A passive investment management model was developed via a critical literature review of
portfolio methodologies. This model was developed based on the fundamental models
originated by both Markowitz and Sharpe. The passive model was automated via the
development of a computer programme that can be used to generate the required outputs
as suggested by Markowitz and Sharpe. For this computer programme MATLAB is
chosen and the model’s logic is designed and validated.
The demonstration of the designed programme using securities traded is performed on
Johannesburg Securities Exchange. The selected portfolio has been sub-categorised into
six components with a total of twenty- seven shares. The shares were grouped into
different components due to the investors’ preferences and investment time horizon. The
results demonstrate that a test portfolio outperforms a risk- free money market instrument
(the government R194 bond), but not the All Share Index for the period under
consideration. This design concludes the reason for this is due in part to the use of the
error term from Sharpe’s single index model. An investor following the framework
proposed by this design may use this to determine the risk- return relationship for
selected portfolios, and hopefully, a real return.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:wits/oai:wiredspace.wits.ac.za:10539/6814 |
| Date | 26 March 2009 |
| Creators | Wang, Sin Han |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Thesis |
| Format | application/pdf |
Page generated in 0.0025 seconds