Includes bibliographical references. / This study investigates the performance of a statistical arbitrage portfolio in the South African equity markets. A portfolio of liquid stock pairs that exhibit cointegration is traded for a ten year period between the years 2003 and 2013. Without transaction costs, the portfolio has an encouraging Sharpe ratio of 2.1. When realistic transaction costs are factored in, the Sharpe ratio drops to 0.43.The results underline the theoretical profitability of statistical arbitrage as a trading strategy and highlight the importance of transaction costs in a real-world setting.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uct/oai:localhost:11427/18603 |
| Date | January 2014 |
| Creators | Duyvené de Wit, Jean-Jacques |
| Contributors | Kotzé, Kevin |
| Publisher | University of Cape Town, Faculty of Commerce, Division of Actuarial Science |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Master Thesis, Masters, MSc |
| Format | application/pdf |
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