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Comparative performances of capital protection strategies in the South African market
The performance of cash protection strategies implemented in the South African market are investigated in order to establish if investors are able to add value through the use of dynamic portfolio insurance methods. The analysis is performed, using monthly data, from January 1961 to August 2014 usin...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2015
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| _version_ | 1867613658741211137 |
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| access_status_str | Open Access |
| author | Du Plessis, Richard Michael |
| author2 | Van Rensburg, Paul |
| author_browse | Du Plessis, Richard Michael Van Rensburg, Paul |
| author_facet | Van Rensburg, Paul Du Plessis, Richard Michael |
| author_sort | Du Plessis, Richard Michael |
| collection | Thesis |
| description | The performance of cash protection strategies implemented in the South African market are investigated in order to establish if investors are able to add value through the use of dynamic portfolio insurance methods. The analysis is performed, using monthly data, from January 1961 to August 2014 using six alternative methodologies including both a Fixed Rate and Rolling Average Stop-Loss approach, a Lock-In approach, a Constant Mix strategy, a Constant Proportion Portfolio Insurance ("CPPI") approach and an alternative CPPI approach using a Ratchet mechanism. The results indicate that the use of such cash protection strategies can markedly improve portfolio performance from a risk return perspective compared to a pure diversified investment strategy. Notably, the use of older, simpler trading strategies such as the Stop-Loss and Lock-In approaches at optimum threshold levels can still offer investors higher risk to reward benefits with less commitment required. These strategies, though, lack the flexibility observed with the more recently developed dynamic trading strategies in terms of providing for varying risk appetites. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/15497 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:39:39.311Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/15497 Comparative performances of capital protection strategies in the South African market Du Plessis, Richard Michael Van Rensburg, Paul Investment Management Constant Proportion Portfolio Insurance Dynamic asset allocation The performance of cash protection strategies implemented in the South African market are investigated in order to establish if investors are able to add value through the use of dynamic portfolio insurance methods. The analysis is performed, using monthly data, from January 1961 to August 2014 using six alternative methodologies including both a Fixed Rate and Rolling Average Stop-Loss approach, a Lock-In approach, a Constant Mix strategy, a Constant Proportion Portfolio Insurance ("CPPI") approach and an alternative CPPI approach using a Ratchet mechanism. The results indicate that the use of such cash protection strategies can markedly improve portfolio performance from a risk return perspective compared to a pure diversified investment strategy. Notably, the use of older, simpler trading strategies such as the Stop-Loss and Lock-In approaches at optimum threshold levels can still offer investors higher risk to reward benefits with less commitment required. These strategies, though, lack the flexibility observed with the more recently developed dynamic trading strategies in terms of providing for varying risk appetites. 2015-12-01T09:26:07Z 2015-12-01T09:26:07Z 2015 Master Thesis Masters MCom http://hdl.handle.net/11427/15497 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Investment Management Constant Proportion Portfolio Insurance Dynamic asset allocation Du Plessis, Richard Michael Comparative performances of capital protection strategies in the South African market |
| thesis_degree_str | Master's |
| title | Comparative performances of capital protection strategies in the South African market |
| title_full | Comparative performances of capital protection strategies in the South African market |
| title_fullStr | Comparative performances of capital protection strategies in the South African market |
| title_full_unstemmed | Comparative performances of capital protection strategies in the South African market |
| title_short | Comparative performances of capital protection strategies in the South African market |
| title_sort | comparative performances of capital protection strategies in the south african market |
| topic | Investment Management Constant Proportion Portfolio Insurance Dynamic asset allocation |
| url | http://hdl.handle.net/11427/15497 |
| work_keys_str_mv | AT duplessisrichardmichael comparativeperformancesofcapitalprotectionstrategiesinthesouthafricanmarket |