Benefits of a Tree-Based model for stock selection in a South African context

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dc.contributor.advisorBosman, Petrusen_ZA
dc.contributor.authorGiuricich, Mario Nicoloen_ZA
dc.date.accessioned2014-10-17T10:08:22Z
dc.date.available2014-10-17T10:08:22Z
dc.date.issued2014en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractQuantitative investment practitioners typically model the performance of a stock relative to its benchmark and the stock's fundamental factors in a classical linear framework. However, these models have empirically been found to be unsuitable for capturing higher-order relationships between a stock's return relative to a benchmark and its fundamental factors. This dissertation studies the use of Classification and Regression Tree (CART) models for stock selection within the South African context, with the focus being on the period from when the Global Financial Crisis began in early 2007 until December 2012. By utilising four types of portfolios, a CART model is directly compared against two traditional linear models. It is seen that during the period focused upon, the portfolios based on the CART model deliver the best excess return and risk-adjusted return, albeit in most cases modestly above the returns delivered by the portfolios based upon the linear models. This is observed in the hedge-fund style and long-only portfolios constructed. Moreover, it is observed that the CART-based portfolios' returns are not correlated with those from the linear-model-based portfolios. This observation suggests that CART models offer an attractive option to diversify model risk within the South African context.en_ZA
dc.identifier.apacitationGiuricich, M. N. (2014). <i>Benefits of a Tree-Based model for stock selection in a South African context</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/8515en_ZA
dc.identifier.chicagocitationGiuricich, Mario Nicolo. <i>"Benefits of a Tree-Based model for stock selection in a South African context."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Economics, 2014. http://hdl.handle.net/11427/8515en_ZA
dc.identifier.citationGiuricich, M. 2014. Benefits of a Tree-Based model for stock selection in a South African context. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Giuricich, Mario Nicolo AB - Quantitative investment practitioners typically model the performance of a stock relative to its benchmark and the stock's fundamental factors in a classical linear framework. However, these models have empirically been found to be unsuitable for capturing higher-order relationships between a stock's return relative to a benchmark and its fundamental factors. This dissertation studies the use of Classification and Regression Tree (CART) models for stock selection within the South African context, with the focus being on the period from when the Global Financial Crisis began in early 2007 until December 2012. By utilising four types of portfolios, a CART model is directly compared against two traditional linear models. It is seen that during the period focused upon, the portfolios based on the CART model deliver the best excess return and risk-adjusted return, albeit in most cases modestly above the returns delivered by the portfolios based upon the linear models. This is observed in the hedge-fund style and long-only portfolios constructed. Moreover, it is observed that the CART-based portfolios' returns are not correlated with those from the linear-model-based portfolios. This observation suggests that CART models offer an attractive option to diversify model risk within the South African context. DA - 2014 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2014 T1 - Benefits of a Tree-Based model for stock selection in a South African context TI - Benefits of a Tree-Based model for stock selection in a South African context UR - http://hdl.handle.net/11427/8515 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/8515
dc.identifier.vancouvercitationGiuricich MN. Benefits of a Tree-Based model for stock selection in a South African context. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Economics, 2014 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/8515en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentSchool of Economicsen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinancial Mathematicsen_ZA
dc.titleBenefits of a Tree-Based model for stock selection in a South African contexten_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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