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.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/52406 |
| Date | 03 1900 |
| Creators | Petzer, Greydon E. |
| Contributors | Biekpe, N., Stellenbosch University. Faculty of Economic & Management Sciences. Graduate School of Business. |
| Publisher | Stellenbosch : Stellenbosch University |
| Source Sets | South African National ETD Portal |
| Language | en_ZA |
| Detected Language | Unknown |
| Type | Thesis |
| Format | 237 p. : ill. |
| Rights | Stellenbosch University |
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