A framework for evaluating the benchmark risk of South African equity portfolios

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dc.contributor.advisorVan Rensburg, Paulen_ZA
dc.contributor.authorKruger, Ryanen_ZA
dc.date.accessioned2014-12-31T19:49:29Z
dc.date.available2014-12-31T19:49:29Z
dc.date.issued2005en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractThe aim of this study is to identify and quantify those primary aspects of risk which impact on the construction of benchmark ind ices as well as active portfolios in the South African market. The appropriateness of tile application of the new FTSE classification structure with regard to the particular structure of the local exchange on 30 June 2002 has been placed in question. An initial cluster analysis of the index returns underlying the new classification demonstrated that there were significant behavioural anomalies amongst the new index structure with many Financial-Industrial indices now grouped closely with Resources stocks. A principal factors analysis of the market sectors indicated that the strong Financial-Industrials and Resources dichotomy was present within the market but also demonstrated that a number of Financial-Industrial indices, most notably Basic Industries and Cyclical Consumer Goods, demonstrated either loadings on both factors or loaded solely on the Resources factor rather than their own Financial-Industrials factor. An investigation on a share level found that in most cases one or two large cap shares were responsible for the behaviour of their sectors as a whole and that each of the shares in question was either dual-listed or had significant exposure to foreign markets.en_ZA
dc.identifier.apacitationKruger, R. (2005). <i>A framework for evaluating the benchmark risk of South African equity portfolios</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Management Studies. Retrieved from http://hdl.handle.net/11427/10732en_ZA
dc.identifier.chicagocitationKruger, Ryan. <i>"A framework for evaluating the benchmark risk of South African equity portfolios."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Management Studies, 2005. http://hdl.handle.net/11427/10732en_ZA
dc.identifier.citationKruger, R. 2005. A framework for evaluating the benchmark risk of South African equity portfolios. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Kruger, Ryan AB - The aim of this study is to identify and quantify those primary aspects of risk which impact on the construction of benchmark ind ices as well as active portfolios in the South African market. The appropriateness of tile application of the new FTSE classification structure with regard to the particular structure of the local exchange on 30 June 2002 has been placed in question. An initial cluster analysis of the index returns underlying the new classification demonstrated that there were significant behavioural anomalies amongst the new index structure with many Financial-Industrial indices now grouped closely with Resources stocks. A principal factors analysis of the market sectors indicated that the strong Financial-Industrials and Resources dichotomy was present within the market but also demonstrated that a number of Financial-Industrial indices, most notably Basic Industries and Cyclical Consumer Goods, demonstrated either loadings on both factors or loaded solely on the Resources factor rather than their own Financial-Industrials factor. An investigation on a share level found that in most cases one or two large cap shares were responsible for the behaviour of their sectors as a whole and that each of the shares in question was either dual-listed or had significant exposure to foreign markets. DA - 2005 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2005 T1 - A framework for evaluating the benchmark risk of South African equity portfolios TI - A framework for evaluating the benchmark risk of South African equity portfolios UR - http://hdl.handle.net/11427/10732 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/10732
dc.identifier.vancouvercitationKruger R. A framework for evaluating the benchmark risk of South African equity portfolios. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Management Studies, 2005 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/10732en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentSchool of Management Studiesen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.titleA framework for evaluating the benchmark risk of South African equity portfoliosen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMBusScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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