The investigation of style indices and active portfolio construction on the JSE

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.

Grantor dc:publisher.institution

Department of Finance and Tax

Year dc:date.issued

2008

Author dc:creator

• Yu, Xiao

Advisor dc:contributor.advisor

• Van Rensburg, Paul

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/14038

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/14038