Research Project I

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...

Last week our group met in the library at the Bloomberg terminal. We had to play around on the Bloomberg terminal in order to try and extract the correct data that we were looking for. We came across a few issues, as we initially were only able to extract the price to book ratio for the JSE top 40 as a whole, and not for the individual constituents. We therefore booked an appointment with the librarian to help us. Today we met with the librarian, who guided us through using the Bloomberg Terminal. After trying many different methods of extracting the individual constituents data from Bloomberg, we finally managed to extract the daily book to market ratios for every equity constituent on the JSE over the required time period. We now have the correct data, but need to extract only the required data for the specific companies that we require for the correct periods of time. This will be our next obstacle to tackle.