A comparative analysis of the performance of the FTSE/JSE TOP 40 and the JSE alternative indices for optimised investor returns
- Authors: Tchatchouang, Julie Raissa
- Date: 2017
- Subjects: JSE Limited , Stocks - South Africa - Rate of return
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/282987 , uj:30504
- Description: M.Com. (Financial Management) , Abstract: The main purpose of this research study is to compare the performance of companies listed on the Top 40 Index and the AltX Index of the JSE Ltd. The study also looks at the companies that had better returns with less risk on both the AltX Index and the Top 40 Index. The study uses data on 32 listed companies from the AltX Index and the Top 40 Index over a five-year period, from 2012 to 2016. Using risk as a key factor in determining performance, this study identifies which stock exchange platform performs comparatively better using information on participating and listed companies on the two exchanges. To determine performance, returns are calculated for the market portfolio and the individual firms. The pooled regression model and Ordinary Least Square (OLS) model are used as methods of analysis. To ensure the reliability of the results, all the necessary diagnostic tests were performed on the data. The results show that systematic risks affect all equity returns of all companies listed on the Top 40 Index and the AltX Index. The results further indicate that it is safer and more profitable to invest in the Top 40 Index rather than the AltX Index. Most companies listed on the Top 40 Index generated positive returns between 2012 and 2016 whereas only a few companies listed on the AltX Index generated positive returns.
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- Authors: Tchatchouang, Julie Raissa
- Date: 2017
- Subjects: JSE Limited , Stocks - South Africa - Rate of return
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/282987 , uj:30504
- Description: M.Com. (Financial Management) , Abstract: The main purpose of this research study is to compare the performance of companies listed on the Top 40 Index and the AltX Index of the JSE Ltd. The study also looks at the companies that had better returns with less risk on both the AltX Index and the Top 40 Index. The study uses data on 32 listed companies from the AltX Index and the Top 40 Index over a five-year period, from 2012 to 2016. Using risk as a key factor in determining performance, this study identifies which stock exchange platform performs comparatively better using information on participating and listed companies on the two exchanges. To determine performance, returns are calculated for the market portfolio and the individual firms. The pooled regression model and Ordinary Least Square (OLS) model are used as methods of analysis. To ensure the reliability of the results, all the necessary diagnostic tests were performed on the data. The results show that systematic risks affect all equity returns of all companies listed on the Top 40 Index and the AltX Index. The results further indicate that it is safer and more profitable to invest in the Top 40 Index rather than the AltX Index. Most companies listed on the Top 40 Index generated positive returns between 2012 and 2016 whereas only a few companies listed on the AltX Index generated positive returns.
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An alternative to alternatives: comparing the risk-adjusted performance of ETF-Core portfolios vs the ALSI
- Mofokeng, Thabelo Sean-Vincent
- Authors: Mofokeng, Thabelo Sean-Vincent
- Date: 2018
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/414339 , uj:34942
- Description: Abstract: Exchange-Traded Funds have emerged as a new investment vehicle in the South African investment industry, with the ability to trade the whole market through a single transaction executed on the stock exchange. This empirical study seeks to compare the risk-adjusted performance of portfolios consisting of Exchange-Traded Funds (ETFs) with that of the FTSE/JSE AllShare Index (ALSI) and the South African Multi-Asset Sectors (Low Equity, Medium Equity & High Equity). The ETF-Core portfolios were constructed according to Modern Portfolio Theory (MPT) developed by Harry Markowitz in 1952. Risk-adjusted performance measurement ratios such as the Sharpe ratio, Treynor measure, Sortino ratio, Jensen’s Alpha and Information ratio are employed to assess the performance of ETF-Core portfolios relative to the market. Historical daily data for periods October 2012 to October 2017 was used for the analysis of returns and volatility and monthly data over the same period was used for core performance measurement ratios, descriptive statistics, correlation and positive and negative periods analysis. The study concludes that ETF-Core portfolios performed better than the ALSI and Sector on a risk-adjusted basis across all categories. These findings shed light on the question of whether investors should diversify their investments with ETF portfolios, according to MPT, to generate returns above those of the market. , M.Com.
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- Authors: Mofokeng, Thabelo Sean-Vincent
- Date: 2018
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/414339 , uj:34942
- Description: Abstract: Exchange-Traded Funds have emerged as a new investment vehicle in the South African investment industry, with the ability to trade the whole market through a single transaction executed on the stock exchange. This empirical study seeks to compare the risk-adjusted performance of portfolios consisting of Exchange-Traded Funds (ETFs) with that of the FTSE/JSE AllShare Index (ALSI) and the South African Multi-Asset Sectors (Low Equity, Medium Equity & High Equity). The ETF-Core portfolios were constructed according to Modern Portfolio Theory (MPT) developed by Harry Markowitz in 1952. Risk-adjusted performance measurement ratios such as the Sharpe ratio, Treynor measure, Sortino ratio, Jensen’s Alpha and Information ratio are employed to assess the performance of ETF-Core portfolios relative to the market. Historical daily data for periods October 2012 to October 2017 was used for the analysis of returns and volatility and monthly data over the same period was used for core performance measurement ratios, descriptive statistics, correlation and positive and negative periods analysis. The study concludes that ETF-Core portfolios performed better than the ALSI and Sector on a risk-adjusted basis across all categories. These findings shed light on the question of whether investors should diversify their investments with ETF portfolios, according to MPT, to generate returns above those of the market. , M.Com.
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An empirical analysis of information efficiency in financial markets
- Authors: Venter, Chalté
- Date: 2019
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/403522 , uj:33819
- Description: M.Com. (Finance) , Abstract: The aim of this dissertation was to determine what the significance of new information and shocks are on different commodity-based equity markets (de- veloped versus emerging). That is, if shocks occur, how will the different markets react; how big will the differences be between these markets; and how long will it take the different markets to absorb the shocks? Therefore, if a shock is introduced as new information, how does the market react? The mar- kets will eventually reach a new equilibrium, but how long will it take to reach the new equilibrium in the different markets? This was be done by making use of a vector error correction model (VECM). The effect of new information on volatility was also tested in a generalized autoregressive conditional heteroskedasticity (GARCH) framework, by making use of a similar approach to Chen, Firth and Rui (2001). GARCH models which include trading volume as an explanatory variable which was regarded as a proxy for information flow, were used to forecast volatility. This would indicate whether trading volume changes (flow of information) are significant when forecasting volatility.
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- Authors: Venter, Chalté
- Date: 2019
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/403522 , uj:33819
- Description: M.Com. (Finance) , Abstract: The aim of this dissertation was to determine what the significance of new information and shocks are on different commodity-based equity markets (de- veloped versus emerging). That is, if shocks occur, how will the different markets react; how big will the differences be between these markets; and how long will it take the different markets to absorb the shocks? Therefore, if a shock is introduced as new information, how does the market react? The mar- kets will eventually reach a new equilibrium, but how long will it take to reach the new equilibrium in the different markets? This was be done by making use of a vector error correction model (VECM). The effect of new information on volatility was also tested in a generalized autoregressive conditional heteroskedasticity (GARCH) framework, by making use of a similar approach to Chen, Firth and Rui (2001). GARCH models which include trading volume as an explanatory variable which was regarded as a proxy for information flow, were used to forecast volatility. This would indicate whether trading volume changes (flow of information) are significant when forecasting volatility.
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Assessing the Baltic Dry Index as a predictor for South African sector indices
- Authors: Riley, Malcolm Christopher
- Date: 2019
- Subjects: Freight and freightage - Rates , Price indexes , Stock price indexes - South Africa
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/296058 , uj:32250
- Description: M.Com. (Finance) , Abstract: This minor dissertation presents research on the Baltic Dry Index and seeks to identify the relationships between the Baltic Dry Index and the South African sector indices. The objective of the research is to identify whether or not the Baltic Dry Index can act as a leading indicator for South African sector indices. The Baltic Dry Index is a financial index that represents the freight cost of shipping dry bulk (i.e. raw materials). Dry bulk cargo refers to raw materials such as iron ore, coal, grain, and other materials. The literature review reveals leading relationships between the Baltic Dry Index and several global economic and financial indicators, such as economic activity. However, there is limited research on the relationship between the Baltic Dry Index and South African financial and economic indicators. The research seeks to identify and explain any lead lag relationships that exist between the Baltic Dry Index and the Johannesburg Stock Exchange indices. Particular emphasis is given to the Baltic Dry Index’s influence on the South African sector indices. The Vector Autoregression model was used. On the basis of the time series data and frequency of the data used, the results indicate that significant lead relationships exist between the Baltic Dry Index and the Johannesburg Stock Exchange indices for both mining, and construction and materials. In particular, one lag of the Baltic Dry Index leads the Johannesburg Stock Exchange mining and construction indices, while statistical significance was insufficient to prove that the Baltic Dry Index leads the other selected indices. Surprisingly, the relationship tends to be negative according to the impulse response functions where a rise in the Baltic Dry Index causes negative changes in the Johannesburg Stock Exchange mining and construction indices two weeks after such rise. This finding is supported by Lin and Sim (2013, 2014).
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- Authors: Riley, Malcolm Christopher
- Date: 2019
- Subjects: Freight and freightage - Rates , Price indexes , Stock price indexes - South Africa
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/296058 , uj:32250
- Description: M.Com. (Finance) , Abstract: This minor dissertation presents research on the Baltic Dry Index and seeks to identify the relationships between the Baltic Dry Index and the South African sector indices. The objective of the research is to identify whether or not the Baltic Dry Index can act as a leading indicator for South African sector indices. The Baltic Dry Index is a financial index that represents the freight cost of shipping dry bulk (i.e. raw materials). Dry bulk cargo refers to raw materials such as iron ore, coal, grain, and other materials. The literature review reveals leading relationships between the Baltic Dry Index and several global economic and financial indicators, such as economic activity. However, there is limited research on the relationship between the Baltic Dry Index and South African financial and economic indicators. The research seeks to identify and explain any lead lag relationships that exist between the Baltic Dry Index and the Johannesburg Stock Exchange indices. Particular emphasis is given to the Baltic Dry Index’s influence on the South African sector indices. The Vector Autoregression model was used. On the basis of the time series data and frequency of the data used, the results indicate that significant lead relationships exist between the Baltic Dry Index and the Johannesburg Stock Exchange indices for both mining, and construction and materials. In particular, one lag of the Baltic Dry Index leads the Johannesburg Stock Exchange mining and construction indices, while statistical significance was insufficient to prove that the Baltic Dry Index leads the other selected indices. Surprisingly, the relationship tends to be negative according to the impulse response functions where a rise in the Baltic Dry Index causes negative changes in the Johannesburg Stock Exchange mining and construction indices two weeks after such rise. This finding is supported by Lin and Sim (2013, 2014).
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Real options and land development in South Africa
- Pappadogiannis, Peter Apostle
- Authors: Pappadogiannis, Peter Apostle
- Date: 2015
- Subjects: Real estate development - South Africa , Real estate development - Finance , Decision making - South Africa
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/54876 , uj:16253
- Description: Abstract: Decision-making should be a value-based approach in any organisation, as it requires discipline in assessing and making strategic and operating decisions necessary to maximise shareholder wealth. Business conditions in the construction industry are such that operations are burdened with uncertainty and risk affected by time and events, especially in large-scale land development projects where profit margins are small, but quantifiably material due to the size of these projects. Risk assessment is a growing reality in the evaluation of projects. It plays a defining and integral role within this type of project due to its nature, and management has to ensure that the risks in their control are mitigated due to the sensitivity of the uncertainties inherent therein. Strategic flexibility is necessary when managing these projects as it allow managers to recognise, plan and manage most uncertainties in such a way that it could potentially alter and maximise project value. Large-scale developments carry many uncertainties within their micro and macroeconomic environment which if not managed correctly, could materially alter its profitability. A fluctuation in material costs, interest rates, inflation, labour unrest, political changes and geotechnical setbacks are the type of uncertainties characteristic to such developments. The decision to invest in large-scale land developments is predominantly based on the traditional methods of capital budgeting. The more familiar methods are: the return on investment method, the internal rate of return method, the net present value method and the payback method. These methods carry inherent limitations that do not consider any reaction to changes over the development period when uncertainties and opportunities are present. These traditional valuation methods also don’t account for any risk factors, and allow for managerial flexibility at points where critical decisionmaking has to be made. Other methods of capital budgeting have been developed in order to address these limitations such as decision trees, simulations, sensitivity analysis and more importantly, real option valuations which are the key focus in this paper... , M.Com. (Financial Management)
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- Authors: Pappadogiannis, Peter Apostle
- Date: 2015
- Subjects: Real estate development - South Africa , Real estate development - Finance , Decision making - South Africa
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/54876 , uj:16253
- Description: Abstract: Decision-making should be a value-based approach in any organisation, as it requires discipline in assessing and making strategic and operating decisions necessary to maximise shareholder wealth. Business conditions in the construction industry are such that operations are burdened with uncertainty and risk affected by time and events, especially in large-scale land development projects where profit margins are small, but quantifiably material due to the size of these projects. Risk assessment is a growing reality in the evaluation of projects. It plays a defining and integral role within this type of project due to its nature, and management has to ensure that the risks in their control are mitigated due to the sensitivity of the uncertainties inherent therein. Strategic flexibility is necessary when managing these projects as it allow managers to recognise, plan and manage most uncertainties in such a way that it could potentially alter and maximise project value. Large-scale developments carry many uncertainties within their micro and macroeconomic environment which if not managed correctly, could materially alter its profitability. A fluctuation in material costs, interest rates, inflation, labour unrest, political changes and geotechnical setbacks are the type of uncertainties characteristic to such developments. The decision to invest in large-scale land developments is predominantly based on the traditional methods of capital budgeting. The more familiar methods are: the return on investment method, the internal rate of return method, the net present value method and the payback method. These methods carry inherent limitations that do not consider any reaction to changes over the development period when uncertainties and opportunities are present. These traditional valuation methods also don’t account for any risk factors, and allow for managerial flexibility at points where critical decisionmaking has to be made. Other methods of capital budgeting have been developed in order to address these limitations such as decision trees, simulations, sensitivity analysis and more importantly, real option valuations which are the key focus in this paper... , M.Com. (Financial Management)
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South African wine as an alternative investment for portfolio diversification
- Authors: Du Plessis, Annerie
- Date: 2018
- Subjects: Investments - South Africa , Risk - South Africa , Wine industry - South Africa , Investments - Management
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/292166 , uj:31746
- Description: Abstract: This study provides useful insight into wine as an alternative investment. In order to investigate the viability of wine as an alternative asset a wine index is created by means of the repeated sales-regression method. Using a dataset that stretches over the period January 2013 to December 2017, the return and diversification benefits of South African-produced fine wine are evaluated by comparing the performance of wine to that of bonds, gold and equity. A correlation analysis between each asset is performed to analyse whether wine could deliver diversification benefits. The data analysis indicates that wine does not deliver higher risk-adjusted returns compared to equity, but does deliver higher risk-adjusted returns to bonds and gold. The results also show that wine has a weak correlation to the traditional asset classes included in the study and should, therefore, be considered for diversification purposes. , M.Com. (Financial Management)
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- Authors: Du Plessis, Annerie
- Date: 2018
- Subjects: Investments - South Africa , Risk - South Africa , Wine industry - South Africa , Investments - Management
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/292166 , uj:31746
- Description: Abstract: This study provides useful insight into wine as an alternative investment. In order to investigate the viability of wine as an alternative asset a wine index is created by means of the repeated sales-regression method. Using a dataset that stretches over the period January 2013 to December 2017, the return and diversification benefits of South African-produced fine wine are evaluated by comparing the performance of wine to that of bonds, gold and equity. A correlation analysis between each asset is performed to analyse whether wine could deliver diversification benefits. The data analysis indicates that wine does not deliver higher risk-adjusted returns compared to equity, but does deliver higher risk-adjusted returns to bonds and gold. The results also show that wine has a weak correlation to the traditional asset classes included in the study and should, therefore, be considered for diversification purposes. , M.Com. (Financial Management)
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The performance of a momentum strategy during bull and bear periods on the JSE/FTSE Africa Top 40 Index
- Authors: Devonport, Mathew Robin
- Date: 2014-03-11
- Subjects: Investments - South Africa , Bull markets , Bear markets , Stock exchanges - South Africa
- Type: Thesis
- Identifier: uj:4271 , http://hdl.handle.net/10210/9627
- Description: M.Com. (Financial Management) , This paper studies the effects of bull and bear market states on the profitability of a momentum investment strategy. That is, a strategy that buys past winners and sells past losers is simulated over the period 3 July 2002 to 8 August 2012 and its profitability is reviewed in light of bull and bear sub-periods. Such an investment strategy has been shown to yield abnormal returns in several markets around the world, including the South African stock market. By doing so, these studies challenge the efficient market hypothesis, a central and widely accepted hypothesis within traditional portfolio theory. There are many theories that have been used to explain why abnormal profits are achievable using a momentum investment strategy. By determining the effects of bull and bear market states on the profitability of a momentum investment strategy, this paper provides some insight into which theories, if any, are most relevant to the South African stock market context. It is found that on average, a momentum portfolio yields abnormal returns over the full sample period, with the chief driver of these returns being the winner component of the portfolio. When broken into bull and bear sub-periods, it was found that a momentum investment strategy only yields abnormal returns during a bull period, whilst these abnormal returns became negative during a bear period. These results are consistent with one efficient market hypothesis explanation and two behavioral models presented in past studies. The results indicate that the market may be efficient and that changes in macroeconomic risk are the cause of momentum profits. However, insofar as the macroeconomic risk explanation is inaccurate, these results support the behavioural models of Daniel, Hirshleifer, and Subrahmanyam (1998); and Hong and Stein (1999). Both these models predict that momentum returns will be strongest during bull periods.
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- Authors: Devonport, Mathew Robin
- Date: 2014-03-11
- Subjects: Investments - South Africa , Bull markets , Bear markets , Stock exchanges - South Africa
- Type: Thesis
- Identifier: uj:4271 , http://hdl.handle.net/10210/9627
- Description: M.Com. (Financial Management) , This paper studies the effects of bull and bear market states on the profitability of a momentum investment strategy. That is, a strategy that buys past winners and sells past losers is simulated over the period 3 July 2002 to 8 August 2012 and its profitability is reviewed in light of bull and bear sub-periods. Such an investment strategy has been shown to yield abnormal returns in several markets around the world, including the South African stock market. By doing so, these studies challenge the efficient market hypothesis, a central and widely accepted hypothesis within traditional portfolio theory. There are many theories that have been used to explain why abnormal profits are achievable using a momentum investment strategy. By determining the effects of bull and bear market states on the profitability of a momentum investment strategy, this paper provides some insight into which theories, if any, are most relevant to the South African stock market context. It is found that on average, a momentum portfolio yields abnormal returns over the full sample period, with the chief driver of these returns being the winner component of the portfolio. When broken into bull and bear sub-periods, it was found that a momentum investment strategy only yields abnormal returns during a bull period, whilst these abnormal returns became negative during a bear period. These results are consistent with one efficient market hypothesis explanation and two behavioral models presented in past studies. The results indicate that the market may be efficient and that changes in macroeconomic risk are the cause of momentum profits. However, insofar as the macroeconomic risk explanation is inaccurate, these results support the behavioural models of Daniel, Hirshleifer, and Subrahmanyam (1998); and Hong and Stein (1999). Both these models predict that momentum returns will be strongest during bull periods.
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Volatility models applied to risk measurement after the global financial crisis
- Authors: Venter, Pierre Johan
- Date: 2018
- Subjects: Investments , Financial risk management , Global Financial Crisis, 2008-2009
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/283321 , uj:30551
- Description: Abstract: Please refer to full text to view abstract. , M.Com. (Investment Management)
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- Authors: Venter, Pierre Johan
- Date: 2018
- Subjects: Investments , Financial risk management , Global Financial Crisis, 2008-2009
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/283321 , uj:30551
- Description: Abstract: Please refer to full text to view abstract. , M.Com. (Investment Management)
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