Research Project I

June 6 Theo and Mvano were working on the literature review which should be complete by the end of today Melissa and Andy were still working on the different portfolios.

Andy and Melissa met at 3pm to 11pm. We started off the meeting trying to finish the maximum number of bets portfolio. In the last session, we were getting the correct weights for the PCA portfolio, but these were not correctly linking the specific portfolios. We then completed the minimum variance portfolio. After calculating the correct weights in Matlab, we transferred the information into excel to find the returns of the completed portfolio. Theo joined the session to keep working on the lit review and the report of the project.

Andy and Melissa met on the 23rd of May to build the minimum variance portfolio.

Andy and Melissa met on the evening of the 22nd of May to find the missing values for the share returns. We found the constituents that either joined the JSE at a later stage, or were delisted during the time period that we are assessing. We matched each constituent that had missing data to an Index. We then found the returns of the index from its prices, and then used these index returns to work backwards to find the relevant share prices required.

Melissa and Andy attempted to fill in missing share prices so that the 1 year historical prices on shares could be used to construct the minimum variance portfolios. We initially tried to proxy share prices using share prices from shares in the same sector - as it is expected that same sector shares will fluctuate together. Although, using prices as a proxy created the issue of big jumps between prices as another share was copied in - as different shares, in the same sector, have different market capitalisations and prices. We therefore decided to use returns as a proxy because price jumps would be less. Returns from shares in the same sector are also expected to be similar. Obeid gave us daily prices of indices from different sectors which we used as proxies for missing returns. The filled in returns were then used to calculate prices.

Intro: Introduction : A clear statement of the objective of the project, and the motivation for the work. It should also contain an outline of the remainder of the document. 1.      What the problem is 2.      Short summary of research and where your research fits in Literature Review : An exposition of past work relevant to your project, and that you have (to a greater or lesser extent) relied upon. Market Cap Weighted Average Effective Bets Etc That should be what lit review is on -        did you read through key pieces of literature and summarize key findings from there -        Discussion on ETF and how they contribute to the financial world -        Why they exist -        Their purpose -        How they are actually traded (perspective of companies and investors...