Low volatility alternative equity indices

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dc.contributor.advisorBradfield, Daviden_ZA
dc.contributor.authorOladele, Oluwatosin Seunen_ZA
dc.date.accessioned2015-12-08T11:43:15Z
dc.date.available2015-12-08T11:43:15Z
dc.date.issued2015en_ZA
dc.description.abstractIn recent years, there has been an increasing interest in constructing low volatility portfolios. These portfolios have shown significant outperformance when compared with the market capitalization-weighted portfolios. This study analyses the low volatility portfolios in South Africa using sectors instead of individual stocks as building blocks for portfolio construction. The empirical results from back-testing these portfolios show significant outperformance when compared with their market capitalization weighted equity benchmark counterpart (ALSI). In addition, a further analysis of this study delves into the construction of the low volatility portfolios using the Top 40 and Top 100 stocks. The results also show significant outperformance over the market-capitalization portfolio (ALSI), with the portfolios constructed using the Top 100 stocks having a better performance than portfolio constructed using the Top 40 stocks. Finally, the low volatility portfolios are also blended with typical portfolios (ALSI and the SWIX indices) in order to establish their usefulness as effective portfolio strategies. The results show that the Low volatility Single Index Model (SIM) and the Equally Weight low-beta portfolio (Lowbeta) were the superior performers based on their Sharpe ratios.en_ZA
dc.identifier.apacitationOladele, O. S. (2015). <i>Low volatility alternative equity indices</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Statistical Sciences. Retrieved from http://hdl.handle.net/11427/15691en_ZA
dc.identifier.chicagocitationOladele, Oluwatosin Seun. <i>"Low volatility alternative equity indices."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Statistical Sciences, 2015. http://hdl.handle.net/11427/15691en_ZA
dc.identifier.citationOladele, O. 2015. Low volatility alternative equity indices. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Oladele, Oluwatosin Seun AB - In recent years, there has been an increasing interest in constructing low volatility portfolios. These portfolios have shown significant outperformance when compared with the market capitalization-weighted portfolios. This study analyses the low volatility portfolios in South Africa using sectors instead of individual stocks as building blocks for portfolio construction. The empirical results from back-testing these portfolios show significant outperformance when compared with their market capitalization weighted equity benchmark counterpart (ALSI). In addition, a further analysis of this study delves into the construction of the low volatility portfolios using the Top 40 and Top 100 stocks. The results also show significant outperformance over the market-capitalization portfolio (ALSI), with the portfolios constructed using the Top 100 stocks having a better performance than portfolio constructed using the Top 40 stocks. Finally, the low volatility portfolios are also blended with typical portfolios (ALSI and the SWIX indices) in order to establish their usefulness as effective portfolio strategies. The results show that the Low volatility Single Index Model (SIM) and the Equally Weight low-beta portfolio (Lowbeta) were the superior performers based on their Sharpe ratios. DA - 2015 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2015 T1 - Low volatility alternative equity indices TI - Low volatility alternative equity indices UR - http://hdl.handle.net/11427/15691 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/15691
dc.identifier.vancouvercitationOladele OS. Low volatility alternative equity indices. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Statistical Sciences, 2015 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/15691en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Statistical Sciencesen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherStatisticsen_ZA
dc.titleLow volatility alternative equity indicesen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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