dc.contributor.advisor |
Saville, Adrian |
|
dc.contributor.postgraduate |
Schleu, Jakob Leander |
|
dc.date.accessioned |
2019-10-09T14:23:08Z |
|
dc.date.available |
2019-10-09T14:23:08Z |
|
dc.date.created |
2019/09/30 |
|
dc.date.issued |
2019 |
|
dc.description |
Mini Dissertation (MBA)--University of Pretoria, 2019. |
|
dc.description.abstract |
The 1/N rule of equal equity weightings for portfolios was found by previous studies to be a simple way to not only achieve portfolio diversification but also to outperform more sophisticated approaches of portfolio optimisation. This study compared quarterly rebalanced equal- and value-weighted portfolios constructed of large-, mid-, and small-caps on the JSE during the holding period of December 1987 to November 2018. The portfolios were constructed following the rolling window approach (quarterly), different holding periods (12, 36, 60 and 120 months) and before transaction costs. Multi-variate and t-tests were performed to test for differences in total mean return, volatility, maximum drawdown, performance success ratio, Sharpe ratio, Treynor ratio, Jensen’s alpha, and Information ratio. This study found that large- and mid-cap equal-weighted portfolios significantly outperformed their value-weighted counterparts regarding the total mean return, volatility, Sharpe and Treynor ratio for longer investment periods. Small-cap equal-weighted portfolios underperformed across all investment periods and performance metrics. |
|
dc.description.availability |
Unrestricted |
|
dc.description.degree |
MBA |
|
dc.description.department |
Gordon Institute of Business Science (GIBS) |
|
dc.description.librarian |
pt2019 |
|
dc.identifier.citation |
Schleu, JL 2019, Performance evaluation of equal-weighted and value-weighted portfolios on the JSE, MBA Mini Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/71756> |
|
dc.identifier.other |
S2019 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/71756 |
|
dc.language.iso |
en |
|
dc.publisher |
University of Pretoria |
|
dc.rights |
© 2019 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
|
dc.subject |
UCTD |
|
dc.title |
Performance evaluation of equal-weighted and value-weighted portfolios on the JSE |
|
dc.type |
Mini Dissertation |
|