The investigation of style indices and active portfolio construction on the JSE

 

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dc.contributor.advisor Van Rensburg, Paul en_ZA
dc.contributor.author Yu, Xiao en_ZA
dc.date.accessioned 2015-09-15T10:35:22Z
dc.date.available 2015-09-15T10:35:22Z
dc.date.issued 2008 en_ZA
dc.identifier.citation Yu, X. 2008. The investigation of style indices and active portfolio construction on the JSE. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/14038
dc.description Includes bibliographical references. en_ZA
dc.description.abstract This thesis investigates the construction and performance of style indices on the JSE. It then demonstrates how a 'toolkit' of style indices can be used, together with conventional passive indices, as a set of building blocks for efficient portfolio construction. This study tests the performance of a variety of potential style indices representing 'size', 'value' and 'momentum' effects. Selected indices for each style together with JSE sector indices are subsequently utilised to replicate the returns obtained on actively managed domestic equity funds using Sharpe's (1988, 1992) style decomposition method. Finally, a 'toolkit' of selected style indices are employed as building blocks to construct mean-variance and mean-tracking error optimal portfolios at low cost. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Finance en_ZA
dc.title The investigation of style indices and active portfolio construction on the JSE en_ZA
dc.type Master Thesis
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Commerce en_ZA
dc.publisher.department Department of Finance and Tax en_ZA
dc.type.qualificationlevel Masters
dc.type.qualificationname MCom en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Yu, X. (2008). <i>The investigation of style indices and active portfolio construction on the JSE</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/14038 en_ZA
dc.identifier.chicagocitation Yu, Xiao. <i>"The investigation of style indices and active portfolio construction on the JSE."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2008. http://hdl.handle.net/11427/14038 en_ZA
dc.identifier.vancouvercitation Yu X. The investigation of style indices and active portfolio construction on the JSE. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2008 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/14038 en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Yu, Xiao AB - This thesis investigates the construction and performance of style indices on the JSE. It then demonstrates how a 'toolkit' of style indices can be used, together with conventional passive indices, as a set of building blocks for efficient portfolio construction. This study tests the performance of a variety of potential style indices representing 'size', 'value' and 'momentum' effects. Selected indices for each style together with JSE sector indices are subsequently utilised to replicate the returns obtained on actively managed domestic equity funds using Sharpe's (1988, 1992) style decomposition method. Finally, a 'toolkit' of selected style indices are employed as building blocks to construct mean-variance and mean-tracking error optimal portfolios at low cost. DA - 2008 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2008 T1 - The investigation of style indices and active portfolio construction on the JSE TI - The investigation of style indices and active portfolio construction on the JSE UR - http://hdl.handle.net/11427/14038 ER - en_ZA


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