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Low volatility alternative equity indices
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 i...
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| Format: | Thesis |
| Language: | English |
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Department of Statistical Sciences
2015
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| _version_ | 1867613155008446464 |
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| access_status_str | Open Access |
| author | Oladele, Oluwatosin Seun |
| author2 | Bradfield, David |
| author_browse | Bradfield, David Oladele, Oluwatosin Seun |
| author_facet | Bradfield, David Oladele, Oluwatosin Seun |
| author_sort | Oladele, Oluwatosin Seun |
| collection | Thesis |
| description | 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. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/15691 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:31:38.662Z |
| 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 Statistical Sciences |
| publisherStr | Department of Statistical Sciences |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/15691 Low volatility alternative equity indices Oladele, Oluwatosin Seun Bradfield, David Statistics 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. 2015-12-08T11:43:15Z 2015-12-08T11:43:15Z 2015 Master Thesis Masters MSc http://hdl.handle.net/11427/15691 eng application/pdf Department of Statistical Sciences Faculty of Science University of Cape Town |
| spellingShingle | Statistics Oladele, Oluwatosin Seun Low volatility alternative equity indices |
| thesis_degree_str | Master's |
| title | Low volatility alternative equity indices |
| title_full | Low volatility alternative equity indices |
| title_fullStr | Low volatility alternative equity indices |
| title_full_unstemmed | Low volatility alternative equity indices |
| title_short | Low volatility alternative equity indices |
| title_sort | low volatility alternative equity indices |
| topic | Statistics |
| url | http://hdl.handle.net/11427/15691 |
| work_keys_str_mv | AT oladeleoluwatosinseun lowvolatilityalternativeequityindices |