afsluitend word verwys na verskeie sukses faktore in die effekte mark deur die indentifisering van bestaande gapings, en die toekomstige ontwikkeling van hierdie spesifieke mark in Suid Afrika. Die doelstelling om meer toetreders na die mark te lok as deelnemers deur die uitgifte van lang termyn effekte word ook benadruk.

Thesis (MBA)--Stellenbosch University, 2008. / ENGLISH ABSTRACT: Empirical research is done to determine whether trading strategies based on technical analysis can outperform a naive buy-and-hold strategy. A study is made of classical and contemporary academic literature. The central investigation is threefold. Firstly, the degree of randomness of a chosen basket of securities is determined vis-a-vis the Random Walk Hypothesis. Secondly, the effectiveness of stop loss orders is assessed. Lastly, a collection of chosen trading strategies is back-tested on security data ranging over 20 years. Performance of these systems is measured on net average and risk-adjusted gains in the absence of transaction and taxation costs. The finding of this report is that, in the absence of these costs, certain technical trading strategies can indeed outperform a buy-and-hold strategy. Although end-of-day data is used throughout the study, the techniques can also be applied to intra-day trading. / AFRIKAANSE OPSOMMING: Empiriese navorsing is gedoen om te bepaal of handelstrategiee wat op tegniese ontleding gebaseer is, beter kan presteer as 'n klassieke konserwatiewe koop-en-hou-strategie. Omvattende literatuurstudie is gedoen van klassieke en kontemporere literatuur, en die kruks van die navorsing is drieledig. Eerstens word die toevalligheidsgraad van 'n gekose aandelepakket ten opsigte van die hipotese van ewekansigce koersbeweging bepaal. Tweedens word die effektiwiteit van "stop-verlies" opdragte ontleed en laastens word 'n versameling historiese handelstrategiee getoets met die laaste 20 jaar se aandeledata. Die prestasie van die onledingstelsels word gemeet aan die hand van die netto gemiddelde en risiko aangepaste opbrengste met uitsluiting van die transaksie en belasting kostes. Die bevinding van die studie is dat met uitsluiting van die transakie en belasting kostes, die gebruik van tegniese ontledings inderdaad hoer opbrengste lewer as die klassieke koop-en-hou strategie. Alhoewel dag sluitingsdata deurlopend vir die studie gebruik was, kan die tegnieke ook op intradag data toegepas word.

Thesis (MBA)--Stellenbosch University, 2001. / ENGLISH ABSTRACT: The lack of easy access to consistent, timely and reliable information is perceived to be one of the major barriers to investment on the African continent and the aim of this study is to provide the Africa Centre for Investment Analysis with a systems analysis, to enable it to populate their African Capital Markets Database with sufficient data to address this issue. The study aims to provide: • Program expertise to facilitate the automation of share price data capturing into a central database at the Centre • Systems analysis expertise to develop the necessary systems to capture and report the published company financial results of all listed companies in the African stock markets (excluding South Africa's JSE) • An evaluation of the existing products that ACIA offers, and an analysis of the effectiveness of the existing product mix • Recommendations on possible future changes and additions to the product portfolio to increase ACIA's profile in the market place • An analysis of the marketing environment that ACIA operates in, with recommendations about different marketing strategies that should be considered During this study, conversion programs has been written in the Visual Basic programming language to extract and update several years worth of share price data for the following countries. • Namibia • Swaziland • Zimbabwe • Botswana • Zambia • Nigeria • Malawi • Mauritius Kenya • Ghana • Tunisia • Egypt A total of 90000+ data points were created via this conversion process. It is envisaged that the data that has been loaded into the African Capital Markets Database will become one of the best research resources on African investment opportunities, and that the results of this study will have a wide impact on the continent in terms of attracting foreign capital investments, when researchers globally start to use this information. / AFRIKAANSE OPSOMMING: Die gebrek aan genoegsame, akkurate en vinning bekombare inligting word gesien as een van die hoof redes waarom daar 'n gebrek aan buitelandse investering in Afrika plaasvind. Die doel van hierdie studie is om 'n ontleding te maak van die stelsel behoeftes wat bestaan by die Afrika Sentrum vir Beleggings Ontleding, en om tergelykertyd ook die sentrum se Afrika Kapitaalmark Databasis met data te populeer, sodat die gebrek aan deursigtige en akurate inligtings probleem geadreseer kan word. Die studie beoog om die volgende kennis daar te stel: • Verskaffing van rekenaar programmerings kennis om die opdatering van aandeel prys data in die databasis te outomatiseer. • Om stelselontledings kennis te verskaf om die databasis verder uit te brei sodat die gepubliseerde state van genoteerded Afrika maatskappye ook in die stelsel gestoor kan word. (Suid Afrikaanse maatskappye word uitgesluit uit die databasis, omdat daar alreeds voldoende inligting oor die Johannesburgse Aandele beurs beskikbaar is) • Die evaluering van die bestaande produkte en dienste wat deur ACIA verskaf word, tesame met 'n analise om te bepaal of die bestaande reeks produkte en dienste aan die mark behoeftes van alle moontlike geinteresseerde partye voldoen. • Aanbevelings aangaande moontlike toekomstige veranderings en toevoegings tot die bestaande produkte en dienste om ACIA se dienste meer bekend te maak in die internasionale kapitaal markte. • 'n Ontleding van die marksegment waarin ACIA kompeteer, asook aanbevelings rondom moontlike bemarkings strategieë wat oorweeg behoort te word. Gedurende hierdie studie is verskeie data omskeppings programme geskryf om 'n groot hoeveelheid data punte in die databasis te laai. Die Visual Basic programmerings taal is vir hierdie doeleindes gebruik. Aandeel prys data van die volgende lande word databasis oorgeplaas. • Namibië • Swaziland • Zimbabwe • Botswana • Zambië • Nigerië • Malawi • Mauritius • Kenya • Ghana • Tunisië • Egipte Meer as 90 000 data punte is deur middel van hierdie proses in die Oracle databasis opgedateer. Die verwagting is dat die Afrika Kapitaalmark Databasis een van die toonaangewendste bronne van Afrika markaanwysers sal word. Hierdie studie het 'n geweldige groot bydrae gelewer om die databasis van 'n moontlikheid na 'n werklikheid te omskep. Die geloof, hoop en vertroue bestaan dat hierdie studie 'n wesentlike bydrae sal maak om meer direkte buitelandse belegging na Afrika aan te trek, sodra finansieële navorsers die data uit hierdie nuwe bron begin ontgin.

Thesis (MBA)--Stellenbosch University, 2001. / ENGLISH ABSTRACT: The objective of this study was to determine whether a number of hedging strategies, based on option and future contracts, can be implemented to hedge a share portfolio in a successful and cost-effective way during periods of market uncertainty. The study consists of two main sections, a review of the literature and an empirical survey. The review of the literature deals with the specifications of option and future contracts that trade on SAFEXand the use of option contracts to develop different hedging strategies. In the empirical survey the different hedging strategies were applied on a share portfolio of Rim over periods of three, six, nine and twelve months. The study yielded the following conclusions: o Call and put options can be combined in various ways to create different hedging strategies such as bear spread, straddle, strip, strangle and zero cost col/ar strateg ies. o By managing the option positions of the zero cost col/arstrategy actively, the portfolio can be hedged fully and cost effectively over any period. o The portfolio can be hedged fully and cost effectively over any period through the active management of future positions. The outcome of any hedging strategy ultimately depends on the assumptions and decisions made by the portfolio manager. / AFRIKAANSE OPSOMMING: Die doel van die studie was om te bepaal of 'n aantal verskansingstrategieë, wat op opsie- en termynkontrakte gebaseer is, suksesvol en kostedoeltreffend toegepas kan word om 'n aandeleportefeulje teen verwagte markdalings te beskerm. Die studie is in twee hoofafdelings verdeel, naamlik 'n teoretiese en empiriese ondersoek. Die teoretiese ondersoek handel oor die spesifikasies van opsie- en termynkontrakte wat op SAFEX verhandel en die gebruik van koop- en verkoopopsies om verskillende opsiestrategieë daar te stel. In die empiriese ondersoek is die verskillende verskansingstrategieë op 'n aandeleportefeulje van R1m oor 'n aantal tydperke van drie, ses, nege en twaalf maande getoets. Die volgende gevolgtrekkings kan uit die studie gemaak word: o Koop- en verkoopopsies kan in verskeie kombinasies gebruik word om verskillende verskansingstrategieë daar te stel. Voorbeelde van sulke strategieë is die bear spread-, straddle-, strip-, strangle- en zero cost collarstrategieë. o Deur die aktiewe bestuur van opsieposisies by die zero cost collar-strategie kan 'n portefeulje te alle tye ten volle verskans word. Die strategie is ook kostedoeltreffend . o Deur die aktiewe bestuur van termynkontrakte kan 'n aandeleportefeulje ook te alle tye ten volle en kostedoeltreffend verskans word. Die uiteindelike resultaat by die gebruik van termynkontrakte om 'n portefeulje te verskans, is soos by opsiekontrakte egter afhanklik van die aannames en besluite wat deur die portefeuljebestuurder geneem word.

Thesis (MBA)--Stellenbosch University, 2001. / ENGLISH ABSTRACT: Many tracker funds exist in the South African market in which investors can invest their money. Growing in:popularity is the index funds that, instead of investing in individual shares invest into funds that track and guarantee returns related to specific indices. One such fund is the All Share Index 40 (ALSI40) Tracker Fund. The index is equity based to reflect the performance of the ordinary South African share market. Companies selected for inclusion in the ALSI40 Index are generally larger companies of sound financial standing having widely traded and marketable securities. As the ALSI40 is therefore a reflection of the total market as a whole, investing into such a Tracker Fund would only gain average returns over the long run. A modeled developed through using a twenty-day moving average to signal buy and sell periods, coupled with individual share gradients likened to future share growth potential is evaluated to determine if such a model would gain returns above the Tracker Fund and therefore gain returns above the ALSSI40 Index. The study project is wholly based on technical analysis, specific to the shares that constitute the ALSI40 Index. Through the selection of these shares fundamental analysis is taken care of and emphasis is placed on a technical trading technique developed. The technique is based on a two-stage model. Firstly, switch points are determined that indicate buy and sell signals through applying a 20-day moving average to the daily closing price of the selected shares. When the moving average is tracking below the closing price a buy signal is generated, and when the gradient of the moving average turns negative a sell signal is generated. Using these 'switch points', the second stage of the model is entered into through the allocation of weights to individual shares that conform to the buy selection criteria. The weights are determined using the gradient of the linear regression analysis equation. The gradient is synonymous with the growth potential of the share at the time a switching takes place. Through the use of the above model it was found that returns well above the holding period return of the ALSI40 Index are achievable. Evaluation of the model on a calendar year basis yielded a 113% over and above the return yielded by the ALSI40 Index for 1999. Similarly, positive returns were yielded for the 2000 calendar year and thus entrenching the trading technique as being successful. The major downside to the model is the number of switches dictated through strict adherence to the developed model. For example, 110 switches were necessary during 1999 to achieve the 113% over and above yield. Assuming switching fees of 1% per switch, margins that beat the holding period return of the ALSI40 would rapidly be eroded away. Although successful in achieving the aim of beating returns of the ALSI40, the model and computer code developed is robust and primitive in form. Numerous options exist to optimise the model, and thereby the potential to generate even greater returns. Optimisation would include a better 'gradient' function and procedure to reduce switching costs. The switching technique used is the most efficient obtainable from a single moving average. / AFRIKAANSE OPSOMMING: Daar bestaan vele 'tracker" fondse in Suid-Afrika waarin beleggers hulle geld kan belê. Die mees gewilde van hierdie fondse is die indeksfondse wat groei verwant aan spesifieke indekse waarborg, en dus direkte belegging in individuele aandele vervang. Een so 'n indeksfonds is die "All Share Index 40 (ALSI40) Indeks "Tracker" Fonds. Hierdie indeks is gebaseer op aandeelhouersbelang (gewone aandele) om die opbrengs van die gewone Suid-Afrikaanse aandelemark te reflekteer. Die gekose maatskappye vir insluiting in die ALSI40 indeks is gewoonlik die groter maatskappye met 'n gesonde finansiële status, met verhandelbare en verkoopbare sekuriteite. Aangesien die ALSI40 dus 'n weerspieëling is van die totale Suid-Afrikaanse aandelemark as 'n geheel, sal belegging in 'n 'tracker" fonds slegs gemiddelde groei oor die langtermyn lewer. 'n Model ontwikkel deur middel van die gebruik van 'n 20 dag bewegende gemiddelde om koop en verkoop tydstippe aan te dui, gekoppel aan individuele aandeelhellings te einde toekomstige aandeelgroei-potensiaalaan te toon, word beoordeel om te bepaal of so 'n model groei bo the 'tracker" fonds sal lewer, en dus ook groei bo die ALSI40 Indeks. The studieprojek is in geheel gebaseer op tegniese analise, met spesifieke verwysing na die aandele wat in die ALSI40 Indeks bestaan. Deur die seleksie van hierdie aandele is die fundamentele analise by implikasie reeds aangespreek en word die ontwikkelde tegniese verhandelingstegniek beklemtoon. Die tegniek is gebaseer op 'n twee-fase model. Eerstens, herbelegginspunte word bepaal, welke punte koop- en verkoopseine aandui deur middel van die toepassing van 'n 20 dag bewegende gemiddelde op die daaglikse sluitingsprys van die aandele. Wanneer die bewegende gemiddelde benede die sluitingsprys beweeg, word 'n koopsein genereer, en wanneer die helling van die bewegende gemiddelde negatief draai, word 'n verkoopsein genereer. Deur hierdie punte te gebruik, word die tweede fase van die model binnegetree deur die allokasie van gewigte aan die individuele aandele wat voldoen aan die koop-seleksie kriteria. Die gewigte word bepaal deur die helling van die lineêre regressie vergelyking. Die helling is sinoniem met die groeipotensiaal van die aandeel soos op die tydstip wat die herbelegging plaasvind. Deur gebreuik te maak van die bogenoemde model, is dit bevind dat die groei bo die hou periode van die ALS140 bereik kan word. Beoordeling van die model gebaseer op 'n kalenderjaar, het groei van 113% bo die 1999 groei van die ALS140 indeks gelewer. Soortgelyk is positiewe groei vir die 2000 kalenderjaar gelewer, wat derhalwe die verhandelingstegniek as suksesvol bevestig. Die grootste teenkant van die model is die aantal herbeleggings wat genereer word deur streng toepassing van die model. Byvoorbeeld, 110 herbeleggings was nodig gedurende 1999 om die 113% groei bo die indeks te bereik. Met die aanname dat herbeleggingskostes van 1% per herbelegging gehef word, word marges wat deur die houperiode-opbrengs van die ALS140 bereik kan word, vinnig uitgeroei. Alhoewel die model suksesvol is in die bereiking van die doel om die ALS140 opbrengs te verbeter, is die model en die rekenaarprogram wat ontwikkel is kragtig en primitief. 'n Groot aantal opsies is beskikbaar om die model te verbeter, en derhalwe die potensiaal om selfs hoër groei te genereer. Sulke opsies sal 'n verbeterde helling-funksie insluit asook 'n proses om herbeleggingskostes te verminder. Die herbeleggingstegniek wat gebruik is, is die effektiefste tegniek wat beskikbaar is vir 'n enkele bewegende gemiddelde.

Thesis (MBA)--Stellenbosch University, 2002. / ENGLISH ABSTRACT: Previous studies show that interest rates, dividend yields and other commonly available variables are useful market indicators. Although this has produced new insights into asset pricing models, it has not been applied to the measurement of unit trust funds' performance. This study introduces a set of predetermined variables into the measures of performance of South African unit trust fund managers. This paper modifies classical performance measures to incorporate these well-known market indicators. The performance and strategy of the South African general equity unit trust managers are evaluated for the period 1989 to 2002. The incorporation of these predetermined variables is both statistically and economically significant. It is concluded that when the conditional measures are applied to this sample of unit trusts, their performance improves and there is no evidence of market timing strategy. This study advocates conditional performance evaluation in which the relevant expectations are conditioned on public information variables. / AFRIKAANSE OPSOMMING: Vorige studies toon dat rentekoerse, dividendopbrengste en ander algemeen beskikbare veranderlikes bruikbare markaanwysers is. Hoewel dit nuwe insigte in bateprysbepalingsmodelle bring, is dit nog nie toegepas op die meting van effektetrust prestasie nie. Hierdie ondersoek gebruik 'n stel voorafbepaalde veranderlikes in die prestasiemeting van Suid-Afrikaanse effektetrust bestuurders. Hierdie werkstuk wysig klassieke prestasiemetings om die bekende markaanwysers in ag te neem. Die prestasie van Suid-Afrikaanse algemene aandele-effektetrusts vir die tydperk van 1989 tot 2002 is geëvalueer met behulp van hierdie wysigings. Daar word bevind dat die gebruik van hierdie voorafbepaalde veranderlikes statisties sowel as ekonomies beduidend is. Hierdie ondersoek bevind dat die prestasie van die steekproef van effektetrusts verbeter wanneer voorwaardelike metings daarop toegepas word. Daar is geen bewys van marktydberekeningstrategie nie. Hierdie werkstuk beveel voorwaardelike prestasie-evaluering aan waarin die betrokke verwagtings bepaal word deur veranderlikes wat openbare inligting is.

Thesis (MBA)--Stellenbosch University, 2012. / This research report is conducted in the field of portfolio optimization. Regarding the existing literature this research paper is set in context of the academic discussion triggered by DeMiguel, Garlappi and Uppal (2009) concerning the perfomance of the naïve investment strategy in comparison to optimized portfolios and extended by the indexing approach. Therefore, it investigates on the question whether the naïve investment strategies outperform the strategy of index investing as well as the minimum and mean variance portfolios in the investment horizon of the EURO STOXX 50 in the timeframe from 03.01.2003 to 02.07.2010. Outperforming is defined via the following measurements, namely return, variance, Sharpe ratio, value at risk, certainty equivalent return and turnover rate. In addition, modifications of the investment strategies are applied such as the rebalancing of the naïve investment strategy and different scenarios are included such as the consideration of transaction costs and costs of index investing as well as the usage of two different data frequencies in order to conduct the robustness test. The two main measurements Sharpe ratio and value at risk are verified regarding their explanatory power by the usage of the robust inference method for the bootstrapping of the Sharpe ratio and the Jarque-Bera test for the normal distribution required for the value at risk measurement. The research in this paper is conducted through MATLAB which is a numerical computing environment and fourth-generation programming language. The aggregated outcome of this research paper in regard to the respective timeframe and investment horizon is that in the main scenario which is based on weekly input data the minimum variance investment strategy outperforms all other investment strategies consistently in all measurements except for the turnover which is compensated by consistent results in case of inclusion of transaction costs and costs of index investing. Furthermore, the rebalanced naïve investment strategy and the index investing strategy share the second place with a slight advantage in the overall perspective for the rebalanced naïve investment strategy as it dominates the index investing strategy in regard of return, Sharpe ratio and certainty equivalent return while it is only outranked by the index investing strategy in the risk related measurements variance and value at risk. All other investment strategies underperform their peers.

Thesis (MBA)--Stellenbosch University, 2012. / The study determined whether an investment model on the Johannesburg Stock Exchange (JSE) incorporating risk, simple rules and simulating a realistic environment could yield statistically significant returns. Further, the study assessed the success of individual trades and profitability compared to a buy-and-hold strategy where funds were switched between shares and a riskless asset. JSE data from 1997 to 2011 were studied using popular technical rules and fundamental indicators integrated into a hybrid investment model. Investments on individual shares were simulated over time and results were analysed by profitability of individual trades and the interaction of technical rules and fundamental data. Parameters were identified that outperformed the All Share Index (ALSI) by 18.6% and exposed the investor to lower risk than the ALSI. Other parameters were also identified that earned a return 137% higher than an ALSI buy-and-hold strategy. However, the identification of a single set of parameters that yielded statistically significant returns at a lower risk than the ALSI, met a priori expectations of outperforming the ALSI and outperformed a buy-and-hold strategy was not identified. Areas of future research included expanding on the technical analysis implemented such as introducing stop-loss rules, and adopting a finer-grained approach to the sectors of companies. Areas to detect further patterns of market inefficiencies were also identified.

Thesis (MBA)--Stellenbosch University, 2012. / The success of momentum investing has puzzled the investment society for quite some time. Numerous academics have released studies that proved the success of different momentum investing strategies, even after compensating for trading costs. According to the efficient market hypothesis investors can only realise additional returns by taking additional risks. But no real risk factors can be ascribed to momentum investing. This study investigated the success of momentum investing strategies on the Johannesburg Stock Exchange (JSE) during the period January 1997 to March 2012. Three strategies were tested, namely: return momentum, price relative to high price and the crossover ratio. These strategies were tested using different combinations of testing and holding periods and only the more liquid stocks trading on the JSE were used in the study. The study showed that the momentum investing strategies generated statically significant outperformance over the period. The momentum investing strategies were then dissected according to the three risk factors identified by the Fama and French (1992) three-factor model. None of the risk factors were able to explain the outperformance of the momentum strategies. The outperformance of the momentum strategies also showed remarkable resilience after being subjected to trading costs. The success of the three momentum investing strategies is in clear contravention of the efficient market hypothesis and adds to the growing body of evidence against the hypothesis.