3-month bond option strategies: an analysis of performance from 1998 to 2010 in the South African market
Master Thesis
2011
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University of Cape Town
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Abstract
Due to the 2008 financial crisis, investors have become more risk averse in investing in equities and have increased their holdings in bonds as they are believed to be less risky. However, South African interest rates have been volatile over the past decade due to changes in the inflation rate. This has caused the returns of bond portfolios to be uncertain since bond prices are inversely related to interest rates. It is thus imperative to manage the interest rate risk inherent in bond portfolios so that institutional investors can achieve their mandates and targeted returns.
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Includes abstract.
Includes bibliographical references (leaves 35-36).
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Ndebele, N. 2011. 3-month bond option strategies: an analysis of performance from 1998 to 2010 in the South African market. University of Cape Town.