Browsing by Author "Bradfield, Dave"
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- ItemOpen AccessThe descriptive analysis of the Botswana stock exchange(1999) Ncube, Geoffrey Shima; Bradfield, DaveThe thesis has the modest objective of supplying a descriptive analysis of the Botswana Stock Exchange (BSE). The motivation is that little work has been done and relatively little is known about it. It is felt therefore that basic knowledge of BSE is important. This knowledge could be of interest to an investor who is uninformed about the BSE.
- ItemOpen AccessA Descriptive analysis of the various sources of portfolio risk on the Namibian Stock Market(2010) Uzera, Nehemia Puuaapo; Bradfield, DaveWe conducted a study on the terrestrial small mammal communities (< 1kg) in the Volcanoes National Park (VNP), Rwanda, to determine species diversity and altitudinal/habitat associations. Data on environmental variables (habitat cover, temperature, wind speed and rainfall) were incorporated into the analysis. Both Sherman live and snap traps were set in transects from 30 September to 8 November 2009 at eight habitats (ranging from 2380 m to 3710 m). Trapping over 4800 trap nights resulted in the capture of 305 individuals (including 4 recaptures), of which 247 were identified to species level. These represented eight species of rodents, three species of shrews and one mongoose. Total numbers of small mammals were high in brush ridge and herbaceous habitats, and low in alpine and bamboo habitats. The midaltitude zone housed a high number of small mammals. Of the species captured, Praomys degraaffi is vulnerable and Sylvisorex vulcanorum is near threatened (IUCN 2009); six species (Hylomyscus vulcanorum, Mus bufo, Praomys degraaffi, Sylvisorex vulcanorum, Lophuromys woosnami and Trachyoryctes ruandae) are endemic to the Albertine rift; and four species are new to the Park list. Species richness varied significantly among the different habitat types. Species richness and diversity increased with elevation up to the middle altitudes (2860-3255 m) and then declined with increasing elevation. Endemic species were found mainly in low and middle attitude habitats, and thus, these habitat types are important for conservation of small mammals at VNP. The numbers of known small mammal endemics for VNP will probably be increased if trapping is done seasonally and a more diverse regime of trapping techniques is employed. Key words: Rodentia, Soricidae, endemism, Volcanoes NP, species diversity.
- ItemOpen AccessEnhancements to the Markowitz mean-variance optimisation process of asset allocation(1998) McLeod, Warren; Bradfield, Dave[The focus of this thesis is on the practical application of portfolio selection. It is a field that receives much attention, no more so than after the world market crashes (i.e. October 1997) which highlighted the importance of risk management. Consequently there is a need to examine the current tools in current use to create our portfolios and to look at ways in which they could be improved. The Bayesians have certainly contributed in this area, and more noticeably in the 1990's. We shall examine their contributions quite extensively in this thesis.
- ItemOpen AccessIdentifying and correcting misclassified South African equity trusts using style analysis(1999) Robertson, M; Firer, Colin; Bradfield, DaveThe concept of style analysis is rapidly spreading in the money management business. In addition to it's use in the areas of benchmarking, portfolio structuring, risk control and performance attribution, style analysis has also been shown to be a powerful tool for identifying and evaluating the groupings and classification of investment portfolios. This study is based on an iterative application of William Sharpe's technique of returns-based style analysis. In essence the technique is used to create purified unit trust style indices in order to verify the existing classification of equity unit trusts. The technique is extended for the purpose of confirming the returns-based misclassified funds through testing the fit of combinations of style factor returns derived from a composition-based factor model.
- ItemOpen AccessINTROSTAT (Statistics textbook)(2013) Underhill, Les; Bradfield, DaveIntroStat was designed to meet the needs of students, primarily those in business, commerce and management, for a course in applied statistics. IntroSTAT is designed as a lecture-book. One of the aims is to maximize the time spent in explaining concepts and doing examples. The book is commonly used as part of first year courses into Statistics.
- ItemOpen AccessOptions and volatility effects in South Africa(1998) Wandmacher, Ralf; Bradfield, DaveThis thesis examines and extends research into option price modeling in the South African market with a particular focus on its most important parameter, namely the volatility of the underlying. The primary objective of the thesis therefore is to offer an option price model that takes account of the conditions of the environment prevailing in South Africa. The initial aim of the thesis is to describe the behaviour of the volatility in the South African market. This is achieved by conducting three empirical examinations using data from the South African Futures Exchange (SAFEX). The empirical examinations are partly based on standard methodologies (that have been modified in the thesis) and partly based on original methodologies adapted for the South African environment.
- ItemOpen AccessRobust portfolio construction controlling the alpha-weight angle(2013) Bailey, Geraldine; Bradfield, DaveEstimation risk is widely seen to have a significant impact on mean-variance portfolios and is one of the major reasons the standard Markowitz theory has been criticized in practice. While several attempts to incorporate estimation risk has been considered in the past, the approach by of Golts and Jones (2009) represents an innovative approach to incorporate estimation risk in the sample estimates of the input returns and covariance matrix. In this project we discuss the theory introduced by Golts and Jones (2009) which looks at the direction and the magnitude of the vector of optimal weight and investigates them separately, with focus on the former. We demystify the theory of the authors with focus on both mathematical reasoning and practical application. We show that the distortions of the mean-variance optimization process can be quantified by considering the angle between the vector of expected returns and the vector of optimized portfolio positions. Golts and Jones (2009) call this the alpha-weight angle. We show how to control this angle by employing robust optimization techniques, which we also explore as a main focus in this project. We apply this theory to the South African market and show that we can indeed obtain portfolios with lower risk statistics especially so in times of economic crisis.
- ItemOpen AccessRobust portfolio construction using sorting signatures(2014) Kasenene, Lillian; Bradfield, Dave; Bailey, GeraldineMean-variance analysis introduced by Harry Markowitz has been criticised in the past mainly due to the counter-intuitive and unstable nature of the resultant portfolios from the optimisation. These disappointing results have been linked to the presence of estimation error in the estimates of the expected returns and covariances which serve as input to the optimisation. Several attempts have been made to produce more reliable estimates, with a significant amount of effort and resources placed in estimation of expected returns, which is generally a more difficult task than estimation of covariances. Almgren and Chriss (2006) provide a methodology for portfolio selection in which the order of expected returns replaces the numerical values of the returns. This framework allows full use of the covariance matrix, in a method analogous to mean-variance optimisation. We adopt this framework in our analysis together with the robust optimisation technique introduced by Golts and Jones (2009) which improves the estimate of the covariance matrix by direct modification in the optimisation process. Golts and Jones (2009) argue that a reduction of the angle between the input return forecasts and the output portfolio positions results in more investment relevant portfolios, inline with the investment manager's insights. They relate this angle to the condition number of the covariance matrix and use robust optimisation to improve the conditioning of this matrix. Assuming perfect alpha foresight of an investment manager, we apply a combination of the techniques of Almgren and Chriss (2006) and Golts and Jones (2009) to South African equity data and show that the resultant robust portfolios, though conservative in their risk-adjusted return statistics, are more diversified and exhibit lower leverage than mean-variance portfolios. We further show that independent of the optimisation method, there is a marginal difference in the performance of portfolios created using ordering information and actual returns.
- ItemOpen AccessSome applications of quantitative techniques in the Asset Management Industry(2002) Swartz, Jason; Bradfield, DaveThe aim of this thesis is to provide the reader with some practical applications of quantitative techniques in the area of portfolio management. The theme of the thesis is on the use of basic quantitative applications, with an emphasis on issues pertaining to optimisation, benchmarking and risk management. Most of the contributions and analysis performed in this thesis has been borne out of actual applications in the financial market industry - thus the style of the thesis reflects an application level relevant to practitioners, and is not esoteric.
- ItemOpen AccessSome contributions to the analysis and construction of funds in South Africa(1997) Ardington, Carolyn; Bradfield, DaveFollowing international trends, the South African unit trust industry has become one of the fastest growing forms of investment in our financial market. Since the first fund was established in 1965, the industry has grown to over 100 funds with more than 20 companies managing these funds. Since 1990 there has been particularly rapid growth in 'Specialist Equity Funds' with more than 30 new 'specialist' unit trusts emerging. Specialist equity fund managers usually concentrate their investments on a particular sector of the economy or alternately aim to satisfy specific characteristic investment objectives. Two classes of specialist equity funds, namely Index funds and International funds, have emerged recently in our unit trust industry and are receiving increasing attention from the investment community. Much attention therefore is given to these funds in this thesis. The growing importance of the unit trust industry has heightened the need to effectively and accurately measure the performance of managed funds. A wealth of literature exists in this field and a number of models have been developed to measure the performance of managed funds and the fund managers themselves. This thesis reviews and demonstrates the implementation of these various measures with the emphasis on providing a practical interpretation of each measure. Although the recent development of Index funds and International funds has received considerable attention in the financial media, little attention has been paid to the technical aspects of the construction of these funds in the academic literature. To the authors knowledge there has been no published research on the construction of Index funds or International funds in South Africa. This thesis examines approaches to constructing Index funds and International funds and empirically assesses these approaches on the Johannesburg Stock Exchange (JSE).