Comparative performances of capital protection strategies in the South African market

Simple item page
dc.contributor.advisorVan Rensburg, Paulen_ZA
dc.contributor.authorDu Plessis, Richard Michaelen_ZA
dc.date.accessioned2015-12-01T09:26:07Z
dc.date.available2015-12-01T09:26:07Z
dc.date.issued2015en_ZA
dc.description.abstractThe performance of cash protection strategies implemented in the South African market are investigated in order to establish if investors are able to add value through the use of dynamic portfolio insurance methods. The analysis is performed, using monthly data, from January 1961 to August 2014 using six alternative methodologies including both a Fixed Rate and Rolling Average Stop-Loss approach, a Lock-In approach, a Constant Mix strategy, a Constant Proportion Portfolio Insurance ("CPPI") approach and an alternative CPPI approach using a Ratchet mechanism. The results indicate that the use of such cash protection strategies can markedly improve portfolio performance from a risk return perspective compared to a pure diversified investment strategy. Notably, the use of older, simpler trading strategies such as the Stop-Loss and Lock-In approaches at optimum threshold levels can still offer investors higher risk to reward benefits with less commitment required. These strategies, though, lack the flexibility observed with the more recently developed dynamic trading strategies in terms of providing for varying risk appetites.en_ZA
dc.identifier.apacitationDu Plessis, R. M. (2015). <i>Comparative performances of capital protection strategies in the South African market</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/15497en_ZA
dc.identifier.chicagocitationDu Plessis, Richard Michael. <i>"Comparative performances of capital protection strategies in the South African market."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2015. http://hdl.handle.net/11427/15497en_ZA
dc.identifier.citationDu Plessis, R. 2015. Comparative performances of capital protection strategies in the South African market. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Du Plessis, Richard Michael AB - The performance of cash protection strategies implemented in the South African market are investigated in order to establish if investors are able to add value through the use of dynamic portfolio insurance methods. The analysis is performed, using monthly data, from January 1961 to August 2014 using six alternative methodologies including both a Fixed Rate and Rolling Average Stop-Loss approach, a Lock-In approach, a Constant Mix strategy, a Constant Proportion Portfolio Insurance ("CPPI") approach and an alternative CPPI approach using a Ratchet mechanism. The results indicate that the use of such cash protection strategies can markedly improve portfolio performance from a risk return perspective compared to a pure diversified investment strategy. Notably, the use of older, simpler trading strategies such as the Stop-Loss and Lock-In approaches at optimum threshold levels can still offer investors higher risk to reward benefits with less commitment required. These strategies, though, lack the flexibility observed with the more recently developed dynamic trading strategies in terms of providing for varying risk appetites. DA - 2015 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2015 T1 - Comparative performances of capital protection strategies in the South African market TI - Comparative performances of capital protection strategies in the South African market UR - http://hdl.handle.net/11427/15497 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/15497
dc.identifier.vancouvercitationDu Plessis RM. Comparative performances of capital protection strategies in the South African market. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2015 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/15497en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Finance and Taxen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherInvestment Managementen_ZA
dc.subject.otherConstant Proportion Portfolio Insuranceen_ZA
dc.subject.otherDynamic asset allocationen_ZA
dc.titleComparative performances of capital protection strategies in the South African marketen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
thesis_com_2015_dplric002-thesis.pdf
Size:
1.42 MB
Format:
Adobe Portable Document Format
Description:
Download
Collections
Masters