{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/11264"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/11264","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Portfolio construction in South Africa with regard to the exchange rate","abstract":"In South Africa the exchange rate receives a large amount of attention, due to its volatility and its perceived effect on share returns. This dissertation examines the international literature regarding exchange rate exposure and replicates their methods in a South African context to determine the model that finds the most exchange rate exposure. With this model, and a few variations, the persistence of exchange rate exposure is examined, where it is found that a few shares consistently act as the best hedges against R/$ depreciation and similarly a few shares are consistently the best at exploiting Rand strength. With this in mind two hedging techniques are compared in their ability to protect against a R/$ depreciation, and simultaneously provide market related returns, against the ITRIX exchange traded fund. It was found that the methods were successful in that they were able to hedge against R/$ depreciation while still participating in the recent rapid growth on the J.S.E.","abstract_html":"In South Africa the exchange rate receives a large amount of attention, due to its volatility and its perceived effect on share returns. This dissertation examines the international literature regarding exchange rate exposure and replicates their methods in a South African context to determine the model that finds the most exchange rate exposure. With this model, and a few variations, the persistence of exchange rate exposure is examined, where it is found that a few shares consistently act as the best hedges against R/$ depreciation and similarly a few shares are consistently the best at exploiting Rand strength. With this in mind two hedging techniques are compared in their ability to protect against a R/$ depreciation, and simultaneously provide market related returns, against the ITRIX exchange traded fund. It was found that the methods were successful in that they were able to hedge against R/$ depreciation while still participating in the recent rapid growth on the J.S.E.","abstract_has_math":false,"creators":["Holdsworth, Christopher G"],"institution":"Department of Statistical Sciences","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Barr, Graham"],"committee_chairs":[],"committee_members":[],"year":2006,"date_issued":"2006","date_published":"2006","updated_at":"2026-07-22T22:22:49Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/11264","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Barr, Graham"]},{"key":"dc:creator","label":"Author","values":["Holdsworth, Christopher G"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2015-01-04T14:30:22Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2015-01-04T14:30:22Z"]},{"key":"dc:date.issued","label":"Date","values":["2006"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Department of Statistical Sciences"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["University of Cape Town"]},{"key":"dc:type","label":"Dc Type","values":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["MSc"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/11264"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Includes bibliographical references (leaves 120-123)"]},{"key":"dc:description.abstract","label":"Abstract","values":["In South Africa the exchange rate receives a large amount of attention, due to its volatility and its perceived effect on share returns. This dissertation examines the international literature regarding exchange rate exposure and replicates their methods in a South African context to determine the model that finds the most exchange rate exposure. With this model, and a few variations, the persistence of exchange rate exposure is examined, where it is found that a few shares consistently act as the best hedges against R/$ depreciation and similarly a few shares are consistently the best at exploiting Rand strength. With this in mind two hedging techniques are compared in their ability to protect against a R/$ depreciation, and simultaneously provide market related returns, against the ITRIX exchange traded fund. It was found that the methods were successful in that they were able to hedge against R/$ depreciation while still participating in the recent rapid growth on the J.S.E."]},{"key":"dc:title","label":"Title","values":["Portfolio construction in South Africa with regard to the exchange rate"]}]}],"canonical_facts":{"dc:contributor.advisor":["Barr, Graham"],"dc:creator":["Holdsworth, Christopher G"],"dc:date.accessioned":["2015-01-04T14:30:22Z"],"dc:date.available":["2015-01-04T14:30:22Z"],"dc:date.issued":["2006"],"dc:description":["Includes bibliographical references (leaves 120-123)"],"dc:description.abstract":["In South Africa the exchange rate receives a large amount of attention, due to its volatility and its perceived effect on share returns. This dissertation examines the international literature regarding exchange rate exposure and replicates their methods in a South African context to determine the model that finds the most exchange rate exposure. With this model, and a few variations, the persistence of exchange rate exposure is examined, where it is found that a few shares consistently act as the best hedges against R/$ depreciation and similarly a few shares are consistently the best at exploiting Rand strength. With this in mind two hedging techniques are compared in their ability to protect against a R/$ depreciation, and simultaneously provide market related returns, against the ITRIX exchange traded fund. It was found that the methods were successful in that they were able to hedge against R/$ depreciation while still participating in the recent rapid growth on the J.S.E."],"dc:identifier.uri":["http://hdl.handle.net/11427/11264"],"dc:language.iso":["eng"],"dc:publisher.department":["Department of Statistical Sciences"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Portfolio construction in South Africa with regard to the exchange rate"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MSc"]},"updated_at":"2026-07-22T22:22:49Z"}