{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/15691"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/15691","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Low volatility alternative equity indices","abstract":"In recent years, there has been an increasing interest in constructing low volatility portfolios. These portfolios have shown significant outperformance when compared with the market capitalization-weighted portfolios. This study analyses the low volatility portfolios in South Africa using sectors instead of individual stocks as building blocks for portfolio construction. The empirical results from back-testing these portfolios show significant outperformance when compared with their market capitalization weighted equity benchmark counterpart (ALSI). In addition, a further analysis of this study delves into the construction of the low volatility portfolios using the Top 40 and Top 100 stocks. The results also show significant outperformance over the market-capitalization portfolio (ALSI), with the portfolios constructed using the Top 100 stocks having a better performance than portfolio constructed using the Top 40 stocks. Finally, the low volatility portfolios are also blended with typical portfolios (ALSI and the SWIX indices) in order to establish their usefulness as effective portfolio strategies. The results show that the Low volatility Single Index Model (SIM) and the Equally Weight low-beta portfolio (Lowbeta) were the superior performers based on their Sharpe ratios.","abstract_html":"In recent years, there has been an increasing interest in constructing low volatility portfolios. These portfolios have shown significant outperformance when compared with the market capitalization-weighted portfolios. This study analyses the low volatility portfolios in South Africa using sectors instead of individual stocks as building blocks for portfolio construction. The empirical results from back-testing these portfolios show significant outperformance when compared with their market capitalization weighted equity benchmark counterpart (ALSI). In addition, a further analysis of this study delves into the construction of the low volatility portfolios using the Top 40 and Top 100 stocks. The results also show significant outperformance over the market-capitalization portfolio (ALSI), with the portfolios constructed using the Top 100 stocks having a better performance than portfolio constructed using the Top 40 stocks. Finally, the low volatility portfolios are also blended with typical portfolios (ALSI and the SWIX indices) in order to establish their usefulness as effective portfolio strategies. The results show that the Low volatility Single Index Model (SIM) and the Equally Weight low-beta portfolio (Lowbeta) were the superior performers based on their Sharpe ratios.","abstract_has_math":false,"creators":["Oladele, Oluwatosin Seun"],"institution":"Department of Statistical Sciences","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Bradfield, David"],"committee_chairs":[],"committee_members":[],"year":2015,"date_issued":"2015","date_published":"2015","updated_at":"2026-07-24T01:34:19Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/15691","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Bradfield, David"]},{"key":"dc:creator","label":"Author","values":["Oladele, Oluwatosin Seun"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2015-12-08T11:43:15Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2015-12-08T11:43:15Z"]},{"key":"dc:date.issued","label":"Date","values":["2015"]},{"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/11427/15691"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["In recent years, there has been an increasing interest in constructing low volatility portfolios. These portfolios have shown significant outperformance when compared with the market capitalization-weighted portfolios. This study analyses the low volatility portfolios in South Africa using sectors instead of individual stocks as building blocks for portfolio construction. The empirical results from back-testing these portfolios show significant outperformance when compared with their market capitalization weighted equity benchmark counterpart (ALSI). In addition, a further analysis of this study delves into the construction of the low volatility portfolios using the Top 40 and Top 100 stocks. The results also show significant outperformance over the market-capitalization portfolio (ALSI), with the portfolios constructed using the Top 100 stocks having a better performance than portfolio constructed using the Top 40 stocks. Finally, the low volatility portfolios are also blended with typical portfolios (ALSI and the SWIX indices) in order to establish their usefulness as effective portfolio strategies. The results show that the Low volatility Single Index Model (SIM) and the Equally Weight low-beta portfolio (Lowbeta) were the superior performers based on their Sharpe ratios."]},{"key":"dc:title","label":"Title","values":["Low volatility alternative equity indices"]}]}],"canonical_facts":{"dc:contributor.advisor":["Bradfield, David"],"dc:creator":["Oladele, Oluwatosin Seun"],"dc:date.accessioned":["2015-12-08T11:43:15Z"],"dc:date.available":["2015-12-08T11:43:15Z"],"dc:date.issued":["2015"],"dc:description.abstract":["In recent years, there has been an increasing interest in constructing low volatility portfolios. These portfolios have shown significant outperformance when compared with the market capitalization-weighted portfolios. This study analyses the low volatility portfolios in South Africa using sectors instead of individual stocks as building blocks for portfolio construction. The empirical results from back-testing these portfolios show significant outperformance when compared with their market capitalization weighted equity benchmark counterpart (ALSI). In addition, a further analysis of this study delves into the construction of the low volatility portfolios using the Top 40 and Top 100 stocks. The results also show significant outperformance over the market-capitalization portfolio (ALSI), with the portfolios constructed using the Top 100 stocks having a better performance than portfolio constructed using the Top 40 stocks. Finally, the low volatility portfolios are also blended with typical portfolios (ALSI and the SWIX indices) in order to establish their usefulness as effective portfolio strategies. The results show that the Low volatility Single Index Model (SIM) and the Equally Weight low-beta portfolio (Lowbeta) were the superior performers based on their Sharpe ratios."],"dc:identifier.uri":["http://hdl.handle.net/11427/15691"],"dc:language.iso":["eng"],"dc:publisher.department":["Department of Statistical Sciences"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Low volatility alternative equity indices"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MSc"]},"updated_at":"2026-07-24T01:34:19Z"}