Thesis (MBA)--Stellenbosch University, 2000 / ENGLISH ABSTRACT: An increase in personal wealth and higher emphasis on profitable investments for
retirement has materiálised in a search for investment vehicles to produce superior
returns. Two main disciplines of analyses are being used in an attempt to forecast
future stock returns. These are fundamental analysis and technical analysis. This
study will use technical analysis to generate buy and sell signals for a pseudoportfolio.
Portfolio returns were analysed to determine their performance relative to a
market index, in this case the S&P 500. A backtesting period of nine years was used
to "train" the indicator variables, and applied to a tenth year's data, used as forward
testing. Backtesting returns were significantly superior than that of the market, and
forward testing significantly inferior. These results appear to confirm the efficient
market and random walk theories. A .number of differences of opinion were
identified, indicating the need for further research. / AFRIKAANSE OPSOMMING: Toenemende strewe na materiële welvaart en 'n groter fokus op gemaklike aftrede
het studies ter hoër beleggings opbrengs gestimuleer. Beide fundamentele en
tegniese analises word tans gebruik in 'n poging om toekomende mark
prysbeweging te kan voorspel. In hierdie studie is tegniese analise gebruik om koop
en verkoop wysers te genereer, waarvan die opbrengs in 'n skyn-portefeulje bepaal
is. Die opbrengs van hierdie portefeulje is vergelyk met 'n toepaslike mark - indeks,
in hierdie geval die S&P 500. 'n Periode van nege jaar se data is gebruik om
tegniese parameters se optimum waardes te bereken, en daarna onveranderd op 'n
tiende jaar se historiese data toegepas. Die opbrengste is in beide gevalle bepaal,
met terugwaartse opbrengste hoër as mark opbrengs en vooruit toetsing statisties
beduidenisvol laer as mark opbrengs. Hierdie resultate is beduidenisvol, en bevestig
die geldigheid van die doeltreffende markhipotese asook die toevallige
prysbewegingsteorie. 'n Aantal leemtes in huidige portefeulje opbrengste teorieë is
geïdentifiseer wat in verdere studies aangespreek behoort te word.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/51931 |
| Date | 12 1900 |
| Creators | Naude, Kristo |
| Contributors | Gevers, W. R., 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 | English |
| Type | Thesis |
| Format | 69 p. |
| Rights | Stellenbosch University |
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