Browsing by Author "Page, Mike"

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    An analysis into the hedging effectiveness and efficiency of the share index futures market in South Africa
    (1992) Levett, Peter; Page, Mike
    There has been much written on the ability of futures to reduce risk thereby hedging against potential market declines. However, the effect on return has been largely overlooked. This study investigates the risk and return effectiveness of hedging and hedging strategies using share index futures (SIF) market in South Africa. The empirical analysis is based on actual market data applied in terms of the most prominent hedging strategies, namely the traditional, minimum-variance, beta and Howard & D'Antonio (H&D) strategies. As hedging effectiveness is dependent on market efficiency, an analysis of the pricing efficiency of the South African market is performed with reference to the cost-of-carry valuation model and arbitrage pricing techniques. The results overwhelmingly indicate that the minimum-variance hedge strategy is the most optimal of the four strategies in terms of both risk and return. The beta hedge performed badly in terms of both risk and return (even worse than the naive traditional hedge strategy) and often led to overhedging. The beta strategy is not considered appropriate as an estimate of the minimum-variance hedge ratio in the South African situation because the futures price fluctuates significantly more than the spot index resulting in overstated hedge ratios.
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    Contributions to modern portfolio theory
    (2001) Raubenheimer, Heidi; Dunne, Tim; Page, Mike
    Fund managers and investors are confronted with the problem of selecting a single investment portfolio from a large number of possible combinations of available assets. In South Africa the set of possible portfolios has become even larger with the gradual relaxing of the constraints on foreign investment from 1995 to the present day, thereby expanding the investment universe for South African investors. Moreover, portfolio selection in South Africa is being transformed increasingly from being the exclusive domain of high net worth individuals, trustees and their investment managers to being the domain and responsibility of the man on the street. The Unit Trust industry started in South Africa in 1965 and gave the lower net worth individual a vehicle with which to invest in a diverse investment portfolio. This industry has proved very popular and has expanded from only 8 funds in 1980 to 338 funds and 136 billion rands under management in November 2000. Moreover the past two years, 1999 and 2000, has seen a change in the pension fund industry from defined benefit (DB) to defined contribution (DC) pension funds, transferring more of the risk and the responsibility of portfolio selection onto pension fund members. With increasing demand for fund management and investment advice by pension fund members and individual investors alike, the financial services industry in South Africa has also expanded. The consequent competition for assets of all descriptions have led, one hopes, to a more efficient market in equity, fixed income and derivative products. Thus modern portfolio theory has come a long way and will have to go further in meeting the demand to assist investors in their decision making.
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    "Nested" cryptic diversity in a widespread marine ecosystem engineer: a challenge for detecting biological invasions
    (BioMed Central Ltd, 2011) Teske, Peter; Rius, Marc; McQuaid, Christopher; Styan, Craig; Piggott, Maxine; Benhissoune, Said; Fuentes-Grunewald, Claudio; Walls, Kathy; Page, Mike; Attard, Catherine; Cooke, Georgina; McClusky, Claire; Banks, Sam; Barker, Nigel; Beheregaray, Luci
    BACKGROUND: Ecosystem engineers facilitate habitat formation and enhance biodiversity, but when they become invasive, they present a critical threat to native communities because they can drastically alter the receiving habitat. Management of such species thus needs to be a priority, but the poorly resolved taxonomy of many ecosystem engineers represents a major obstacle to correctly identifying them as being either native or introduced. We address this dilemma by studying the sea squirt Pyura stolonifera, an important ecosystem engineer that dominates coastal communities particularly in the southern hemisphere. Using DNA sequence data from four independently evolving loci, we aimed to determine levels of cryptic diversity, the invasive or native status of each regional population, and the most appropriate sampling design for identifying the geographic ranges of each evolutionary unit. RESULTS: Extensive sampling in Africa, Australasia and South America revealed the existence of "nested" levels of cryptic diversity, in which at least five distinct species can be further subdivided into smaller-scale genetic lineages. The ranges of several evolutionary units are limited by well-documented biogeographic disjunctions. Evidence for both cryptic native diversity and the existence of invasive populations allows us to considerably refine our view of the native versus introduced status of the evolutionary units within Pyura stolonifera in the different coastal communities they dominate. CONCLUSIONS: This study illustrates the degree of taxonomic complexity that can exist within widespread species for which there is little taxonomic expertise, and it highlights the challenges involved in distinguishing between indigenous and introduced populations. The fact that multiple genetic lineages can be native to a single geographic region indicates that it is imperative to obtain samples from as many different habitat types and biotic zones as possible when attempting to identify the source region of a putative invader. "Nested" cryptic diversity, and the difficulties in correctly identifying invasive species that arise from it, represent a major challenge for managing biodiversity.