{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/20816"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/20816","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Cross-sectional and time-series momentum on the JSE","abstract":"This research report documents multiple accounts of past return-based momentum strategies employed on South African-listed equities over the period 2002.02-2015.05. Two cross-sectional momentum approaches-strategies that go long (short) in assets with relative formation period out performance (underperformance) of peer stocks to make the winner (loser) portfolio-and four time-series approaches-strategies that go long (short) in assets with formation period outperformance (underperformance) of a hurdle rate to make the winner (loser) portfolio-are employed in this report. This report finds that both the top decile winner portfolio and top half winner portfolio long-only cross-sectional momentum strategies outperform the benchmark. The 12-month formation period top decile winner achieves the highest long-only excess return of 30.21% per annum, whilst all the loser cross-sectional portfolios constitute a return-reducing funding portfolio when conducting a n investment-neutral winner minus loser approach. Short-term zero investment exposure cross-sectional momentum strategies earn strong negative returns, thus presenting contrarian investment opportunities The two exposure-neutral winner minus loser time-series strategies exhibit similar results to the corresponding cross-sectional strategies, however the variable exposure strategies earn positive returns for every formation period-the 12-month formation period strategy being the best earner (25.92% p.a.). These variable exposure strategies earn time-varying returns from the market due to their non-zero net long market exposure as well as some residual return. This premium is left uncaptured by all investment-neutral app roaches and is a strong cause of the lack of skewness of the variable exposure strategies' returns. All of the examined exposure-neutral strategies exhibit significant leftward skewness due to two incidences of extreme and sustained drawdowns. Both incidences occur as a result of the momentum strategy holding market beta exposure of the opposite sign to the market's drastic turn ; the first: positive exposure and market downturn, the second : negative exposure and positive upturn. These drawdowns are reduced when employing strategies of a more intermediate-term formation period such as the 12-month formation strategy. This report's findings confirm the existence of cross-sectional and time-series momentum in South African-listed equities, as well as the case of equity momentum crashing. Further, it provides evidence for both explained and unexplained variations between the two types of momentum trading, with possibilities for further profitability when combining the two.","abstract_html":"This research report documents multiple accounts of past return-based momentum strategies employed on South African-listed equities over the period 2002.02-2015.05. Two cross-sectional momentum approaches-strategies that go long (short) in assets with relative formation period out performance (underperformance) of peer stocks to make the winner (loser) portfolio-and four time-series approaches-strategies that go long (short) in assets with formation period outperformance (underperformance) of a hurdle rate to make the winner (loser) portfolio-are employed in this report. This report finds that both the top decile winner portfolio and top half winner portfolio long-only cross-sectional momentum strategies outperform the benchmark. The 12-month formation period top decile winner achieves the highest long-only excess return of 30.21% per annum, whilst all the loser cross-sectional portfolios constitute a return-reducing funding portfolio when conducting a n investment-neutral winner minus loser approach. Short-term zero investment exposure cross-sectional momentum strategies earn strong negative returns, thus presenting contrarian investment opportunities The two exposure-neutral winner minus loser time-series strategies exhibit similar results to the corresponding cross-sectional strategies, however the variable exposure strategies earn positive returns for every formation period-the 12-month formation period strategy being the best earner (25.92% p.a.). These variable exposure strategies earn time-varying returns from the market due to their non-zero net long market exposure as well as some residual return. This premium is left uncaptured by all investment-neutral app roaches and is a strong cause of the lack of skewness of the variable exposure strategies' returns. All of the examined exposure-neutral strategies exhibit significant leftward skewness due to two incidences of extreme and sustained drawdowns. Both incidences occur as a result of the momentum strategy holding market beta exposure of the opposite sign to the market's drastic turn ; the first: positive exposure and market downturn, the second : negative exposure and positive upturn. These drawdowns are reduced when employing strategies of a more intermediate-term formation period such as the 12-month formation strategy. This report's findings confirm the existence of cross-sectional and time-series momentum in South African-listed equities, as well as the case of equity momentum crashing. Further, it provides evidence for both explained and unexplained variations between the two types of momentum trading, with possibilities for further profitability when combining the two.","abstract_has_math":false,"creators":["Lockhart-Ross, Simon"],"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":2016,"date_issued":"2016","date_published":"2016","updated_at":"2026-07-22T22:23:33Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/20816","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":["Lockhart-Ross, Simon"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2016-07-26T12:23:56Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2016-07-26T12:23:56Z"]},{"key":"dc:date.issued","label":"Date","values":["2016"]},{"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":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["MCom"]}]},{"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/11427/20816"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["This research report documents multiple accounts of past return-based momentum strategies employed on South African-listed equities over the period 2002.02-2015.05. Two cross-sectional momentum approaches-strategies that go long (short) in assets with relative formation period out performance (underperformance) of peer stocks to make the winner (loser) portfolio-and four time-series approaches-strategies that go long (short) in assets with formation period outperformance (underperformance) of a hurdle rate to make the winner (loser) portfolio-are employed in this report. This report finds that both the top decile winner portfolio and top half winner portfolio long-only cross-sectional momentum strategies outperform the benchmark. The 12-month formation period top decile winner achieves the highest long-only excess return of 30.21% per annum, whilst all the loser cross-sectional portfolios constitute a return-reducing funding portfolio when conducting a n investment-neutral winner minus loser approach. Short-term zero investment exposure cross-sectional momentum strategies earn strong negative returns, thus presenting contrarian investment opportunities The two exposure-neutral winner minus loser time-series strategies exhibit similar results to the corresponding cross-sectional strategies, however the variable exposure strategies earn positive returns for every formation period-the 12-month formation period strategy being the best earner (25.92% p.a.). These variable exposure strategies earn time-varying returns from the market due to their non-zero net long market exposure as well as some residual return. This premium is left uncaptured by all investment-neutral app roaches and is a strong cause of the lack of skewness of the variable exposure strategies' returns. All of the examined exposure-neutral strategies exhibit significant leftward skewness due to two incidences of extreme and sustained drawdowns. Both incidences occur as a result of the momentum strategy holding market beta exposure of the opposite sign to the market's drastic turn ; the first: positive exposure and market downturn, the second : negative exposure and positive upturn. These drawdowns are reduced when employing strategies of a more intermediate-term formation period such as the 12-month formation strategy. This report's findings confirm the existence of cross-sectional and time-series momentum in South African-listed equities, as well as the case of equity momentum crashing. Further, it provides evidence for both explained and unexplained variations between the two types of momentum trading, with possibilities for further profitability when combining the two."]},{"key":"dc:title","label":"Title","values":["Cross-sectional and time-series momentum on the JSE"]}]}],"canonical_facts":{"dc:contributor.advisor":["Van Rensburg, Paul"],"dc:creator":["Lockhart-Ross, Simon"],"dc:date.accessioned":["2016-07-26T12:23:56Z"],"dc:date.available":["2016-07-26T12:23:56Z"],"dc:date.issued":["2016"],"dc:description.abstract":["This research report documents multiple accounts of past return-based momentum strategies employed on South African-listed equities over the period 2002.02-2015.05. Two cross-sectional momentum approaches-strategies that go long (short) in assets with relative formation period out performance (underperformance) of peer stocks to make the winner (loser) portfolio-and four time-series approaches-strategies that go long (short) in assets with formation period outperformance (underperformance) of a hurdle rate to make the winner (loser) portfolio-are employed in this report. This report finds that both the top decile winner portfolio and top half winner portfolio long-only cross-sectional momentum strategies outperform the benchmark. The 12-month formation period top decile winner achieves the highest long-only excess return of 30.21% per annum, whilst all the loser cross-sectional portfolios constitute a return-reducing funding portfolio when conducting a n investment-neutral winner minus loser approach. Short-term zero investment exposure cross-sectional momentum strategies earn strong negative returns, thus presenting contrarian investment opportunities The two exposure-neutral winner minus loser time-series strategies exhibit similar results to the corresponding cross-sectional strategies, however the variable exposure strategies earn positive returns for every formation period-the 12-month formation period strategy being the best earner (25.92% p.a.). These variable exposure strategies earn time-varying returns from the market due to their non-zero net long market exposure as well as some residual return. This premium is left uncaptured by all investment-neutral app roaches and is a strong cause of the lack of skewness of the variable exposure strategies' returns. All of the examined exposure-neutral strategies exhibit significant leftward skewness due to two incidences of extreme and sustained drawdowns. Both incidences occur as a result of the momentum strategy holding market beta exposure of the opposite sign to the market's drastic turn ; the first: positive exposure and market downturn, the second : negative exposure and positive upturn. These drawdowns are reduced when employing strategies of a more intermediate-term formation period such as the 12-month formation strategy. This report's findings confirm the existence of cross-sectional and time-series momentum in South African-listed equities, as well as the case of equity momentum crashing. Further, it provides evidence for both explained and unexplained variations between the two types of momentum trading, with possibilities for further profitability when combining the two."],"dc:identifier.uri":["http://hdl.handle.net/11427/20816"],"dc:language.iso":["eng"],"dc:publisher.department":["Department of Finance and Tax"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Cross-sectional and time-series momentum on the JSE"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MCom"]},"updated_at":"2026-07-22T22:23:33Z"}