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Factor investing for South African pension funds
This study investigates optimal factor portfolio strategies in South African, developed, and emerging equity markets. Leveraging Fama-French factor models, we construct single- and multi-factor portfolios based on the factors: size; value; momentum; quality; and low volatility. Single-factor portfol...
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| Format: | Thesis |
| Language: | English English |
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Division of Actuarial Science
2026
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| _version_ | 1869483673136398336 |
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| access_status_str | Open Access |
| author | Letlaka, Thabo |
| author2 | Botha, Pieter |
| author_browse | Botha, Pieter Letlaka, Thabo |
| author_facet | Botha, Pieter Letlaka, Thabo |
| author_sort | Letlaka, Thabo |
| collection | Thesis |
| description | This study investigates optimal factor portfolio strategies in South African, developed, and emerging equity markets. Leveraging Fama-French factor models, we construct single- and multi-factor portfolios based on the factors: size; value; momentum; quality; and low volatility. Single-factor portfolio construction follows an approach that begins with processing market data into factor signals and ends with portfolio construction based on transformed factor signals. Our results show that the return on assets and return on equity signals are the top performing signals on a risk-adjusted basis across all three markets, followed by the momentum signals. Multi-factor portfolios are constructed using factor equal weighting (EW), minimum variance (MV), and equal risk contribution (ERC) methods. Our results show that EW portfolios consistently outperform traditional indices on a risk-adjusted basis, and thus can be viewed as giving an investor optimal strategic factor exposure. ERC portfolios outperform EW portfolios and can be considered as giving investors either strategic or tactical factor exposure. On tactical factor allocation strategies, we construct multi-factor portfolios based on tactical factor momentum and volatility indicators and find that the tactical factor allocation method based on the factor momentum indicator is robust across all three markets, especially in South Africa and developed markets. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/43398 |
| institution | University of Cape Town (South Africa) |
| language | English eng |
| last_indexed | 2026-07-01T04:02:44.011Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2026 |
| publishDateRange | 2026 |
| publishDateSort | 2026 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/43398 Factor investing for South African pension funds Letlaka, Thabo Botha, Pieter Factor Investing Signal Processing Signal Transformation Single Factor Portfolio Construction Multi-Factor Portfolio Construction Tactical Factor Allocation This study investigates optimal factor portfolio strategies in South African, developed, and emerging equity markets. Leveraging Fama-French factor models, we construct single- and multi-factor portfolios based on the factors: size; value; momentum; quality; and low volatility. Single-factor portfolio construction follows an approach that begins with processing market data into factor signals and ends with portfolio construction based on transformed factor signals. Our results show that the return on assets and return on equity signals are the top performing signals on a risk-adjusted basis across all three markets, followed by the momentum signals. Multi-factor portfolios are constructed using factor equal weighting (EW), minimum variance (MV), and equal risk contribution (ERC) methods. Our results show that EW portfolios consistently outperform traditional indices on a risk-adjusted basis, and thus can be viewed as giving an investor optimal strategic factor exposure. ERC portfolios outperform EW portfolios and can be considered as giving investors either strategic or tactical factor exposure. On tactical factor allocation strategies, we construct multi-factor portfolios based on tactical factor momentum and volatility indicators and find that the tactical factor allocation method based on the factor momentum indicator is robust across all three markets, especially in South Africa and developed markets. 2026-06-26T08:13:32Z 2026-06-26T08:13:32Z 2026 2026-06-26T08:09:19Z Thesis / Dissertation Masters MCom http://hdl.handle.net/11427/43398 en eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Factor Investing Signal Processing Signal Transformation Single Factor Portfolio Construction Multi-Factor Portfolio Construction Tactical Factor Allocation Letlaka, Thabo Factor investing for South African pension funds |
| thesis_degree_str | Master's |
| title | Factor investing for South African pension funds |
| title_full | Factor investing for South African pension funds |
| title_fullStr | Factor investing for South African pension funds |
| title_full_unstemmed | Factor investing for South African pension funds |
| title_short | Factor investing for South African pension funds |
| title_sort | factor investing for south african pension funds |
| topic | Factor Investing Signal Processing Signal Transformation Single Factor Portfolio Construction Multi-Factor Portfolio Construction Tactical Factor Allocation |
| url | http://hdl.handle.net/11427/43398 |
| work_keys_str_mv | AT letlakathabo factorinvestingforsouthafricanpensionfunds |