Statistical arbitrage in South Africa

Simple item page
dc.contributor.advisorKotzé, Kevinen_ZA
dc.contributor.authorDuyvené de Wit, Jean-Jacquesen_ZA
dc.date.accessioned2016-04-05T11:42:35Z
dc.date.available2016-04-05T11:42:35Z
dc.date.issued2014en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractThis study investigates the performance of a statistical arbitrage portfolio in the South African equity markets. A portfolio of liquid stock pairs that exhibit cointegration is traded for a ten year period between the years 2003 and 2013. Without transaction costs, the portfolio has an encouraging Sharpe ratio of 2.1. When realistic transaction costs are factored in, the Sharpe ratio drops to 0.43.The results underline the theoretical profitability of statistical arbitrage as a trading strategy and highlight the importance of transaction costs in a real-world setting.en_ZA
dc.identifier.apacitationDuyvené de Wit, J. (2014). <i>Statistical arbitrage in South Africa</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/18603en_ZA
dc.identifier.chicagocitationDuyvené de Wit, Jean-Jacques. <i>"Statistical arbitrage in South Africa."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2014. http://hdl.handle.net/11427/18603en_ZA
dc.identifier.citationDuyvené de Wit, J. 2014. Statistical arbitrage in South Africa. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Duyvené de Wit, Jean-Jacques AB - This study investigates the performance of a statistical arbitrage portfolio in the South African equity markets. A portfolio of liquid stock pairs that exhibit cointegration is traded for a ten year period between the years 2003 and 2013. Without transaction costs, the portfolio has an encouraging Sharpe ratio of 2.1. When realistic transaction costs are factored in, the Sharpe ratio drops to 0.43.The results underline the theoretical profitability of statistical arbitrage as a trading strategy and highlight the importance of transaction costs in a real-world setting. DA - 2014 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2014 T1 - Statistical arbitrage in South Africa TI - Statistical arbitrage in South Africa UR - http://hdl.handle.net/11427/18603 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/18603
dc.identifier.vancouvercitationDuyvené de Wit J. Statistical arbitrage in South Africa. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2014 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/18603en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleStatistical arbitrage in South Africaen_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
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
thesis_com_2014_duyvene_de_wit_jean_jacques.pdf
Size:
6.73 MB
Format:
Adobe Portable Document Format
Description:
Download
Collections
Masters