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.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/52233 |
| Date | 03 1900 |
| Creators | Oelofse, Rudolf P. |
| Contributors | Smit, E., Stellenbosch University. Faculty of Economic & Management Sciences. Graduate School of Business. |
| Publisher | Stellenbosch : Stellenbosch University |
| Source Sets | South African National ETD Portal |
| Language | af_ZA |
| Detected Language | Unknown |
| Type | Thesis |
| Format | 61 p. |
| Rights | Stellenbosch University |
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