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The investigation of style indices and active portfolio construction on the JSE
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Finance and Tax
2015
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| _version_ | 1867613172352942080 |
|---|---|
| access_status_str | Open Access |
| author | Yu, Xiao |
| author2 | Van Rensburg, Paul |
| author_browse | Van Rensburg, Paul Yu, Xiao |
| author_facet | Van Rensburg, Paul Yu, Xiao |
| author_sort | Yu, Xiao |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/14038 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:31:54.917Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/14038 The investigation of style indices and active portfolio construction on the JSE Yu, Xiao Van Rensburg, Paul Finance Includes bibliographical references. This thesis investigates the construction and performance of style indices on the JSE. It then demonstrates how a 'toolkit' of style indices can be used, together with conventional passive indices, as a set of building blocks for efficient portfolio construction. This study tests the performance of a variety of potential style indices representing 'size', 'value' and 'momentum' effects. Selected indices for each style together with JSE sector indices are subsequently utilised to replicate the returns obtained on actively managed domestic equity funds using Sharpe's (1988, 1992) style decomposition method. Finally, a 'toolkit' of selected style indices are employed as building blocks to construct mean-variance and mean-tracking error optimal portfolios at low cost. 2015-09-15T10:35:22Z 2015-09-15T10:35:22Z 2008 Master Thesis Masters MCom http://hdl.handle.net/11427/14038 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Finance Yu, Xiao The investigation of style indices and active portfolio construction on the JSE |
| thesis_degree_str | Master's |
| title | The investigation of style indices and active portfolio construction on the JSE |
| title_full | The investigation of style indices and active portfolio construction on the JSE |
| title_fullStr | The investigation of style indices and active portfolio construction on the JSE |
| title_full_unstemmed | The investigation of style indices and active portfolio construction on the JSE |
| title_short | The investigation of style indices and active portfolio construction on the JSE |
| title_sort | investigation of style indices and active portfolio construction on the jse |
| topic | Finance |
| url | http://hdl.handle.net/11427/14038 |
| work_keys_str_mv | AT yuxiao theinvestigationofstyleindicesandactiveportfolioconstructiononthejse AT yuxiao investigationofstyleindicesandactiveportfolioconstructiononthejse |