{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/11676"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/11676","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Applications of global equity style indices in active and passive portfolio management","abstract":"The success of the Fama and French 3-factor model in explaining empirical anomalies of the Capital Asset Pricing Model (CAPM) suggests that style investing which places portfolios out-of-sync with the broad market has the potential to generate significant alpha. Since momentum abnormal return is the only anomaly that is not explained by the 3-factor model, it could well be the third style-based factor in addition to the size and the value factors to complete the model. With the goal of searching for practical mean-variance efficient allocation mechanisms in the global capital market, this study develops and examines the long-only, long-short leverage and market neutral strategies from the global size, value and momentum proxies along with the Morgan Stanley Capital International World Index over the examination period, 1 January 1991 to 31 December 2008.","abstract_html":"The success of the Fama and French 3-factor model in explaining empirical anomalies of the Capital Asset Pricing Model (CAPM) suggests that style investing which places portfolios out-of-sync with the broad market has the potential to generate significant alpha. Since momentum abnormal return is the only anomaly that is not explained by the 3-factor model, it could well be the third style-based factor in addition to the size and the value factors to complete the model. With the goal of searching for practical mean-variance efficient allocation mechanisms in the global capital market, this study develops and examines the long-only, long-short leverage and market neutral strategies from the global size, value and momentum proxies along with the Morgan Stanley Capital International World Index over the examination period, 1 January 1991 to 31 December 2008.","abstract_has_math":false,"creators":["Hsieh, Heng-Hsing"],"institution":"Department of Finance and Tax","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Van Rensburg, Paul"],"committee_chairs":[],"committee_members":[],"year":2010,"date_issued":"2010","date_published":"2010","updated_at":"2026-07-22T22:23:14Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/11676","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Van Rensburg, Paul"]},{"key":"dc:creator","label":"Author","values":["Hsieh, Heng-Hsing"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2015-01-06T19:06:55Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2015-01-06T19:06:55Z"]},{"key":"dc:date.issued","label":"Date","values":["2010"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Department of Finance and Tax"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["University of Cape Town"]},{"key":"dc:type","label":"Dc Type","values":["Doctoral Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Doctoral"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["PhD"]}]},{"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/11427/11676"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Includes abstract.","Includes bibliographical references."]},{"key":"dc:description.abstract","label":"Abstract","values":["The success of the Fama and French 3-factor model in explaining empirical anomalies of the Capital Asset Pricing Model (CAPM) suggests that style investing which places portfolios out-of-sync with the broad market has the potential to generate significant alpha. Since momentum abnormal return is the only anomaly that is not explained by the 3-factor model, it could well be the third style-based factor in addition to the size and the value factors to complete the model. With the goal of searching for practical mean-variance efficient allocation mechanisms in the global capital market, this study develops and examines the long-only, long-short leverage and market neutral strategies from the global size, value and momentum proxies along with the Morgan Stanley Capital International World Index over the examination period, 1 January 1991 to 31 December 2008."]},{"key":"dc:title","label":"Title","values":["Applications of global equity style indices in active and passive portfolio management"]}]}],"canonical_facts":{"dc:contributor.advisor":["Van Rensburg, Paul"],"dc:creator":["Hsieh, Heng-Hsing"],"dc:date.accessioned":["2015-01-06T19:06:55Z"],"dc:date.available":["2015-01-06T19:06:55Z"],"dc:date.issued":["2010"],"dc:description":["Includes abstract.","Includes bibliographical references."],"dc:description.abstract":["The success of the Fama and French 3-factor model in explaining empirical anomalies of the Capital Asset Pricing Model (CAPM) suggests that style investing which places portfolios out-of-sync with the broad market has the potential to generate significant alpha. Since momentum abnormal return is the only anomaly that is not explained by the 3-factor model, it could well be the third style-based factor in addition to the size and the value factors to complete the model. With the goal of searching for practical mean-variance efficient allocation mechanisms in the global capital market, this study develops and examines the long-only, long-short leverage and market neutral strategies from the global size, value and momentum proxies along with the Morgan Stanley Capital International World Index over the examination period, 1 January 1991 to 31 December 2008."],"dc:identifier.uri":["http://hdl.handle.net/11427/11676"],"dc:language.iso":["eng"],"dc:publisher.department":["Department of Finance and Tax"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Applications of global equity style indices in active and passive portfolio management"],"dc:type":["Doctoral Thesis"],"dc:type.qualificationlevel":["Doctoral"],"dc:type.qualificationname":["PhD"]},"updated_at":"2026-07-22T22:23:14Z"}