Factor investing for South African pension funds

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dc.contributor.advisorBotha, Pieter
dc.contributor.authorLetlaka, Thabo
dc.date.accessioned2026-06-26T08:13:32Z
dc.date.available2026-06-26T08:13:32Z
dc.date.issued2026
dc.date.updated2026-06-26T08:09:19Z
dc.description.abstractThis study investigates optimal factor portfolio strategies in South African, developed, and emerging equity markets. Leveraging Fama-French factor models, we construct single- and multi-factor portfolios based on the factors: size; value; momentum; quality; and low volatility. Single-factor portfolio construction follows an approach that begins with processing market data into factor signals and ends with portfolio construction based on transformed factor signals. Our results show that the return on assets and return on equity signals are the top performing signals on a risk-adjusted basis across all three markets, followed by the momentum signals. Multi-factor portfolios are constructed using factor equal weighting (EW), minimum variance (MV), and equal risk contribution (ERC) methods. Our results show that EW portfolios consistently outperform traditional indices on a risk-adjusted basis, and thus can be viewed as giving an investor optimal strategic factor exposure. ERC portfolios outperform EW portfolios and can be considered as giving investors either strategic or tactical factor exposure. On tactical factor allocation strategies, we construct multi-factor portfolios based on tactical factor momentum and volatility indicators and find that the tactical factor allocation method based on the factor momentum indicator is robust across all three markets, especially in South Africa and developed markets.
dc.identifier.apacitationLetlaka, T. (2026). <i>Factor investing for South African pension funds</i>. (). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/43398en_ZA
dc.identifier.chicagocitationLetlaka, Thabo. <i>"Factor investing for South African pension funds."</i> ., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2026. http://hdl.handle.net/11427/43398en_ZA
dc.identifier.citationLetlaka, T. 2026. Factor investing for South African pension funds. . University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. http://hdl.handle.net/11427/43398en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Letlaka, Thabo AB - This study investigates optimal factor portfolio strategies in South African, developed, and emerging equity markets. Leveraging Fama-French factor models, we construct single- and multi-factor portfolios based on the factors: size; value; momentum; quality; and low volatility. Single-factor portfolio construction follows an approach that begins with processing market data into factor signals and ends with portfolio construction based on transformed factor signals. Our results show that the return on assets and return on equity signals are the top performing signals on a risk-adjusted basis across all three markets, followed by the momentum signals. Multi-factor portfolios are constructed using factor equal weighting (EW), minimum variance (MV), and equal risk contribution (ERC) methods. Our results show that EW portfolios consistently outperform traditional indices on a risk-adjusted basis, and thus can be viewed as giving an investor optimal strategic factor exposure. ERC portfolios outperform EW portfolios and can be considered as giving investors either strategic or tactical factor exposure. On tactical factor allocation strategies, we construct multi-factor portfolios based on tactical factor momentum and volatility indicators and find that the tactical factor allocation method based on the factor momentum indicator is robust across all three markets, especially in South Africa and developed markets. DA - 2026 DB - OpenUCT DP - University of Cape Town KW - Factor Investing KW - Signal Processing KW - Signal Transformation KW - Single Factor Portfolio Construction KW - Multi-Factor Portfolio Construction KW - Tactical Factor Allocation LK - https://open.uct.ac.za PB - University of Cape Town PY - 2026 T1 - Factor investing for South African pension funds TI - Factor investing for South African pension funds UR - http://hdl.handle.net/11427/43398 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/43398
dc.identifier.vancouvercitationLetlaka T. Factor investing for South African pension funds. []. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2026 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/43398en_ZA
dc.language.isoen
dc.language.rfc3066eng
dc.publisher.departmentDivision of Actuarial Science
dc.publisher.facultyFaculty of Commerce
dc.publisher.institutionUniversity of Cape Town
dc.subjectFactor Investing
dc.subjectSignal Processing
dc.subjectSignal Transformation
dc.subjectSingle Factor Portfolio Construction
dc.subjectMulti-Factor Portfolio Construction
dc.subjectTactical Factor Allocation
dc.titleFactor investing for South African pension funds
dc.typeThesis / Dissertation
dc.type.qualificationlevelMasters
dc.type.qualificationlevelMCom
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