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FINANCIAL RISK SERVICE ON THE JOHANNESBURG STOCK EXCHANGE
Third Quarter 2007 – Volume 18 Number 3
EDITOR: Professor Dave Bradfield
ANALYST AND DATA MANGER: Brian Munro
For subscriptions contact: Brian Munro, tel 021 657 8352, e-mail: [email protected]
CONTENTS
1. INTRODUCTION1.1 The Financial Risk Service 1
1.1.1 What Makes Our Service Unique? 1
2. THE BASICS OF RISK MEASUREMENT 1
2.1 Market/Systematic Risk 2
2.2 Unique/Unsystematic Risk 3
2.3 Why The Distinction? 3
3. USE OF THE SERVICE 4
3.1 Determining And Monitoring Your Portfolio’s Risk Level 43.1.1 Calculating Your Portfolio’s Risk 4
3.2 Measuring Your Portfolio’s Performance 53.2.1 Adjusting For Risk 5
3.3 Selection And Timing 6
4. THE TABLES 6
4.1 About The Different Market Proxies 6
4.2 About The Sector And Share Statistics Tables 7
• FTSE/JSE All Share Index (J203) AS MARKET PROXY 91.1 FTSE/JSE Index Series 91.2 Security Statistics 11
• FTSE/JSE Financial and Industrial Index (J250) as MARKET PROXY 192.1 FTSE/JSE Indices vs Financials and Industrials 192.2 ALL Stocks vs Financials and Industrials 21
• FTSE/JSE Resource-20 Index (J210) as market proxy 283.1 – FTSE/JSE Indices vs Resources 283.2 – ALL Stocks vs Resources 30
• FTSE/JSE Top40 index (J200) as market proxy 314.1 – FTSE/JSE INDICES VS TOP40 31
4.2 – ALL Stocks vs TOP40 33
5. QUESTIONS AND ANSWERS 39
5.1 How Do You Compute Beta? 39
5.2 Could I Estimate Beta On My Own? 39
5.3 What Estimation Periods Do You Use? 39
5.4 Are Betas Stable, Or Do They Change? 40
5.5 Do Betas Differ In Bull And Bear Markets? 40
5.6 I Knew Of A Share With A High Beta, But It Declined While The Market Was Rising. 40
5.7 I Want To Purchase More Shares In A Particular Company But How Will They Influence The Risk Of My Existing Portfolio? 40
5.8 But Beta Only Tells Us Part Of The Story On Risk, So Why The Emphasis On Beta? 40
5.9 What Exactly Is R2, And 1 Minus R2? 40
5.10 The Standard Deviation, Of A Share In The Tables Is 48.5% p.a.. How Can I Calculate Its Variability In Monthly Terms? 40
6. A WORKED EXAMPLE 41
6.1 Calculate Your Portfolio’s Market Risk 41
6.2 Calculate Your Portfolio’s Unique Risk 41
6.3 Calculate Your Portfolio’s Total Risk 43
6.4 Calculate Your Portfolio’s Abnormal Return 44
6.5 Interpreting The Risk Of Your Portfolio 45
7. LITERATURE 45
7.1 Our Own Papers On The Subject Of Systematic Risk Estimation 45
7.2 Recent Criticisms And Comebacks On The Value Of ß’s 46
8. GLOSSARY 46
PAGE 1
1. INTRODUCTION
We have come a long way and have learnt a great deal about the estimation of risk on our stock mar-
ket over the last decade.
1.1 The Financial Risk Service
The Financial Risk Service is aimed at bringing you up-to-date risk measures and associated statis-
tics of the sector indices and the stocks listed on the Johannesburg Stock Exchange (JSE).
The Financial Risk Service is based not only on the American and the United Kingdom experience
but also on an on-going research programme at the University of Cape Town (UCT). Our estimates
are based on a price series database supplied by I-Net Bridge1.
1.1.1 What makes our service unique?
Our service differs from others in that we implement two important refinements in our estimation
procedure which have been shown to improve the accuracy of our risk estimates. Firstly, we imple-
ment a Bayesian adjustment which takes account of prior information on betas. Our research has
shown that this adjustment improves the predictability of betas by some 20%. Secondly, and more
importantly, we implement a thin-trading correction procedure, known as the “trade-to-trade” pro-
cedure. Our research shows that this procedure removes all the bias in beta estimates caused by
thin-trading.
We realise that, due to the increased emphasis on professionalism, most investment managers no
longer doubt the usefulness and the scientific merit of the tools of Modern Portfolio Theory. However,
many investors have been daunted by the myths that the level of mathematics needed is unman-
ageable. We thus also include some explanatory material (in Section 2) showing that the crucial ideas
are simple ones and are free from mathematical complexity.
In Section 3 we expand on these ideas and suggest how the Financial Risk Service may be used. In
Section 4 the risk and associated statistics of listed stocks on the JSE are tabled. In Section 5 some
pertinent questions are answered, in Section 6 we include a worked example and in Section 7 we
refer to some literature on the subject of systematic risk measurement. We include references to
some of our own publications in this area.
2. THE BASICS OF RISK MANAGEMENT
The major challenge facing investors has always been the maximisation of their wealth in a world of
uncertainty. In the finance world, the level of uncertainty, or risk, of a share has become associated
with the degree to which the share price “bounces around” or fluctuates. The more variable the com-
pany’s share price the more risky the share.
1 Web Page:
http://www.inet.co.za
PAGE 2
To get a better picture of the notion of risk, consider the chart at the end of this section (Figure 1)
which demonstrates the variability of Durban-Deep, a high risk gold share and Wooltru, a low risk
stores share. Figure 1 charts their monthly prices since 1980.
FIGURE 1: PRICES (1980 - 2001)P
rice
(c)
0
1000
2000
3000
4000
5000
6000
7000
Durban-Deep
Wooltru
1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001
We can also attach a quantitative measure of the risk of a share by measuring its variability. We
do this by computing the standard deviation of the percentage price changes (percentage
returns). The standard deviations are a widely accepted statistical measure of a share’s total risk.
The higher the standard deviation, the riskier the share. (These measures are found of both the
Index Statistics and the Security Statistics tables in Section 4.) We see, as expected, that Durban
Deep had a standard deviation of 25,6% over this entire period while Wooltru had a standard
deviation of only 8,7% over the same period.
It is important to note that a company’s total risk can be split into two parts, namely, market risk and
unique risk. Market/Systematic risk reflects the fluctuations which are linked to factors which affect
the market as a whole (e.g. political events, interest rate changes etc.). Unique/Non-systematic risk
reflects the fluctuations which are linked to events which are unique to the company (e.g. bad man-
agement, worker strikes etc.).
2.1 Market/Systematic risk
All share prices are driven to some extent by market forces, some more than others. Beta measures
the sensitivity of a share price to movements of the market as a whole.
A share with a Beta of 1.5 will move, on average, 15% for each 10% move of the market. Generally
such a share would prove aggressive, performing well in bull markets and poorly in bear markets.
On the other hand, a share with a beta of 0.5 will move, on average, only 5% for every 10% move of
the market. Generally such a share would prove to be defensive, under-performing the market index
in bull markets, but doing well, relative to other shares, in bear markets. Finally, a share with a beta
PAGE 3
of 1 will, on average, move in line with the market. We can determine what proportion of a share’s
total risk is attributable to market risk by using the R2 statistic. R2 tells us the proportion of a share’s
total risk which is attributable to market movements.
2.2 Unique/Unsystematic risk
Unexpected price movements (those which are not market driven) are a result of a share’s unique
risk. We can also determine the proportion of a share’s total risk which is unique risk by using the R2
statistic. Where R2 tells us the proportion of a share’s total risk which is attributable to market move-
ments, 1-R2 tells us the proportion of a share’s total risk which is not attributable to market move-
ments but rather to factors which are unique to the company.
2.3 Why the distinction?
Firstly, the Capital Asset Pricing Model (CAPM) advocates that investors should not expect to be com-
pensated (expect more profit) for taking on unique risk, but they can expect to receive higher returns
for taking on market risk.
This makes sense as most of us are concerned with holding a portfolio of investments rather than
one individual share. The major reason for holding portfolios is an intuitive one - we don’t want to
put all our eggs in one basket. Put simply, if portfolios are diversified, the unique risks of individual
shares tend to cancel each other out.
For example, while Durban-Deep shares have been on the decline since 1996, Wooltru shares have
increased in value over the same period. If we had been holding a portfolio of both shares, the bad
news of Durban-Deep’s decline would largely have been cancelled by the good news of Wooltru’s
success and so we would have diversified some of the unique risk of Durban-Deep away.
This reduction in unique risk is precisely what diversification is all about. In fact, a portfolio consist-
ing of an investment divided equally between almost any 10 listed companies will have eliminated
over 80% of the unique risk of the portfolio.
And so our evidence is consistent with intuition - if we are not forced to take on unique risk (since it
can be eliminated by diversification), then why should we be rewarded for it? However, no matter
how much we diversify, we cannot eliminate market risk. We cannot escape the economy-wide per-
ils that affect the entire market - each share in our portfolio will respond to the news affecting the
economy as a whole.
The market risk of your portfolio can be determined by computing the weighted average of the betas
of the component shares of your portfolio. This is precisely why beta is such an important tool to pro-
fessional investment management. Unique risk can easily be diversified away, leaving the beta of a
well-diversified portfolio to tell you all there is to know about the portfolio’s risk.
The second reason why it is important to know the difference between market risk and unique risk
concerns the way people approach investment analysis. Some investors are skilled at predicting
which way the market will be moving, others attempt to identify which sectors they should be in, and
perhaps analyse particular shares. Your skills in these areas are inextricably linked to the two com-
ponents of total risk and have important implications for the composition of the portfolios you
PAGE 4
should hold. In order to capitalise on any skills you may have in forecasting the market, you will need
to be concerned about shifting the beta of your portfolio - increasing it when you predict a market
rise and vice versa. That is, you will be altering the market risk exposure of your portfolio. On the
other hand, if you are skilled at selecting sectors and shares, or have some information that the rest
of the market does not, you may need to take on some unique risk.
In summary, it is worth mentioning that, measured over long periods of time, high beta shares have
given the highest returns. However, we emphasise “over long periods of time”: clearly, during bear
markets, high beta shares are the worst performers. While many investors may be seeking high returns
from high beta shares, there is absolutely no guarantee that they will be attained. That is why beta is
referred to as a measure of risk - high beta shares are genuinely more risky than low beta shares.
3. USE OF THE SERVICE
The ERS is not about prescribing to you what shares you should buy, its aim is to supply back-up infor-
mation to the astute investor or portfolio manager so that they may make sound, professional invest-
ment decisions. Below we offer some ideas on how risk measures can be used. These ideas by no means
cover all the uses as there exist a multitude of specific financial models which require these parameters.
3.1 Determining and Monitoring Your Portfolio’s Risk Level
The biggest concern of investment managers is that they get caught with a so-called balanced port-
folio which “takes a dive” during a market recession, or a so-called growth fund which returns only
10% when the market goes up 20%. Whether you are a private investor or a professional portfolio
manager, you need to know how much risk your portfolio is exposed to and how to monitor the risk
over time.
3.1.1 Calculating your Portfolio’s Risk
By now it should be clear that, for portfolios, beta is the most important component of risk (since
market risk is the dominant risk component for diversified portfolios). The beta of a portfolio tells us
how sensitive it is to market movements. Calculating a portfolio’s beta is straight forward: simply
look up the individual betas of the constituent shares and weight each one by the proportion of your
funds which is invested in that share. The sum of these weighted values will yield your portfolio’s
beta. (To calculate the actual amount of market risk your portfolio has, refer to our worked example
in Section 6.)
The measurement of the unique risk of a portfolio is slightly more tricky. Naturally, if your portfolio
is the market index or something very close to it, the unique risk of your portfolio will be virtually
zero. However, if your portfolio is not diversified, you may need some data on the recent history of
your portfolio’s performance. Alternatively, if your portfolio is reasonably diversified, we suggest
instead that you calculate your portfolio’s unique risk from the unique risk figures of the constituent
shares and you follow our worked example in Section 6. If your portfolio is fairly well diversified, this
approach gives a good estimate of its unique risk. However, if many of the shares in your portfolio
are clustered in one industry, then the true unique risk will be slightly higher than calculated. Once
you have measured the two risk components of your portfolio, you should compare them to your
target levels. If either of the risk components are off target, the remedy is clear.
PAGE 5
Traditionally, the approaches to portfolio management included: restricting selection choices to an
eligible list of large companies; specifying a minimum yield level; restricting the proportion in a sin-
gle share or sector; and even authorising every deal that is made. This can impose unnecessary con-
straints which fail to control the risks. The modern way to manage portfolios is to measure beta and
unique risk on an on-going basis and to track actual levels to target levels.
3.2 Measuring Your Portfolio’s Performance
In the past, many managers have compared their funds on the basis of returns alone. Performance fig-
ures that are unadjusted for risk tell us how much money the portfolio has earned but they tell us noth-
ing concerning the risks that were taken on the way. Managers may argue that it is profit that clients
are concerned with and find it difficult to convince clients that their portfolios yield lower returns than
their competitors simply because they are exposed to lower risks. But managers who take on unnec-
essarily high risk portfolios in an attempt to gain a competitive edge on return, are foolish and will be
managers no more when the market turns bearish. Your congratulations should always go to the man-
agers who have achieved the highest risk-adjusted returns even if their unadjusted returns are lower.
3.2.1 Adjusting for Risk
A lot has been written about adjusting for risk. Some measures have been designed to compare port-
folios on a one-off basis, and others have been designed to continually monitor the risk-adjusted per-
formance of a portfolio.
For example, to compare risk-adjusted performances of various portfolios at year end, you could
simply divide the annual return on each portfolio by its beta (Treynor’s measure). Clearly the port-
folio having the largest measure would be the best risk-adjusted performer. If however, the portfo-
lios are not fully diversified, you should perhaps divide by their standard deviation (i.e. total risk)
instead of beta and compare them on this basis (Sharpe’s measure).
Alternatively, you may want to monitor how well you are doing for individual portfolios. In this case
you could compute the portfolio’s abnormal return on an on-going basis. The term abnormal return
embodies the idea of having returns over and above (or below) what is expected, given the risk of a
portfolio. The idea is to compute the return for your portfolio over and above the return you would
expect for a portfolio having the same beta as yours.
For example, consider a portfolio having a beta of 1. Since this is the same beta as that of the mar-
ket index you would expect it to do just as well as the market. What about an investment with a beta
of zero? Zero beta means zero market risk. If you were to invest all your money in a fixed interest
instrument, you would receive the interest rate as a return but your beta would be zero. So the inter-
est rate can be used as a benchmark return for a portfolio with a beta equal to zero.
Now suppose your portfolio has a beta of 0.7. This can be viewed as having the same beta as a port-
folio with 70% invested in the market index and 30% invested at a fixed interest rate. So to compare
like with like, the benchmark return on your portfolio can be computed as 0.7 multiplied by the
return of the market index (over the same period) plus 0.3 multiplied by the interest rate. Having
obtained this benchmark return, you subtract it from your portfolio’s actual return realised over the
same period. This is your portfolio’s abnormal return. If your abnormal return is positive, you are
doing well. If it is negative, you are under-performing the benchmark.
PAGE 6
3.3 Selection and Timing
We shift our emphasis away from portfolios and consider the two issues uppermost in any portfolio
manager’s mind. Firstly, which shares to choose (selection), and secondly when to trade (timing).
Considering selection, you should look for shares with high abnormal returns. By contrast, shares
which consistently produce negative abnormal returns are the ones to sell. The abnormal return for
a share can be calculated in the same way as that for a portfolio described above (see also Section
6 for a worked example). Abnormal returns can even be computed on a daily or weekly basis to
closely monitor opportunities to trade in shares.
Calculating abnormal returns of shares is well and good, but there are hundreds of shares. Which
shares should you look for? Obviously you should focus your efforts on the sectors and shares which
you know best, and which meet your yield requirements. You may also want to focus on sectors
where you hold much less than market proportions. But the shares which are most likely to yield sig-
nificant abnormal returns are the ones having high unique risk. If a share had no unique risk there
would be no purpose in analysing its abnormal returns as its price movements would be determined
entirely by its beta and by market movements.
Considering market timing, this depends very much on your ability to forecast which way the mar-
ket is moving. If you think the market is about to go up, you should move into high beta shares. On
the other hand if you think the market is about to fall, you would do better to move into low beta
shares or into liquid assets. Of the two, going liquid is easier and may be less costly, but you may be
constrained to remain invested in liquid (e.g. time deposits). Whichever way you choose, however,
you will be best off selling the highest beta shares first.
Your confidence in your forecasts should also impact on the degree to which you shift your portfo-
lio. Clearly the less confident you are about your forecasts, the more moderate you should make the
shift in the beta of your portfolio.
Your skills as an analyst, your ability to make accurate forecasts and your ability to pick winners are
clearly going to influence your investment strategy. Assuming you are a fairly good analyst and that
you are right 6 times out of 10. Even with these moderate levels of forecasting skills you can produce
useful profits. You may thus want to take on a slight amount of unique risk although it would be wise
to limit unique risk to a maximum of about 10% of your portfolio’s total risk. If however, you do not
claim to be able to pick winners or if you have no particular forecasting prowess, you should hold as
diversified a portfolio as possible. To reduce unique risk, spread the clients investments across a wide
range of shares, making sure that there is broad sector coverage.
4. THE TABLES
4.1 About the Different Market Proxies
The JSE is unique in the sense that it is composed of two distinctly different types of shares, i.e.
resources shares and financial & industrial shares. Often investors are concerned with the behav-
iour of shares in these markets relative to an index which characterises these markets separately,
rather than relative to an overall market index. For example, many investors prefer to measure the
PAGE 7
performance of an industrial share relative to an industrial market index and a gold share relative to
a mining index. In order to accommodate these preferences for each listed share, we have included
risk statistics relative to each share’s characteristic market index and also relative to the overall mar-
ket index. Logical proxies for these characteristic markets would be the three secondary component
indices of the All Share Index (J203), namely:
• The Financial and Industrial Index (J250),
• The Resource-20 Index (J210),
• The Top-40 Index (J200).
Thus the accompanying tables give risk statistics for all shares relative to the All Share Index as well
as relative to one of the above-mentioned secondary indices. Please note that we have switched to
the new Free Float FTSE/JSE Africa Index Series.
4.2 About the Index and Share Statistics Tables
Each column of information is defined as follows:
Security: The company’s name
Code: The ticker symbol which identifies the security on the JSE
Number of months: The number of months during which the security traded. For example, a
thinly-traded security may have been listed for 35 months but, if it hasn’t
traded at all for two of those months, only 33 traded months can be used
in the estimation process. Note that we only provide risk measures for
shares with at least 24 months of traded data.
Annualised Alpha: The average return per annum on a share when the market on average
does not move.
Beta: This is the sensitivity of the share’s price to changes in the market. A beta
of 1 means that the share will, on average, move in line with the market
(as measured by the relevant FTSE/JSE Index). A beta greater than 1
implies that the share will tend to move more in percentage terms than
the market index and vice versa.
Se(ß): The standard error of beta is a statistical measure of the reliability of the
estimate of beta. The lower this figure is the more reliable the estimate of
beta. Statisticians set up a confidence interval for the estimate of beta by
adding and subtracting 2 x se (ß) from the beta estimate. There is a 95%
chance that the true beta lies in this interval.
Annualised Total Risk: This is the standard deviation of returns which measures the share’s total
risk expressed in % per annum.
PAGE 8
Annualised Unique Risk: (or Non-Systematic Risk) reflects the fluctuations in the security’s returns
which are linked to events which are unique to the company (e.g. bad
management, worker strikes etc.).
R2: This can be interpreted as the proportion of the share’s total risk account-
ed for by its market risk. Note that a high beta will not necessarily produce
a high R2. In statistical terms, R2 is the coefficient of determination of the
regression.
% of days traded: This quantity is the percentage of the business days over the period of a
nalysis which the security traded. This provides an indication of the extent
to which the security is thinly traded.
PAGE 9
FTSE/JSE ALL SHARE INDEX (J203) AS MARKET PROXY
TABLE 1.1 – FTSE/JSE INDICES VS ALL SHARE INDEX
MARKET PROXY: FTSE/JSE ALLSHARE INDEX (J203)
Index Code No. of Beta Std error Annualised Annualised R2
Months (β) Total Risk Unique Risk
HEADLINE INDICESJSE All Share Index J203 60 1.00 0.00 15.5 0.0 100%JSE Top 40 Index J200 60 1.05 0.01 16.3 1.4 99%JSE Mid Cap Index J201 60 0.67 0.08 14.2 9.6 54%JSE Small Cap Index J202 60 0.57 0.09 13.7 10.5 41%JSE Fledgling Index J204 60 0.47 0.08 12.2 9.8 35%JSE Resource 20 Index J210 60 1.38 0.10 24.3 11.9 76%JSE Industrial 25 Index J211 60 0.84 0.07 15.6 8.5 70%JSE Financial 15 Index J212 60 0.68 0.09 15.1 10.8 49%JSE Financial and Industrial 30 Index J213 60 0.77 0.08 14.8 8.8 64%
SECONDARY MARKETSJSE Development Capital Index J230 60 0.56 0.39 44.9 44.4 4%JSE Venture Capital Index J231 60 0.27 0.43 50.2 49.9 1%JSE Alt X Index J232 17 0.70 0.68 22.1 21.2 7%
SPECIALIST INDICESJSE JSE SRI Index J100 40 1.06 0.03 14.2 2.2 98%JSE SA Financials and Industrials Index J250 60 0.74 0.07 14.2 8.4 65%JSE SA Listed Property Index J253 60 0.30 0.14 16.4 15.6 9%JSE Capped Property Index J254 60 0.35 0.11 14.0 12.8 15%JSE Property Unit Trust Index J255 60 0.37 0.14 17.7 16.6 11%JSE Property Loan Stock Index J256 60 0.27 0.14 16.3 15.6 7%JSE SA Industrials Index J257 60 0.80 0.07 14.8 8.2 69%JSE SA Hulpbronne Index J258 60 1.38 0.10 24.3 11.9 76%JSE Dividend+ Index J259 60 0.74 0.08 14.6 8.9 62%
CAPPED INDICESJSE Capped Top 40 Index J300 60 1.02 0.01 15.9 1.4 99%JSE Capped All Share Index J303 60 0.98 0.01 15.2 0.9 100%
STYLE INDICESJSE Value Index J330 60 0.92 0.04 14.9 4.3 92%JSE Growth Index J331 60 1.08 0.04 17.2 4.1 94%
SHAREHOLDER WEIGHTED INDICESJSE Shareholder Weighted Top 40 Index J400 60 0.97 0.03 15.2 3.0 96%JSE Shareholder Weighted All Share Index J403 60 0.90 0.03 14.5 3.6 94%
INDUSTRY INDICESJSE Oil & Gas Index J500 20 1.38 0.44 22.0 17.6 38%JSE Basic Materials Index J510 60 0.86 0.11 18.6 13.1 51%JSE Industrials Index J520 60 0.74 0.11 16.7 12.1 47%JSE Consumer Goods Index J530 60 1.05 0.12 21.5 14.1 57%JSE Health Care Index J540 60 0.81 0.12 18.6 13.7 45%JSE Consumer Services Index J550 60 0.69 0.12 17.4 13.6 38%JSE Telecommunication Index J560 60 0.57 0.20 24.3 22.6 13%JSE Financials Index J580 60 0.65 0.09 14.5 10.3 49%JSE Technology Index J590 60 1.29 0.20 30.3 22.9 43%
SECTOR INDICESJSE Construction & Materials Index J235 60 0.62 0.16 20.6 18.1 22%JSE General Industrials Index J272 60 0.83 0.12 18.7 13.6 47%JSE Electronic & Electrical Equipment Index J273 60 0.52 0.14 18.1 16.1 20%JSE Industrial Engineering Index J275 60 0.39 0.17 20.5 19.6 8%JSE Industrial Transportation Index J277 60 0.64 0.13 17.8 14.7 32%JSE Support Services Index J279 60 0.56 0.12 16.8 14.3 27%JSE Automobiles & Parts Index J335 60 0.61 0.18 23.1 21.0 17%JSE Beverages Index J353 60 0.64 0.13 17.9 15.0 30%JSE Food Producers Index J357 60 0.76 0.10 16.6 11.6 50%JSE Household Goods Index J372 20 0.60 0.67 26.8 26.4 5%JSE Leisure Goods Index J374 60 1.10 0.20 28.5 22.9 35%JSE Personal Goods Index J376 20 1.07 0.32 16.3 12.5 42%JSE Health Care Equipment & Services Index J453 60 0.55 0.16 20.2 18.4 17%JSE Pharmaceuticals & Biotechnology Index J457 60 0.58 0.22 26.9 25.4 11%JSE Food & Drug Retailers Index J533 60 0.47 0.14 17.6 16.0 17%
PAGE 10
TABLE 1.1 – CONTINUED
MARKET PROXY: FTSE/JSE ALLSHARE INDEX (J203)
Index Code No. of Beta Std error Annualised Annualised R2
Months (β) Total Risk Unique Risk
JSE General Retailers Index J537 60 0.74 0.17 22.6 19.5 25%JSE Media Index J555 60 0.81 0.16 22.5 18.6 31%JSE Travel & Leisure Index J575 60 0.42 0.14 17.0 15.8 14%JSE Fixed Line Telecommunications Index J653 60 0.44 0.24 28.5 27.6 6%JSE Mobile Telecommunications Index J657 20 1.04 0.51 22.5 20.1 21%JSE Banks Index J835 60 0.63 0.14 18.4 15.6 28%JSE Nonlife Insurance Index J853 60 0.68 0.12 17.4 13.6 37%JSE Life Insurance Index J857 60 0.68 0.14 18.8 15.6 31%JSE Real Estate Index J873 60 0.58 0.10 14.9 11.8 36%JSE General Financial Index J877 60 0.75 0.14 19.8 16.0 35%SE Equity Investment Instruments Index J898 60 0.59 0.11 15.4 12.4 35%JSE Software & Computer Services Index J953 60 1.39 0.22 33.4 25.5 42%JSE Oil & Gas Producers Index J055 60 1.26 0.18 27.9 20.2 48%JSE Chemicals Index J135 60 0.47 0.12 15.4 13.5 23%
SUB SECTOR INDICESJSE Gold Mining Index J150 60 1.62 0.25 37.9 28.6 43%JSE Diamond Mining Index J152 60 1.04 0.26 34.4 30.5 22%JSE Platinum Mining Index J153 60 1.48 0.20 32.1 22.7 51%JSE General Mining Index J154 60 1.32 0.12 24.5 13.8 69%
SECTOR INDICESJSE Forestry & Paper Index J173 60 0.84 0.22 28.4 25.2 21%JSE Industrial Metals Index J175 60 1.37 0.24 34.3 27.1 38%JSE Mining Index J177 60 1.39 0.11 24.8 12.7 74%
PAGE 11
TABLE 1.2 – ALL STOCKS VS ALL SHARE INDEX
MARKET PROXY: FTSE/JSE ALLSHARE INDEX (J203)
Security Code No. of Beta Std error Annualised Annualised R2 % DaysMonths (β) Total Risk Unique Risk Traded
J200 LARGE CAPS
BANKSAbsa Group ASA 60 0.65 0.17 22.1 19.6 21% 100Firstrand Limited FSR 60 0.70 0.16 21.4 18.4 25% 100Nedbank Group. NED 60 0.42 0.20 24.0 23.3 7% 100Rmb Holdings RMH 60 0.69 0.15 20.5 17.5 27% 100Standard Bank Group SBK 60 0.63 0.14 18.5 15.7 28% 100
BEVERAGESSabmiller SAB 60 0.65 0.13 18.2 15.3 30% 100
CONSTRUCTION & MATERIALSMurray & Roberts MUR 60 0.68 0.26 31.5 29.6 11% 100Pretoria Portland Cement PPC 60 0.49 0.21 25.1 24.0 8% 99
FIXED LINE TELECOMMUNICATIONSTelkom TKG 54 0.03 0.26 26.2 26.3 0% 100
FOOD PRODUCERSTiger Brands TBS 60 0.83 0.15 21.8 17.4 36% 100
FORESTRY & PAPERMondi Ltd MND 60 0.83 0.22 28.2 25.0 21% 100Sappi SAP 60 0.83 0.22 28.2 25.0 21% 100
GENERAL FINANCIALInvestec Ltd INL 60 0.84 0.19 25.7 22.2 26% 100Investec Plc INP 60 0.87 0.20 26.4 22.7 26% 100
GENERAL INDUSTRIALSBarloworld BAW 60 1.03 0.17 25.4 19.5 40% 100Remgro REM 60 0.67 0.13 17.8 14.4 34% 100
GENERAL RETAILERSWoolworths Holdings WHL 60 0.68 0.20 24.8 22.6 17% 100
HEALTH CARE EQUIPMENT & SERVICESNetwork Healthcare Holdings NTC 60 0.52 0.19 22.8 21.4 12% 100
HOUSEHOLD GOODSSteinhoff International Holdings SHF 60 1.14 0.21 29.9 24.1 35% 100
INDUSTRIAL METALSMittal Steel South Africa MLA 60 1.44 0.25 36.7 28.9 38% 100
INDUSTRIAL TRANSPORTATIONImperial Holdings IPL 60 0.68 0.18 22.8 20.2 21% 100
LIFE INSURANCELiberty Group LGL 60 0.64 0.14 19.0 16.1 28% 100Old Mutual OML 60 0.72 0.16 22.0 18.9 26% 100Sanlam SLM 60 0.67 0.18 23.6 21.1 19% 100
MEDIANaspers NPN 60 0.91 0.19 26.3 22.2 29% 100
MININGAnglo American AGL 60 1.32 0.14 25.8 15.6 63% 100Anglo Platinum AMS 60 1.62 0.24 37.8 27.9 46% 100Anglogold Ashanti ANG 60 1.16 0.25 33.8 28.7 29% 100African Rainbow Minerals Ltd. ARI 60 1.40 0.24 35.1 27.6 39% 99Bhp Billiton BIL 60 1.29 0.17 27.8 19.6 51% 100Exxaro Resources EXX 60 1.47 0.35 46.7 40.4 26% 93Gold Fields GFI 60 1.55 0.27 39.7 31.1 39% 100Harmony HAR 60 2.23 0.37 56.3 42.8 43% 100Impala Platinum Hlds IMP 60 1.35 0.21 31.9 24.1 44% 100Kumba Iron Ore KIO 10 0.89 1.52 30.7 29.0 11% 100Lonmin Plc LON 60 1.35 0.24 34.7 27.3 37% 90
MOBILE TELECOMMUNICATIONSMtn Group MTN 60 0.80 0.24 30.8 28.1 17% 100
OIL & GAS PRODUCERSSasol SOL 60 1.27 0.18 28.4 20.5 48% 100
PERSONAL GOODSCompagnie Financiere Richemont Ag RCH 60 1.08 0.14 23.1 15.9 53% 100
PAGE 12
TABLE 1.2 – CONTINUED
MARKET PROXY: FTSE/JSE ALLSHARE INDEX (J203)
Security Code No. of Beta Std error Annualised Annualised R2 % DaysMonths (β) Total Risk Unique Risk Traded
REAL ESTATELiberty International LBT 60 0.65 0.17 21.7 19.3 21% 100Support ServicesBidvest Group BVT 60 0.57 0.15 19.9 17.8 20% 100J201 Mid Caps
CHEMICALSAeci AFE 60 0.50 0.17 21.4 20.1 13% 100African Oxygen AFX 60 0.51 0.15 19.5 17.8 16% 100
CONSTRUCTION & MATERIALSAveng AEG 60 0.82 0.23 29.6 26.7 19% 100Group Five/South Africa GRF 60 0.95 0.28 35.5 32.5 17% 98Wilson Bayly Holmes-Ovcon WBO 60 0.38 0.19 22.0 21.3 7% 95
ELECTRONIC & ELECTRICAL EQUIPMENTAllied Electronics Corp ATN 60 0.45 0.21 24.0 23.2 7% 87Allied Electronics Corp Part Prf ATNP 60 0.63 0.17 22.5 20.3 20% 70Reunert RLO 60 0.46 0.18 22.1 20.9 10% 100
FOOD & DRUG RETAILERSPick N Pay Stores PIK 60 0.58 0.14 18.1 15.6 24% 100Shoprite SHP 60 0.40 0.21 24.4 23.7 6% 100The Spar Group SPP 35 0.76 0.22 18.5 15.7 28% 100
FOOD PRODUCERSAstral Foods Ltd ARL 60 0.79 0.23 28.7 26.0 18% 99Avi AVI 60 0.68 0.17 22.2 19.7 22% 92Illovo Sugar ILV 60 0.80 0.22 28.1 25.2 20% 100Rainbow Chicken RBW 60 0.62 0.24 29.1 27.8 11% 99Tongaat Hulett TON 60 0.82 0.19 25.8 22.3 25% 89
GENERAL FINANCIALAfrican Bank Invest ABL 60 0.87 0.23 30.4 27.0 20% 100Jse JSE 15 1.02 1.69 46.4 44.1 8% 100Peregrine Holdings PGR 60 0.65 0.26 31.7 30.4 9% 97Psg Group PSG 46 0.86 0.48 40.9 39.8 7% 89
GENERAL INDUSTRIALSNampak NPK 60 0.46 0.13 16.1 14.5 19% 100
GENERAL RETAILERSEllerine Holdings ELH 60 0.54 0.27 31.7 30.6 7% 99Foschini FOS 60 0.77 0.22 27.6 24.9 19% 100Jd Group JDG 60 0.39 0.28 32.3 32.0 3% 100Lewis Group LEW 35 0.45 0.41 29.8 29.3 4% 100Mr Price Group MPC 60 0.84 0.21 27.6 24.2 23% 99Massmart Holdings MSM 60 0.57 0.22 26.6 25.0 11% 100New Clicks Holdings NCL 60 0.74 0.19 25.0 22.1 21% 100Truworths International TRU 60 0.76 0.20 26.3 23.5 20% 100
HEALTH CARE EQUIPMENT & SERVICESMedi-Clinicrp MDC 60 0.60 0.13 17.7 14.9 28% 99
INDUSTRIAL METALSHighveld Steel HVL 60 0.98 0.35 42.9 39.9 13% 94
INDUSTRIAL TRANSPORTATIONGrindrod GND 60 0.69 0.26 31.7 29.9 11% 82Super Group SPG 60 0.68 0.20 26.0 23.5 17% 100Trencor Ltd TRE 60 0.40 0.19 22.2 21.3 8% 90
LIFE INSURANCEDiscovery Holdings DSY 60 0.46 0.20 24.1 23.1 9% 99Metropolitan Holdings MET 60 0.63 0.18 22.9 20.7 18% 100
MEDIACaxton & Ctp CAT 60 0.62 0.22 27.0 25.6 12% 86Johnnic Communications JCM 60 0.58 0.27 31.0 29.5 7% 62
MININGMetorex Ltd MTX 60 0.86 0.28 34.3 32.0 14% 93Mvelaphanda Resources Ltd MVL 60 1.42 0.27 38.8 31.5 34% 98Northam Platinum NHM 60 1.31 0.27 37.6 31.1 31% 100
PAGE 13
TABLE 1.2 – CONTINUED
MARKET PROXY: FTSE/JSE ALLSHARE INDEX (J203)
Security Code No. of Beta Std error Annualised Annualised R2 % DaysMonths (β) Total Risk Unique Risk Traded
MOBILE TELECOMMUNICATIONSAllied Technologies ALT 60 0.50 0.19 22.9 21.4 11% 99
NONLIFE INSURANCESantam SNT 60 0.77 0.19 24.7 21.5 23% 100
PHARMACEUTICALS & BIOTECHNOLOGYAspen Pharmacare Holdings APN 60 0.59 0.22 27.0 25.5 11% 100
REAL ESTATEApexhi Properties -A- APA 60 0.31 0.14 16.6 15.9 8% 99Apexhi Properties -B- APB 60 0.25 0.18 21.7 21.3 3% 100Apexhi Properties -C- AXC 11 0.87 1.43 29.8 27.9 10% 100Emira Property Fund EMI 45 0.40 0.25 21.4 20.7 6% 96Fountainhead Property Trust FPT 60 0.52 0.17 20.8 19.3 14% 80Growthpoint Prop Ltd GRT 60 0.33 0.18 21.1 20.3 6% 96Hyprop Investments Ltd HYP 60 0.17 0.17 20.0 19.9 1% 89Pangbourne Prop Ltd PAP 60 0.26 0.15 18.2 17.8 5% 99Redefine Income Find RDF 60 0.26 0.20 23.7 23.3 3% 100Sa Corporate Real Estate Fund SAC 60 0.40 0.19 22.5 21.5 8% 99
SOFTWARE & COMPUTER SERVICESDimension Data Holdings DDT 60 2.06 0.38 55.3 43.8 38% 100Datatec DTC 60 1.66 0.33 46.5 37.7 34% 100
SUPPORT SERVICESMvelaphanda Group MVG 60 0.42 0.19 23.1 22.2 8% 84
TRAVEL & LEISUREGold Reef Resorts GDF 60 0.11 0.22 23.9 24.6 0% 90Sun International Ltd SUI 60 0.55 0.18 22.4 20.8 14% 96
J202 SMALL CAPS
AUTOMOBILES & PARTSMetair Investments Ord MTA 60 0.78 0.22 29.7 25.9 19% 62Wesco Investments Ltd WES 58 0.74 0.22 26.1 23.5 18% 72
BANKSCapitec Bank Hldgs Ltd CPI 60 0.99 0.27 34.9 31.3 20% 97
CHEMICALSOmnia Holdings Ltd OMN 60 0.47 0.22 26.6 25.4 7% 96
CONSTRUCTION & MATERIALSAfrimat AFT 10 1.15 1.19 25.9 22.7 24% 100Ceramic Industries CRM 60 0.59 0.18 24.1 21.8 16% 77Distribution And Warehousing Network DAW 60 0.32 0.31 35.6 35.4 1% 92
ELECTRONIC & ELECTRICAL EQUIPMENTDelta Electrical Industries DEL 60 0.40 0.22 27.4 26.3 5% 89
EQUITY INVESTMENT INSTRUMENTSBrimstone Investment Corp N BRN 60 -0.24 0.37 41.8 43.1 0% 57Makalani Holdings MKL 28 -0.32 0.14 9.0 8.1 19% 88Real Africa Holdings RAH 60 -0.31 0.29 33.4 33.1 3% 80
FOOD PRODUCERSAfgri Ltd AFR 60 0.54 0.22 26.8 25.7 10% 100Oceana Group OCE 60 0.51 0.20 24.7 23.5 10% 86
GENERAL FINANCIALBrait Sa BAT 60 1.03 0.21 29.0 23.9 31% 96Cadiz Holdings CDZ 60 0.56 0.21 25.8 24.0 12% 93Coronation Fund Managers CML 51 0.80 0.31 30.3 28.3 13% 99Zeder Investments ZED 10 0.07 0.92 17.3 17.4 1% 100
GENERAL INDUSTRIALSAstrapak Ltd APK 60 0.44 0.25 28.8 28.4 5% 88Argent Industrial ART 60 0.40 0.25 30.7 29.9 4% 97Kap International Ltd KAP 60 0.85 0.66 74.9 77.2 4% 67
GENERAL RETAILERSAdvtech ADH 60 0.40 0.23 27.8 27.0 4% 93Combined Motor Hldgs Ltd CMH 60 0.59 0.28 33.3 32.5 7% 65Cashbuild Ltd CSB 60 0.29 0.31 35.2 35.4 1% 94Tiger Automotive TAL 9 0.17 1.62 29.2 28.8 4% 94
PAGE 14
TABLE 1.2 – CONTINUED
MARKET PROXY: FTSE/JSE ALLSHARE INDEX (J203)
Security Code No. of Beta Std error Annualised Annualised R2 % DaysMonths (β) Total Risk Unique Risk Traded
INDUSTRIAL ENGINEERING
Bell Equipment BEL 60 0.33 0.33 38.1 37.8 2% 84
Hudaco Industries HDC 60 0.37 0.21 24.4 23.6 5% 86
Invicta Holdings IVT 60 0.33 0.23 26.8 27.5 1% 70
INDUSTRIAL METALS
Palabora Mining PAM 60 0.55 0.45 51.1 50.0 3% 84
LEISURE GOODS
Amalgamated Appliance Holding AMA 60 0.58 0.28 34.0 32.5 7% 94
MEDIA
Kagiso Media Ltd KGM 60 0.27 0.22 26.3 25.1 3% 67
MINING
Aflease Gold AFO 60 0.89 0.89 104.5 103.4 2% 78
Drd Gold DRD 60 1.54 0.47 59.6 54.0 19% 100
Merafe Resources MRF 60 1.43 0.34 45.6 39.3 26% 100
Scharrig Mining Ltd SCN 60 0.43 0.32 35.8 35.3 3% 72
Trans Hex Group TSX 60 1.02 0.26 34.4 30.5 22% 100
Witwatersrand Cons Gold Resources WGR 17 1.52 1.64 59.1 52.8 22% 89
PHARMACEUTICALS & BIOTECHNOLOGY
Enaleni Pharmaceuticals ENL 27 1.56 1.32 84.6 77.2 16% 100
REAL ESTATE
Acucap Properties Limited ACP 60 0.20 0.16 18.7 18.3 3% 82
Capital Property Fund CPL 60 0.36 0.21 25.2 24.4 5% 88
Ifour Properties IFR 60 0.32 0.19 22.8 22.4 5% 88
Madison Property Fund Managers MDN 15 0.91 1.04 29.3 27.1 11% 99
Octodec Investments OCT 60 0.20 0.23 26.4 26.4 1% 74
Premium Properties PMM 60 0.43 0.25 29.6 28.1 6% 64
Resilient Prop Inc Fd RES 57 0.36 0.19 21.7 20.9 6% 92
Sycom Property Fund SYC 60 0.16 0.13 15.5 15.4 2% 97
Vukile Property Fund VKE 39 0.65 0.30 24.2 22.6 13% 90
SOFTWARE & COMPUTER SERVICES
Business Connexion Group BCX 40 0.52 0.39 31.5 30.6 5% 93
Bytes Technology Group BTG 60 0.25 0.24 28.1 27.9 2% 99
SUPPORT SERVICES
Adcorp Holdings ADR 60 0.44 0.20 23.4 22.6 7% 87
Iliad Africa ILA 60 0.39 0.27 31.1 30.8 3% 94
TRAVEL & LEISURE
City Lodge Hotels CLH 60 0.54 0.17 20.9 19.3 15% 94
Famous Brands FBR 60 0.52 0.31 38.3 37.2 5% 86
Phumelela Gaming & Leisure PHM 60 0.14 0.38 43.4 43.2 0% 89
Tourism Investment Corp TRT 60 0.50 0.20 24.3 23.0 10% 98
J204 FLEDGING
AUTOMOBILES & PARTS
Dorbyl DLV 60 0.45 0.25 31.0 30.0 5% 74
BANKS
Mercantile Bank Holdings MTL 60 0.62 0.49 56.3 55.9 3% 94
CHEMICALS
Spanjaard SPA 46 -0.58 0.45 51.1 45.3 5% 9
CONSTRUCTION & MATERIALS
Ag Industries AGI 60 0.44 0.27 32.6 31.6 4% 89
Buildmax. BDM 60 0.93 1.04 123.6 119.2 2% 51
Basil Read Holdings BSR 60 0.75 0.51 59.9 59.1 3% 88
Elb Group ELR 60 0.71 0.28 35.7 33.9 10% 55
Masonite Africa MAS 60 0.39 0.29 37.4 36.1 4% 21
ELECTRONIC & ELECTRICAL EQUIPMENT
Amalgamated Electronics Corp AER 25 1.24 0.83 44.8 40.8 14% 70
Control Instruments Group CNL 60 0.76 0.28 35.0 32.6 12% 79
Digicore Holdings DGC 60 0.73 0.31 37.1 35.8 10% 93
Jasco Electronics Holdings JSC 60 0.32 0.36 40.4 40.3 1% 91
Set Point Technology Holdings STO 60 0.55 0.36 42.7 41.7 4% 75
PAGE 15
TABLE 1.2 – CONTINUED
MARKET PROXY: FTSE/JSE ALLSHARE INDEX (J203)
Security Code No. of Beta Std error Annualised Annualised R2 % DaysMonths (β) Total Risk Unique Risk Traded
EQUITY INVESTMENT INSTRUMENTSCape Empowerment Trust CAE 53 -0.11 0.86 116.1 93.7 3% 37Eureka Industrial EUR 38 0.44 0.48 56.9 46.7 0% 5Purple Capital PPE 60 1.18 0.65 75.3 72.4 7% 75Sabvest SBV 50 -0.78 0.56 63.1 59.1 4% 9Sabvest Lmt N SVN 60 -0.26 0.42 53.8 52.8 2% 14Trematon Capital Investments TMT 60 0.39 0.50 58.5 57.9 1% 57
FOOD PRODUCERSCrookes Brothers CKS 60 0.54 0.25 30.2 28.8 7% 40Intertrading ITR 60 0.66 0.50 55.0 55.7 3% 31Sovereign Food Investments SOV 60 0.78 0.38 42.2 39.8 6% 52
GENERAL FINANCIALBarnard Jacobs Mellet Holdings BJM 60 0.74 0.25 28.9 26.6 14% 75Conduit Capital CND 60 0.28 0.78 87.4 88.9 0% 60Decillion Ltd DEC 60 0.45 0.60 72.5 68.1 1% 50Enterprise Risk Management Ltd ERM 60 0.16 0.36 42.0 41.5 1% 82London Finance And Investment Group LNF 56 0.41 0.32 42.7 40.2 1% 10New Corpcapital Ltd. NCA 27 0.34 0.64 38.0 37.7 1% 78Sasfin Holdings SFN 60 0.55 0.30 35.9 34.8 6% 86Wooltru N WLN 60 0.12 0.37 41.4 42.2 0% 65Wooltru WLO 60 0.35 0.39 43.9 43.5 1% 76
GENERAL INDUSTRIALSBowler Metcalf BCF 60 -0.06 0.14 16.5 16.5 1% 84Sekunjalo Investments SKJ 60 0.60 0.49 53.6 53.7 2% 66Transpaco TPC 60 -0.51 0.33 35.8 36.1 6% 40
GENERAL RETAILERSRex Trueform Clothing Sco RTN 60 0.31 0.28 39.3 36.3 1% 18Tradehold TDH 60 1.26 0.35 46.9 41.8 20% 65Verimark Holdings VMK 26 0.89 0.70 41.7 40.1 8% 97
INDUSTRIAL ENGINEERINGHowden Africa Holdings HWN 60 0.15 0.40 43.1 43.0 0% 51Kairos Industrial Holdings KIR 60 0.68 1.32 152.1 151.3 1% 53Venter Leisure & Com Trailer VTL 60 -0.38 0.73 99.4 89.4 2% 17
INDUSTRIAL METALSMetmar MML 16 0.18 1.43 39.5 39.2 1% 97
INDUSTRIAL TRANSPORTATIONCargo Carriers CRG 60 -0.07 0.33 35.0 35.3 0% 32Value Group VLE 60 0.98 0.37 48.2 44.1 12% 92
LEISURE GOODSNu-World Holdings NWL 60 0.61 0.28 36.3 34.7 7% 85
MEDIAAfrican Media Entertainment AME 60 0.85 0.78 90.4 90.1 2% 70
MININGDiamond Core Resources DMR 42 0.33 1.32 110.0 107.6 0% 59Halogen Holdings Sa HAL 6 0.49 0.81 19.9 14.2 8% 1Hwange Colliery Co. Ltd. HWA 54 0.63 0.92 117.1 108.3 0% 11Miranda Mineral Holdings Ltd. MMH 21 0.67 1.49 67.3 66.8 1% 94Petmin Ltd. PET 60 0.91 0.61 65.9 65.8 4% 61Sallies SAL 60 0.62 0.53 60.3 58.9 2% 79Thabex Exploration TBX 60 -1.00 0.65 74.9 74.3 8% 31Village Main Reef Gold Mng VIL 60 0.80 1.24 136.6 132.5 1% 23
NONLIFE INSURANCEGlenrand Mib GMB 60 0.21 0.24 28.5 28.2 1% 99
PERSONAL GOODSHouse Of Busby/The BSB 60 0.61 0.27 32.2 31.2 5% 63Pals Holdings PAL 60 0.26 0.59 77.7 72.7 0% 22Seardel Investment Corp SER 60 0.72 0.35 43.2 41.4 7% 37Seardel Investment Corp N SRN 60 0.60 0.28 33.8 33.8 7% 56
REAL ESTATEAmbit Properties ABT 43 0.54 0.27 23.3 22.2 9% 96Diversified Property Fund DIV 23 0.97 0.31 18.6 15.1 35% 74
PAGE 16
TABLE 1.2 – CONTINUED
MARKET PROXY: FTSE/JSE ALLSHARE INDEX (J203)
Security Code No. of Beta Std error Annualised Annualised R2 % DaysMonths (β) Total Risk Unique Risk Traded
Fairvest Property Hldgs FVT 31 1.10 1.16 82.7 81.4 5% 48Hospitality Property A HPA 19 0.46 0.35 15.2 14.3 10% 77Hospitality Property B HPB 19 1.37 0.75 30.4 26.6 25% 95Monyetla Property Fund MYT 29 -0.28 0.58 61.4 41.5 8% 16Putprop Ltd PPR 60 -0.13 0.24 26.6 26.8 0% 36Sable Holdings SBL 60 0.08 0.33 40.7 43.5 0% 12Siyathenga Property Fund Ltd SYA 25 0.53 0.58 33.4 33.2 3% 88
SOFTWARE & COMPUTER SERVICESCompu Clearing Outs Ltd CCL 60 0.63 0.39 47.0 45.6 4% 32Datacentrix Holdings DCT 60 0.25 0.30 35.2 35.3 1% 75Eoh Holdings Ltd. EOH 60 0.27 0.24 27.8 27.6 2% 71Faritec Holdings FRT 60 0.21 0.48 52.1 54.3 0% 66Gijima Ast Group GIJ 60 2.00 0.50 67.2 57.6 26% 100Infowave Holdings IFW 60 0.47 0.49 55.1 54.9 0% 38Paracon Holdings PCN 60 0.72 0.29 36.4 34.4 10% 81Securedata Holdings SDH 60 0.66 0.32 37.9 37.2 7% 58Spescom SPS 60 0.62 0.58 68.2 66.8 2% 94Square One Solutions Group SQE 37 0.92 1.91 81.4 141.2 1% 8Ucs Group UCS 60 0.05 0.32 36.2 36.6 0% 83
SUPPORT SERVICESCommand Holdings CMA 60 0.41 1.17 125.2 126.0 1% 42Enviroserv Holdings ENV 60 0.28 0.23 26.9 26.7 2% 74Excellerate Hldgs EXL 60 0.36 0.65 69.0 68.3 0% 44Metrofile Holdings MFL 40 0.71 1.61 126.2 127.1 0% 85Micromega Holdings MMG 60 0.74 0.93 106.7 105.0 1% 57Marshall Monteagle Holding MTE 53 0.16 0.52 59.0 57.3 0% 12Primeserv Group PMV 60 0.25 0.39 45.7 45.1 2% 50
TECHNOLOGY HARDWARE & EQUIPMENTMustek MST 60 0.42 0.23 26.5 26.0 6% 98Pinnacle Technology Holdings PNC 60 2.54 0.78 107.9 89.5 25% 82
TRAVEL & LEISUREComair COM 60 0.55 0.38 45.6 44.7 3% 88Cullinan Holdings CUL 60 0.68 0.37 43.2 41.8 6% 80Don Group DON 60 0.22 0.69 82.3 81.9 0% 88Ifa Hotels And Resorts IFH 19 0.32 1.47 46.3 50.2 1% 48King Consolidated Holdings KNG 60 1.55 1.00 116.8 118.8 8% 53Spur Corp SUR 60 0.37 0.16 19.2 18.2 9% 89
J230 DEVELOPMENT CAPITAL
ELECTRONIC & ELECTRICAL EQUIPMENTStella Vista Technologies SLL 60 1.40 1.61 177.0 184.1 3% 27Technology Hardware & EquipmentDynamic Cables Rsa DYM 24 1.24 1.85 91.5 89.2 10% 22
J231 VENTURE CAPITAL
CONSTRUCTION & MATERIALSAbsolute Holdings ABO 37 -0.12 1.73 132.2 132.3 3% 76
INDUSTRIAL ENGINEERINGJohn Daniel Holdings JDH 54 0.46 0.96 91.6 91.1 0% 43
MININGSa Mineral Resources Corp. SAM 60 1.37 1.74 193.1 188.2 5% 46
SOFTWARE & COMPUTER SERVICESBeget Holdings BEE 57 0.94 1.29 137.8 133.1 2% 56
SUPPORT SERVICESLabat Africa LAB 60 -0.48 0.90 95.8 95.5 3% 53
J232 ALTX
CONSTRUCTION & MATERIALSEsor ESR 18 1.04 1.91 63.6 61.2 8% 100Sanyati Holdings SAN 16 1.14 1.52 43.4 40.4 13% 100Safic Holdings SIC 10 0.51 1.94 40.5 42.1 0% 76Top Fix Holdings TFX 9 1.77 1.72 44.7 30.3 54% 99W G Wearne WEA 19 0.03 1.26 44.4 44.2 2% 100
PAGE 17
TABLE 1.2 – CONTINUED
MARKET PROXY: FTSE/JSE ALLSHARE INDEX (J203)
Security Code No. of Beta Std error Annualised Annualised R2 % DaysMonths (β) Total Risk Unique Risk Traded
ELECTRONIC & ELECTRICAL EQUIPMENTZaptronix ZPT 60 0.99 1.57 177.1 173.9 2% 57
FOOD PRODUCERSMilkworx Ltd MKX 36 0.61 1.59 122.1 120.8 0% 85
GENERAL FINANCIALBlue Financial Services BFS 11 -0.40 1.42 30.9 27.6 21% 100
African Dawn Capital ADW 60 -0.42 1.02 111.5 109.7 1% 56
HEALTH CARE EQUIPMENT & SERVICESMyriad Medical Holdings MYD 11 0.27 0.93 18.4 18.6 0% 94
INDUSTRIAL ENGINEERINGPsv Holdings Ltd. PSV 17 1.00 1.13 37.6 35.2 9% 86
INDUSTRIAL TRANSPORTATIONSantova Logistics SNV 7 0.86 1.96 31.7 29.9 14% 95
MEDIAMoneyweb Holdings MNY 60 -0.05 0.44 51.2 50.9 0% 43
MININGChrometco CMO 25 0.55 1.38 69.9 69.9 0% 66
Wescoal Holdings WSL 26 1.02 0.85 58.8 56.8 9% 76
PERSONAL GOODSBeige Holdings BEG 60 -0.01 0.53 60.3 60.5 0% 96
REAL ESTATEOasis Crescent Property Fund OAS 22 0.15 0.45 24.3 24.3 0% 31
SOFTWARE & COMPUTER SERVICESAlliance Data Corp ACD 30 0.63 0.81 58.4 60.3 4% 43
Simeka Bsg SBG 37 0.46 0.61 47.0 45.5 2% 92
Silverbridge Holdings SVB 57 0.03 1.48 165.8 161.1 0% 14
SUPPORT SERVICESRare Holding RAR 7 0.06 1.40 23.6 22.2 10% 90
TECHNOLOGY HARDWARE & EQUIPMENTFoneworx Holdings FWX 39 0.93 1.94 132.7 137.2 0% 21
TRAVEL & LEISUREGooderson Leisure Corp GDN 12 0.35 0.86 18.5 19.2 0% 63
Taste Holdings TAS 15 0.41 1.91 45.7 44.3 1% 79
OTHER
BEVERAGESDistell Group Limited DST 60 0.74 0.20 26.6 23.5 20% 86
Kwv Beleggings Beperk KWV 60 0.46 0.21 24.5 23.2 8% 70
ELECTRONIC & ELECTRICAL EQUIPMENTSouth Ocean Holdings Ltd SOH 7 0.17 1.22 19.7 19.2 3% 99
EQUITY INVESTMENT INSTRUMENTSBrimstone Investment Corporation Ld BRT 60 0.43 0.43 45.1 45.6 0% 32
Hosken Consolidated Investments Ldt HCI 36 -0.35 0.74 54.8 55.0 2% 59
FOOD & DRUG RETAILERSPick N Pay Holdings Limited PWK 60 0.48 0.13 17.2 15.5 19% 100
FOOD PRODUCERSAfrocentric Investment Corp Limited ACTP 11 1.64 1.56 85.6 68.3 40% 26
FORESTRY & PAPERThe York Timber Organisation Ld YRK 60 -0.35 0.49 59.7 57.8 2% 27
GENERAL RETAILERSAfrican And Overseas Enterprises Ltd AON 58 0.06 0.34 39.3 37.4 1% 12
African And Overseas Enterprises Ltd AOO 39 -0.14 0.44 30.8 44.1 3% 4
Italtile Limited ITE 60 0.30 0.21 24.7 24.0 4% 57
Rex Trueform Clothing Company Ltd RTO 54 0.12 0.29 36.9 34.5 0% 10
INDUSTRIAL METALSZambia Copper Investments Limited ZCI 60 1.38 0.64 101.0 78.7 12% 35
LIFE INSURANCEClientele Life Assurance. CLE 60 0.40 0.25 27.2 25.9 5% 50
Liberty Holdings Limited LBH 60 0.63 0.14 19.3 16.5 26% 99
PAGE 18
TABLE 1.2 – CONTINUED
MARKET PROXY: FTSE/JSE ALLSHARE INDEX (J203)
Security Code No. of Beta Std error Annualised Annualised R2 % DaysMonths (β) Total Risk Unique Risk Traded
MININGAnglo Platinum Limited AMSP 40 0.83 0.30 25.9 23.4 18% 89Aquarius Platinum Limited AQP 33 0.42 0.63 47.1 46.5 2% 86Assore Limited ASR 60 0.16 0.32 35.7 35.9 1% 40Matodzi Resources Limited MTZ 60 -0.13 0.51 58.5 58.3 1% 83Simmer And Jack Mines Limited SIM 60 1.00 1.29 141.9 136.0 2% 59Tawana Resources Nl TAW 22 0.20 1.49 93.1 91.3 0% 43Uranium One Inc UUU 21 1.67 0.95 49.7 42.5 26% 98
MOBILE TELECOMMUNICATIONSTelemasters Holdings Limited TLM 6 0.09 1.74 35.5 32.0 18% 70
NONLIFE INSURANCEMutual & Federal Insurance Comp Ld MAF 60 0.59 0.20 24.7 23.1 13% 87Zurich Insurance Co Sa ZSA 60 0.58 0.28 33.0 33.0 7% 19
OIL & GAS PRODUCERSOando Plc OAO 22 -0.46 1.20 69.7 67.7 8% 49
REAL ESTATEJohnnic Holdings Limited JNC 30 0.18 0.37 25.1 25.0 1% 97S&J Land Holdings Limited SJL 60 -0.26 0.73 85.1 92.3 0% 16
SOFTWARE & COMPUTER SERVICESIfca Technologies Ltd IFC 8 -0.76 0.88 29.5 22.7 45% 21
SUPPORT SERVICESMvelaphanda Group Limited MVGP 22 0.08 0.27 13.4 13.4 0% 66Workforce Limited WKF 10 0.52 0.81 26.4 27.1 3% 53Winhold Limited WNH 60 0.32 0.35 42.4 41.0 2% 77
PAGE 19
FTSE/JSE FINANCIAL & INDUSTRIAL (J250) AS MARKET PROXY
TABLE 2.1 – FTSE/JSE INDICES VS FINANCIAL AND INDUSTRIAL INDEX
MARKET PROXY: FTSE/JSE FINANCIAL AND INDUSTRIAL INDEX (J250)
Index Code No. of Beta Std error Annualised Annualised R2
Months (β) Total Risk Unique Risk
HEADLINE INDICESJSE All Share Index J203 60 0.88 0.09 15.5 9.2 65%JSE Top 40 Index J200 60 0.88 0.10 16.3 10.5 58%JSE Mid Cap Index J201 60 0.87 0.06 14.2 6.8 77%JSE Small Cap Index J202 60 0.72 0.09 13.7 9.1 55%JSE Fledgling Index J204 60 0.60 0.08 12.2 8.7 49%JSE Resource 20 Index J210 60 0.72 0.21 24.3 22.2 17%JSE Industrial 25 Index J211 60 1.07 0.04 15.6 3.7 94%JSE Financial 15 Index J212 60 1.01 0.05 15.1 4.8 90%JSE Financial and Industrial 30 Index J213 60 1.03 0.02 14.8 1.8 98%
SECONDARY MARKETSJSE Development Capital Index J230 60 0.57 0.42 44.9 44.5 3%JSE Venture Capital Index J231 60 0.38 0.47 50.2 49.7 1%JSE Alt X Index J232 17 0.59 0.49 22.1 20.9 9%
SPECIALIST INDICESJSE JSE SRI Index J100 40 0.74 0.14 14.2 10.6 45%JSE SA Financials and Industrials Index J250 60 1.00 0.00 14.2 0.0 100%JSE SA Listed Property Index J253 60 0.50 0.14 16.4 14.7 19%JSE Capped Property Index J254 60 0.50 0.11 14.0 12.0 26%JSE Property Unit Trust Index J255 60 0.59 0.15 17.7 15.5 23%JSE Property Loan Stock Index J256 60 0.45 0.14 16.3 14.9 15%JSE SA Industrials Index J257 60 1.02 0.03 14.8 3.2 95%JSE SA Hulpbronne Index J258 60 0.72 0.21 24.3 22.2 17%JSE Dividend+ Index J259 60 0.95 0.05 14.6 5.6 85%
CAPPED INDICESJSE Capped Top 40 Index J300 60 0.90 0.09 15.9 9.3 65%JSE Capped All Share Index J303 60 0.89 0.08 15.2 8.5 69%
STYLE INDICESJSE Value Index J330 60 0.92 0.07 14.9 7.3 76%JSE Growth Index J331 60 0.85 0.12 17.2 12.3 48%
SHAREHOLDER WEIGHTED INDICESJSE Shareholder Weighted Top 40 Index J400 60 0.95 0.07 15.2 7.2 78%JSE Shareholder Weighted All Share Index J403 60 0.93 0.06 14.5 6.0 83%
INDUSTRY INDICESJSE Oil & Gas Index J500 20 0.20 0.48 22.0 22.2 1%JSE Basic Materials Index J510 60 0.65 0.15 18.6 16.3 24%JSE Industrials Index J520 60 1.01 0.08 16.7 8.5 74%JSE Consumer Goods Index J530 60 1.17 0.13 21.5 13.7 59%JSE Health Care Index J540 60 0.94 0.12 18.6 12.9 52%JSE Consumer Services Index J550 60 1.07 0.08 17.4 8.3 77%JSE Telecommunication Index J560 60 1.12 0.17 24.3 18.3 43%JSE Financials Index J580 60 0.97 0.04 14.5 4.4 91%JSE Technology Index J590 60 1.34 0.22 30.3 23.6 39%
SECTOR INDICESJSE Construction & Materials Index J235 60 0.83 0.16 20.6 16.9 32%JSE General Industrials Index J272 60 1.09 0.10 18.7 10.5 68%JSE Electronic & Electrical Equipment Index J273 60 0.77 0.14 18.1 14.3 37%JSE Industrial Engineering Index J275 60 0.53 0.18 20.5 19.1 13%JSE Industrial Transportation Index J277 60 0.89 0.12 17.8 12.5 51%JSE Support Services Index J279 60 0.86 0.11 16.8 11.4 53%JSE Automobiles & Parts Index J335 60 0.82 0.19 23.1 19.8 26%JSE Beverages Index J353 60 0.72 0.14 17.9 14.8 32%JSE Food Producers Index J357 60 0.95 0.09 16.6 9.6 67%JSE Household Goods Index J372 20 1.33 0.49 26.8 22.3 33%JSE Leisure Goods Index J374 60 1.42 0.19 28.5 20.1 50%JSE Personal Goods Index J376 20 0.75 0.31 16.3 14.1 27%JSE Health Care Equipment & Services Index J453 60 0.74 0.16 20.2 17.3 27%JSE Pharmaceuticals & Biotechnology Index J457 60 0.80 0.23 26.9 24.5 18%JSE Food & Drug Retailers Index J533 60 0.74 0.13 17.6 14.2 35%
PAGE 20
TABLE 2.1 – CONTINUED
MARKET PROXY: FTSE/JSE FINANCIAL AND INDUSTRIAL INDEX (J250)
Index Code No. of Beta Std error Annualised Annualised R2
Months (β) Total Risk Unique Risk
SECTOR INDICESJSE General Retailers Index J537 60 1.29 0.13 22.6 13.4 65%JSE Media Index J555 60 1.20 0.14 22.5 14.7 57%JSE Travel & Leisure Index J575 60 0.62 0.14 17.0 14.7 26%JSE Fixed Line Telecommunications Index J653 60 1.01 0.23 28.5 24.5 26%JSE Mobile Telecommunications Index J657 20 1.59 0.29 22.5 13.2 66%JSE Banks Index J835 60 1.10 0.09 18.4 9.8 72%JSE Nonlife Insurance Index J853 60 0.78 0.13 17.4 13.3 40%JSE Life Insurance Index J857 60 0.98 0.12 18.8 12.6 55%JSE Real Estate Index J873 60 0.58 0.12 14.9 12.4 31%JSE General Financial Index J877 60 1.09 0.12 19.8 12.4 61%JSE Equity Investment Instruments Index J898 60 0.73 0.11 15.4 11.3 46%JSE Software & Computer Services Index J953 60 1.49 0.25 33.4 25.9 40%JSE Oil & Gas Producers Index J055 60 0.80 0.24 27.9 25.6 16%JSE Chemicals Index J135 60 0.53 0.13 15.4 13.4 24%
SUB SECTOR INDICESJSE Gold Mining Index J150 60 0.72 0.35 37.9 36.6 7%JSE Diamond Mining Index J152 60 1.09 0.29 34.4 30.8 20%JSE Platinum Mining Index J153 60 0.83 0.29 32.1 30.0 13%JSE General Mining Index J154 60 0.70 0.21 24.5 22.6 16%
SECTOR INDICESJSE Forestry & Paper Index J173 60 0.81 0.25 28.4 25.9 16%JSE Industrial Metals Index J175 60 1.23 0.28 34.3 29.7 26%JSE Mining Index J177 60 0.70 0.22 24.8 22.8 16%
PAGE 21
TABLE 2.2 – ALL STOCKS VS FINANCIAL AND INDUSTRIAL INDEX
MARKET PROXY: FTSE/JSE FINANCIAL AND INDUSTRIAL INDEX (J250)
Security Code No. of Beta Std error Annualised Annualised R2 % DaysMonths (β) Total Risk Unique Risk Traded
J200 LARGE CAPS
BANKSAbsa Group ASA 60 1.12 0.15 22.1 15.3 52% 100Firstrand Limited FSR 60 1.16 0.13 21.4 13.6 59% 100Nedbank Group. NED 60 0.94 0.19 24.0 20.1 31% 100Rmb Holdings RMH 60 1.15 0.12 20.5 12.5 63% 100Standard Bank Group SBK 60 1.07 0.10 18.5 10.4 68% 100
BEVERAGESSabmiller SAB 60 0.73 0.14 18.2 15.1 32% 100
CONSTRUCTION & MATERIALSMurray & Roberts MUR 60 0.68 0.28 31.5 29.9 10% 100Pretoria Portland Cement PPC 60 0.81 0.21 25.1 22.4 21% 99
FIXED LINE TELECOMMUNICATIONSTelkom TKG 54 0.72 0.28 26.2 24.7 12% 100
FOOD PRODUCERSTiger Brands TBS 60 1.06 0.15 21.8 15.5 49% 100
GENERAL FINANCIALInvestec Ltd INL 60 1.28 0.17 25.7 18.2 50% 100Investec Plc INP 60 1.28 0.18 26.4 19.0 48% 100
GENERAL INDUSTRIALSBarloworld BAW 60 1.25 0.17 25.4 17.8 50% 100Remgro REM 60 0.88 0.12 17.8 12.6 50% 100
GENERAL RETAILERSWoolworths Holdings WHL 60 1.09 0.18 24.8 19.4 39% 100
HEALTH CARE EQUIPMENT & SERVICESNetwork Healthcare Holdings NTC 60 0.74 0.19 22.8 20.3 21% 100
HOUSEHOLD GOODSSteinhoff International Holdings SHF 60 1.43 0.21 29.9 21.8 47% 100
INDUSTRIAL TRANSPORTATIONImperial Holdings IPL 60 1.08 0.16 22.8 16.8 46% 100
LIFE INSURANCELiberty Group LGL 60 0.91 0.13 19.0 13.8 47% 100Old Mutual OML 60 0.97 0.16 22.0 17.1 39% 100Sanlam SLM 60 1.08 0.17 23.6 17.8 43% 100
MEDIANaspers NPN 60 1.36 0.17 26.3 17.7 55% 100
MOBILE TELECOMMUNICATIONSMtn Group MTN 60 1.31 0.23 30.8 24.1 38% 100
PERSONAL GOODSCompagnie Financiere Richemont Ag RCH 60 1.12 0.16 23.1 16.6 48% 100
REAL ESTATELiberty International LBT 60 0.52 0.19 21.7 20.5 11% 100
SUPPORT SERVICESBidvest Group BVT 60 0.88 0.15 19.9 15.5 39% 100
J201 MID CAPS
CONSTRUCTION & MATERIALSAveng AEG 60 0.97 0.25 29.6 26.1 22% 100Group Five/South Africa GRF 60 1.07 0.30 35.5 32.1 19% 98Wilson Bayly Holmes-Ovcon WBO 60 0.61 0.20 22.0 20.3 15% 95
ELECTRONIC & ELECTRICAL EQUIPMENTAllied Electronics Corp ATN 60 0.62 0.22 24.0 22.5 12% 87Allied Electronics Corp Part Prf ATNP 60 0.84 0.19 22.5 19.3 27% 70Reunert RLO 60 0.76 0.18 22.1 19.3 24% 100
FOOD & DRUG RETAILERSPick N Pay Stores PIK 60 0.71 0.14 18.1 14.9 31% 100Shoprite SHP 60 0.75 0.21 24.4 22.1 19% 100The Spar Group SPP 35 0.76 0.21 18.5 15.5 30% 100
FOOD PRODUCERSAstral Foods Ltd ARL 60 1.08 0.23 28.7 24.3 28% 99
PAGE 22
TABLE 2.2 – CONTINUED
MARKET PROXY: FTSE/JSE FINANCIAL AND INDUSTRIAL INDEX (J250)
Security Code No. of Beta Std error Annualised Annualised R2 % DaysMonths (β) Total Risk Unique Risk Traded
Avi AVI 60 0.87 0.18 22.2 18.5 31% 92Illovo Sugar ILV 60 0.56 0.26 28.1 26.9 8% 100Rainbow Chicken RBW 60 0.92 0.25 29.1 26.2 20% 99Tongaat Hulett TON 60 0.76 0.22 25.8 23.4 18% 89
GENERAL FINANCIALAfrican Bank Invest ABL 60 1.22 0.23 30.4 24.6 34% 100Jse JSE 15 0.70 1.39 46.4 45.5 3% 100Peregrine Holdings PGR 60 0.76 0.29 31.7 30.1 11% 97Psg Group PSG 46 1.56 0.45 40.9 35.6 25% 89Nampak NPK 60 0.60 0.13 16.1 13.7 28% 100
GENERAL RETAILERSEllerine Holdings ELH 60 1.31 0.24 31.7 25.3 36% 99Foschini FOS 60 1.24 0.20 27.6 21.0 42% 100Jd Group JDG 60 1.29 0.25 32.3 26.5 33% 100Lewis Group LEW 35 1.25 0.33 29.8 24.3 34% 100Mr Price Group MPC 60 1.33 0.19 27.6 19.7 49% 99Massmart Holdings MSM 60 1.04 0.21 26.6 21.9 32% 100New Clicks Holdings NCL 60 1.04 0.19 25.0 20.0 36% 100Truworths International TRU 60 1.23 0.18 26.3 19.4 45% 100
HEALTH CARE EQUIPMENT & SERVICESMedi-Clinicrp MDC 60 0.74 0.13 17.7 14.0 36% 99
INDUSTRIAL TRANSPORTATIONGrindrod GND 60 0.84 0.28 31.7 29.3 14% 82Super Group SPG 60 0.70 0.23 26.0 23.8 15% 100Trencor Ltd TRE 60 0.53 0.20 22.2 20.8 12% 90
LIFE INSURANCEDiscovery Holdings DSY 60 0.78 0.21 24.1 21.6 20% 99Metropolitan Holdings MET 60 1.01 0.17 22.9 17.8 39% 100
MEDIACaxton & Ctp CAT 60 0.56 0.24 27.0 26.1 9% 86Johnnic Communications JCM 60 0.88 0.27 31.0 28.0 17% 62
MOBILE TELECOMMUNICATIONSAllied Technologies ALT 60 0.83 0.19 22.9 19.5 27% 99
NONLIFE INSURANCESantam SNT 60 0.96 0.19 24.7 20.4 31% 100
PHARMACEUTICALS & BIOTECHNOLOGYAspen Pharmacare Holdings APN 60 0.80 0.23 27.0 24.5 18% 100
REAL ESTATEApexhi Properties -A- APA 60 0.49 0.14 16.6 15.1 18% 99Apexhi Properties -B- APB 60 0.40 0.20 21.7 20.9 7% 100Apexhi Properties -C- AXC 11 0.95 0.94 29.8 26.3 20% 100Emira Property Fund EMI 45 0.75 0.25 21.4 19.2 19% 96Fountainhead Property Trust FPT 60 0.79 0.18 20.8 17.7 27% 80Growthpoint Prop Ltd GRT 60 0.52 0.19 21.1 19.6 12% 96Hyprop Investments Ltd HYP 60 0.42 0.18 20.0 19.2 8% 89Pangbourne Prop Ltd PAP 60 0.34 0.17 18.2 17.6 7% 99Redefine Income Find RDF 60 0.47 0.22 23.7 22.7 8% 100Sa Corporate Real Estate Fund SAC 60 0.49 0.20 22.5 21.2 10% 99
SOFTWARE & COMPUTER SERVICESDimension Data Holdings DDT 60 1.96 0.44 55.3 46.0 31% 100Datatec DTC 60 1.74 0.36 46.5 37.9 33% 100
SUPPORT SERVICESMvelaphanda Group MVG 60 0.62 0.20 23.1 21.4 14% 84
TRAVEL & LEISUREGold Reef Resorts GDF 60 0.34 0.24 23.9 24.3 2% 90Sun International Ltd SUI 60 0.74 0.19 22.4 19.9 22% 96
J202 SMALL CAPS
AUTOMOBILES & PARTSMetair Investments Ord MTA 60 0.92 0.24 29.7 25.4 22% 62Wesco Investments Ltd WES 58 0.92 0.22 26.1 22.4 25% 72
PAGE 23
TABLE 2.2 – CONTINUED
MARKET PROXY: FTSE/JSE FINANCIAL AND INDUSTRIAL INDEX (J250)
Security Code No. of Beta Std error Annualised Annualised R2 % DaysMonths (β) Total Risk Unique Risk Traded
BANKS
Capitec Bank Hldgs Ltd CPI 60 1.36 0.27 34.9 28.7 32% 97
CONSTRUCTION & MATERIALS
Afrimat AFT 10 0.43 0.97 25.9 26.0 1% 100
Ceramic Industries CRM 60 0.82 0.19 24.1 20.5 26% 77
Distribution And Warehousing Network DAW 60 0.59 0.34 35.6 34.7 5% 92
ELECTRONIC & ELECTRICAL EQUIPMENT
Delta Electrical Industries DEL 60 0.40 0.25 27.4 26.5 4% 89
Brimstone Investment Corp N BRN 60 0.33 0.42 41.8 43.3 0% 57
Makalani Holdings MKL 28 -0.28 0.13 9.0 8.2 17% 88
Real Africa Holdings RAH 60 0.10 0.33 33.4 33.6 0% 80
FOOD PRODUCERS
Afgri Ltd AFR 60 0.70 0.24 26.8 25.1 14% 100
Oceana Group OCE 60 0.29 0.24 24.7 24.5 2% 86
GENERAL FINANCIAL
Brait Sa BAT 60 1.31 0.21 29.0 21.9 42% 96
Cadiz Holdings CDZ 60 0.79 0.22 25.8 22.9 20% 93
Coronation Fund Managers CML 51 1.08 0.32 30.3 27.0 20% 99
Zeder Investments ZED 10 -0.09 0.64 17.3 17.1 4% 100
GENERAL INDUSTRIALS
Astrapak Ltd APK 60 0.88 0.25 28.8 26.3 18% 88
Argent Industrial ART 60 0.69 0.27 30.7 28.9 11% 97
Kap International Ltd KAP 60 0.95 0.74 74.9 77.0 5% 67
GENERAL RETAILERS
Advtech ADH 60 0.53 0.25 27.8 26.7 6% 93
Combined Motor Hldgs Ltd CMH 60 0.87 0.31 33.3 31.5 13% 65
Cashbuild Ltd CSB 60 0.61 0.33 35.2 34.6 6% 94
Tiger Automotive TAL 9 0.54 1.43 29.2 29.2 1% 94
INDUSTRIAL ENGINEERING
Bell Equipment BEL 60 0.12 0.36 38.1 38.0 0% 84
Hudaco Industries HDC 60 0.69 0.21 24.4 22.2 16% 86
Invicta Holdings IVT 60 0.74 0.23 26.8 25.7 14% 70
LEISURE GOODS
Amalgamated Appliance Holding AMA 60 1.15 0.28 34.0 29.3 24% 94
MEDIA
Kagiso Media Ltd KGM 60 0.41 0.24 26.3 24.8 6% 67
PHARMACEUTICALS & BIOTECHNOLOGY
Enaleni Pharmaceuticals ENL 27 0.94 1.34 84.6 81.9 5% 100
REAL ESTATE
Acucap Properties Limited ACP 60 0.40 0.17 18.7 17.7 9% 82
Capital Property Fund CPL 60 0.58 0.23 25.2 23.7 10% 88
Ifour Properties IFR 60 0.48 0.21 22.8 22.0 8% 88
Madison Property Fund Managers MDN 15 1.10 0.77 29.3 25.1 24% 99
Octodec Investments OCT 60 0.50 0.24 26.4 25.6 7% 74
Premium Properties PMM 60 0.78 0.25 29.6 26.6 16% 64
Resilient Prop Inc Fd RES 57 0.47 0.21 21.7 20.6 9% 92
Sycom Property Fund SYC 60 0.42 0.14 15.5 14.4 14% 97
Vukile Property Fund VKE 39 0.92 0.28 24.2 20.8 26% 90
SOFTWARE & COMPUTER SERVICES
Business Connexion Group BCX 40 0.63 0.39 31.5 30.2 7% 93
Bytes Technology Group BTG 60 0.91 0.24 28.1 24.9 22% 99
SUPPORT SERVICES
Adcorp Holdings ADR 60 0.60 0.21 23.4 22.0 11% 87
Iliad Africa ILA 60 0.86 0.27 31.1 28.8 16% 94
PAGE 24
TABLE 2.2 – CONTINUED
MARKET PROXY: FTSE/JSE FINANCIAL AND INDUSTRIAL INDEX (J250)
Security Code No. of Beta Std error Annualised Annualised R2 % DaysMonths (β) Total Risk Unique Risk Traded
TRAVEL & LEISURE
City Lodge Hotels CLH 60 0.59 0.18 20.9 19.2 15% 94
Famous Brands FBR 60 1.16 0.32 38.3 34.1 20% 86
Phumelela Gaming & Leisure PHM 60 0.64 0.40 43.4 42.2 5% 89
Tourism Investment Corp TRT 60 0.57 0.22 24.3 23.0 11% 98
J204 FLEDGING
AUTOMOBILES & PARTS
Dorbyl DLV 60 0.63 0.28 31.0 29.5 8% 74
BANKS
Mercantile Bank Holdings MTL 60 0.64 0.54 56.3 56.0 2% 94
CONSTRUCTION & MATERIALS
Ag Industries AGI 60 0.80 0.29 32.6 30.2 12% 89
Buildmax. BDM 60 1.17 1.10 123.6 117.9 4% 51
Basil Read Holdings BSR 60 1.23 0.55 59.9 57.0 10% 88
Elb Group ELR 60 0.54 0.32 35.7 35.0 4% 55
Masonite Africa MAS 60 0.42 0.31 37.4 36.2 4% 21
ELECTRONIC & ELECTRICAL EQUIPMENT
Amalgamated Electronics Corp AER 25 0.88 0.82 44.8 42.4 7% 70
Control Instruments Group CNL 60 0.93 0.31 35.0 32.0 15% 79
Digicore Holdings DGC 60 0.81 0.34 37.1 35.7 11% 93
Jasco Electronics Holdings JSC 60 0.51 0.39 40.4 39.9 3% 91
Set Point Technology Holdings STO 60 0.96 0.39 42.7 40.2 11% 75
EQUITY INVESTMENT INSTRUMENTS
Cape Empowerment Trust CAE 53 -0.30 0.84 116.1 93.0 4% 37
Eureka Industrial EUR 38 0.24 0.51 56.9 47.1 0% 5
Purple Capital PPE 60 1.12 0.67 75.3 72.6 6% 75
Sabvest SBV 50 -0.62 0.55 63.1 59.6 3% 9
Sabvest Lmt N SVN 60 -0.04 0.45 53.8 53.1 1% 14
Trematon Capital Investments TMT 60 0.66 0.56 58.5 57.4 3% 57
FOOD PRODUCERS
Crookes Brothers CKS 60 0.46 0.29 30.2 29.4 4% 40
Intertrading ITR 60 0.20 0.51 55.0 56.5 0% 31
Sovereign Food Investments SOV 60 0.96 0.38 42.2 39.0 10% 52
GENERAL FINANCIAL
Barnard Jacobs Mellet Holdings BJM 60 0.83 0.26 28.9 26.1 16% 75
Conduit Capital CND 60 0.21 0.83 87.4 88.9 0% 60
Decillion Ltd DEC 60 0.07 0.65 72.5 68.3 0% 50
Enterprise Risk Management Ltd ERM 60 -0.05 0.39 42.0 41.5 1% 82
London Finance And Investment Group LNF 56 0.48 0.34 42.7 40.1 2% 10
New Corpcapital Ltd. NCA 27 0.08 0.62 38.0 37.8 0% 78
Sasfin Holdings SFN 60 0.95 0.31 35.9 33.1 15% 86
Wooltru N WLN 60 0.27 0.40 41.4 42.1 0% 65
Wooltru WLO 60 0.25 0.42 43.9 43.7 0% 76
GENERAL INDUSTRIALS
Bowler Metcalf BCF 60 0.08 0.16 16.5 16.5 0% 84
Sekunjalo Investments SKJ 60 1.01 0.50 53.6 52.1 8% 66
Transpaco TPC 60 -0.32 0.37 35.8 36.7 2% 40
GENERAL RETAILERSRex Trueform Clothing Sco RTN 60 0.27 0.30 39.3 36.4 1% 18
Tradehold TDH 60 1.30 0.39 46.9 42.4 18% 65
Verimark Holdings VMK 26 0.47 0.72 41.7 41.5 1% 97
INDUSTRIAL ENGINEERING
Howden Africa Holdings HWN 60 0.00 0.42 43.1 43.0 0% 51
Kairos Industrial Holdings KIR 60 1.30 1.37 152.1 147.6 6% 53
Venter Leisure & Com Trailer VTL 60 0.03 0.80 99.4 90.2 1% 17
INDUSTRIAL TRANSPORTATION
Cargo Carriers CRG 60 -0.37 0.34 35.0 34.7 3% 32
Value Group VLE 60 0.95 0.42 48.2 44.7 10% 92
LEISURE GOODS
Nu-World Holdings NWL 60 1.18 0.30 36.3 31.6 23% 85
PAGE 25
TABLE 2.2 – CONTINUED
MARKET PROXY: FTSE/JSE FINANCIAL AND INDUSTRIAL INDEX (J250)
Security Code No. of Beta Std error Annualised Annualised R2 % DaysMonths (β) Total Risk Unique Risk Traded
MEDIAAfrican Media Entertainment AME 60 0.55 0.87 90.4 91.0 0% 70
NONLIFE INSURANCEGlenrand Mib GMB 60 0.48 0.26 28.5 27.6 6% 99
PERSONAL GOODSHouse Of Busby/The BSB 60 0.96 0.28 32.2 29.5 15% 63
Pals Holdings PAL 60 0.40 0.64 77.7 72.6 1% 22
Seardel Investment Corp SER 60 0.75 0.40 43.2 41.6 6% 37
Seardel Investment Corp N SRN 60 0.77 0.31 33.8 33.3 10% 56
REAL ESTATEAmbit Properties ABT 43 0.62 0.28 23.3 22.0 11% 96
Diversified Property Fund DIV 23 0.80 0.30 18.6 15.9 28% 74
Fairvest Property Hldgs FVT 31 1.35 1.09 82.7 78.7 12% 48
Hospitality Property A HPA 19 0.66 0.27 15.2 12.8 28% 77
Hospitality Property B HPB 19 1.06 0.60 30.4 27.1 22% 95
Monyetla Property Fund MYT 29 -0.17 0.59 61.4 41.7 7% 16
Orion Real Estate Ltd. ORE 21 0.20 1.59 97.3 76.6 0% 16
Putprop Ltd PPR 60 -0.07 0.25 26.6 26.9 0% 36
Sable Holdings SBL 60 0.23 0.36 40.7 43.4 0% 12
Siyathenga Property Fund Ltd SYA 25 0.80 0.56 33.4 32.0 10% 88
SOFTWARE & COMPUTER SERVICESCompu Clearing Outs Ltd CCL 60 0.77 0.39 47.0 45.0 6% 32
Datacentrix Holdings DCT 60 0.38 0.33 35.2 35.2 2% 75
Eoh Holdings Ltd. EOH 60 0.61 0.26 27.8 26.5 9% 71
Faritec Holdings FRT 60 0.14 0.50 52.1 54.4 0% 66
Gijima Ast Group GIJ 60 1.68 0.58 67.2 60.9 18% 100
Infowave Holdings IFW 60 0.62 0.54 55.1 54.7 1% 38
Paracon Holdings PCN 60 0.63 0.33 36.4 35.0 6% 81
Securedata Holdings SDH 60 0.79 0.35 37.9 36.9 8% 58
Spescom SPS 60 0.98 0.62 68.2 65.6 6% 94
Square One Solutions Group SQE 37 0.76 1.88 81.4 141.8 0% 8
Ucs Group UCS 60 0.53 0.35 36.2 35.9 4% 83
SUPPORT SERVICESCommand Holdings CMA 60 0.42 1.29 125.2 126.0 1% 42
Enviroserv Holdings ENV 60 0.56 0.25 26.9 25.9 8% 74
Excellerate Hldgs EXL 60 0.69 0.67 69.0 67.7 2% 44
Metrofile Holdings MFL 40 0.30 1.64 126.2 127.3 0% 85
Micromega Holdings MMG 60 1.14 1.01 106.7 103.4 4% 57
Marshall Monteagle Holding MTE 53 0.44 0.52 59.0 56.9 1% 12
Primeserv Group PMV 60 0.26 0.42 45.7 45.1 2% 50
TECHNOLOGY HARDWARE & EQUIPMENTMustek MST 60 0.57 0.24 26.5 25.5 9% 98
Pinnacle Technology Holdings PNC 60 1.70 0.93 107.9 97.1 12% 82
TRAVEL & LEISUREComair COM 60 1.09 0.40 45.6 42.4 13% 88
Cullinan Holdings CUL 60 0.76 0.41 43.2 41.7 6% 80
Don Group DON 60 -0.22 0.77 82.3 81.3 1% 88
Ifa Hotels And Resorts IFH 19 0.87 1.03 46.3 48.4 8% 48
King Consolidated Holdings KNG 60 0.78 1.16 116.8 123.0 1% 53
Spur Corp SUR 60 0.47 0.17 19.2 17.9 12% 89
J230 DEVELOPMENT CAPITAL
ELECTRONIC & ELECTRICAL EQUIPMENTStella Vista Technologies SLL 60 1.24 1.72 177.0 184.4 3% 27
TECHNOLOGY HARDWARE & EQUIPMENTDynamic Cables Rsa DYM 24 1.07 1.55 91.5 90.0 8% 22
J231 VENTURE CAPTIAL
CONSTRUCTION & MATERIALSAbsolute Holdings ABO 37 0.21 1.76 132.2 133.8 1% 76
INDUSTRIAL ENGINEERINGJohn Daniel Holdings JDH 54 0.05 1.02 91.6 91.0 0% 43
PAGE 26
TABLE 2.2 – CONTINUED
MARKET PROXY: FTSE/JSE FINANCIAL AND INDUSTRIAL INDEX (J250)
Security Code No. of Beta Std error Annualised Annualised R2 % DaysMonths (β) Total Risk Unique Risk Traded
MININGSa Mineral Resources Corp. SAM 60 0.71 1.93 193.1 192.4 0% 46
SOFTWARE & COMPUTER SERVICESBeget Holdings BEE 57 0.24 1.36 137.8 134.2 0% 56
SUPPORT SERVICESLabat Africa LAB 60 0.13 0.91 95.8 96.8 0% 53
J232 ALTX
CONSTRUCTION & MATERIALSEsor ESR 18 0.86 1.44 63.6 61.8 6% 100Sanyati Holdings SAN 16 0.69 1.19 43.4 42.3 4% 100Safic Holdings SIC 10 0.46 1.49 40.5 42.1 1% 76W G Wearne WEA 19 0.58 0.98 44.4 44.3 2% 100
ELECTRONIC & ELECTRICAL EQUIPMENTZaptronix ZPT 60 0.81 1.73 177.1 174.5 1% 57
FOOD PRODUCERSMilkworx Ltd MKX 36 0.57 1.57 122.1 120.8 0% 85
GENERAL FINANCIALBlue Financial Services BFS 11 -1.25 0.74 30.9 20.6 56% 100General RetailersAfrican Dawn Capital ADW 60 0.54 1.13 111.5 111.0 0% 56
HEALTH CARE EQUIPMENT & SERVICESMyriad Medical Holdings MYD 11 0.07 0.65 18.4 18.5 1% 94
INDUSTRIAL ENGINEERINGPsv Holdings Ltd. PSV 17 0.66 0.85 37.6 36.1 5% 86
INDUSTRIAL METALSAfrica Cellular Towers ATR 10 0.45 1.59 42.1 42.4 0% 100
INDUSTRIAL TRANSPORTATIONSantova Logistics SNV 7 0.89 1.60 31.7 28.5 22% 95
MEDIAMoneyweb Holdings MNY 60 -0.33 0.47 51.2 50.5 2% 43
MININGChrometco CMO 25 1.48 1.13 69.9 63.1 19% 66Wescoal Holdings WSL 26 0.68 0.94 58.8 58.6 3% 76
PERSONAL GOODSBeige Holdings BEG 60 0.29 0.57 60.3 60.5 0% 96
PHARMACEUTICALS & BIOTECHNOLOGYImuniti Holdings IMU 9 -0.09 1.71 41.6 37.0 23% 84
REAL ESTATEAcc-Ross Holdings ACC 19 0.80 1.72 77.5 77.3 3% 100Oasis Crescent Property Fund OAS 22 0.10 0.38 24.3 24.3 0% 31
SOFTWARE & COMPUTER SERVICESAlliance Data Corp ACD 30 0.62 0.89 58.4 60.4 4% 43Simeka Bsg SBG 37 0.44 0.62 47.0 45.5 2% 92Silverbridge Holdings SVB 57 -0.13 1.47 165.8 159.9 2% 14
SUPPORT SERVICESDialogue Group Holdings DLG 12 1.42 1.32 48.4 39.3 35% 96Rare Holding RAR 7 0.09 1.27 23.6 22.3 9% 90Sab&T Ubuntu Holdings SUL 10 0.27 1.74 46.0 48.3 1% 69
TECHNOLOGY HARDWARE & EQUIPMENTFoneworx Holdings FWX 39 0.20 1.95 132.7 137.7 0% 21
TRAVEL & LEISUREGooderson Leisure Corp GDN 12 -0.27 0.55 18.5 18.2 7% 63Taste Holdings TAS 15 1.38 1.12 45.7 37.9 28% 79
OTHER
BEVERAGESDistell Group Limited DST 60 0.75 0.23 26.6 23.9 17% 86Kwv Beleggings Beperk KWV 60 0.48 0.22 24.5 23.2 8% 70
ELECTRONIC & ELECTRICAL EQUIPMENTSouth Ocean Holdings Ltd SOH 7 0.17 1.07 19.7 19.2 3% 99
PAGE 27
TABLE 2.2 – CONTINUED
MARKET PROXY: FTSE/JSE FINANCIAL AND INDUSTRIAL INDEX (J250)
Security Code No. of Beta Std error Annualised Annualised R2 % DaysMonths (β) Total Risk Unique Risk Traded
EQUITY INVESTMENT INSTRUMENTSBrimstone Investment Corporation Ld BRT 60 0.51 0.44 45.1 45.5 1% 32Hosken Consolidated Investments Ldt HCI 36 0.36 0.74 54.8 55.8 0% 59
FOOD & DRUG RETAILERSPick N Pay Holdings Limited PWK 60 0.74 0.13 17.2 13.5 38% 100
FOOD PRODUCERSAfrocentric Investment Corp Limited ACTP 11 1.65 1.46 85.6 64.2 47% 26
FORESTRY & PAPERThe York Timber Organisation Ld YRK 60 -0.36 0.51 59.7 57.7 3% 27
GENERAL RETAILERSAfrican And Overseas Enterprises Ltd AON 58 0.37 0.31 39.3 36.9 3% 12African And Overseas Enterprises Ltd AOO 39 -0.37 0.43 30.8 43.4 7% 4Italtile Limited ITE 60 0.48 0.22 24.7 23.5 8% 57Rex Trueform Clothing Company Ltd RTO 54 0.18 0.33 36.9 34.4 1% 10
INDUSTRIAL METALSZambia Copper Investments Limited ZCI 60 0.81 0.71 101.0 81.9 5% 35
LIFE INSURANCEClientele Life Assurance. CLE 60 0.32 0.26 27.2 26.2 3% 50Liberty Holdings Limited LBH 60 0.90 0.14 19.3 14.4 44% 99
MININGAnglo Platinum Limited AMSP 40 0.05 0.34 25.9 25.9 0% 89Aquarius Platinum Limited AQP 33 0.14 0.67 47.1 46.8 1% 86Assore Limited ASR 60 0.14 0.35 35.7 36.0 1% 40Great Basin Gold Limited GBG 11 0.34 1.91 53.4 54.1 1% 87Matodzi Resources Limited MTZ 60 0.04 0.55 58.5 58.5 0% 83Simmer And Jack Mines Limited SIM 60 0.29 1.30 141.9 137.4 0% 59Tawana Resources Nl TAW 22 0.61 1.56 93.1 91.3 0% 43Uranium One Inc UUU 21 1.34 0.90 49.7 44.3 20% 98
MOBILE TELECOMMUNICATIONSTelemasters Holdings Limited TLM 6 0.64 1.88 35.5 34.4 6% 70
NONLIFE INSURANCEMutual & Federal Insurance Comp Ld MAF 60 0.85 0.20 24.7 21.5 24% 87Zurich Insurance Co Sa ZSA 60 0.52 0.30 33.0 33.3 5% 19
OIL & GAS PRODUCERSOando Plc OAO 22 -0.39 1.08 69.7 67.7 9% 49
REAL ESTATEJohnnic Holdings Limited JNC 30 0.30 0.38 25.1 24.9 2% 97S&J Land Holdings Limited SJL 60 -0.32 0.76 85.1 92.0 1% 16
SOFTWARE & COMPUTER SERVICESIfca Technologies Ltd IFC 8 -0.34 0.95 29.5 26.0 27% 21
SUPPORT SERVICESMvelaphanda Group Limited MVGP 22 0.57 0.22 13.4 11.5 26% 66Workforce Limited WKF 10 0.64 0.88 26.4 26.7 6% 53Winhold Limited WNH 60 0.41 0.39 42.4 40.9 2% 77
FTSE/JSE RESOURCE-20 INDEX (J210) AS MARKET PROXY
TABLE 3.1 – FTSE/JSE INDICES VS RESOURCES INDEX
MARKET PROXY: FTSE/JSE RESOURCE-20 INDEX (J210)
Index Code No. of Beta Std error Annualised Annualised R2
Months (β) Total Risk Unique Risk
HEADLINE INDICESJSE All Share Index J203 60 0.55 0.04 15.5 7.5 76%JSE Top 40 Index J200 60 0.60 0.04 16.3 7.1 81%JSE Mid Cap Index J201 60 0.23 0.07 14.2 12.9 16%JSE Small Cap Index J202 60 0.20 0.07 13.7 12.7 14%JSE Fledgling Index J204 60 0.16 0.06 12.2 11.5 11%JSE Resource 20 Index J210 60 1.00 0.00 24.3 0.0 100%JSE Industrial 25 Index J211 60 0.31 0.07 15.6 13.6 24%JSE Financial 15 Index J212 60 0.18 0.08 15.1 14.4 9%JSE Financial and Industrial 30 Index J213 60 0.26 0.07 14.8 13.4 18%
SECONDARY MARKETSJSE Development Capital Index J230 60 0.30 0.25 44.9 44.6 2%JSE Venture Capital Index J231 60 0.10 0.27 50.2 50.0 0%JSE Alt X Index J232 17 0.03 0.37 22.1 22.1 0%
SPECIALIST INDICESJSE JSE SRI Index J100 40 0.57 0.05 14.2 6.2 81%JSE SA Financials and Industrials Index J250 60 0.24 0.07 14.2 12.8 17%JSE SA Listed Property Index J253 60 0.05 0.09 16.4 16.2 1%JSE Capped Property Index J254 60 0.10 0.08 14.0 13.7 3%JSE Property Unit Trust Index J255 60 0.07 0.10 17.7 17.5 1%JSE Property Loan Stock Index J256 60 0.04 0.09 16.3 16.2 1%JSE SA Industrials Index J257 60 0.29 0.07 14.8 13.0 23%JSE SA Hulpbronne Index J258 60 1.00 0.00 24.3 0.1 100%JSE Dividend+ Index J259 60 0.27 0.07 14.6 13.0 20%
CAPPED INDICESJSE Capped Top 40 Index J300 60 0.56 0.04 15.9 7.9 75%JSE Capped All Share Index J303 60 0.53 0.04 15.2 8.0 72%
STYLE INDICESJSE Value Index J330 60 0.46 0.05 14.9 9.7 58%JSE Growth Index J331 60 0.64 0.04 17.2 6.9 84%
SHAREHOLDER WEIGHTED INDICESJSE Shareholder Weighted Top 40 Index J400 60 0.49 0.05 15.2 9.5 61%JSE Shareholder Weighted All Share Index J403 60 0.44 0.05 14.5 9.7 54%
INDUSTRY INDICESJSE Oil & Gas Index J500 20 0.86 0.21 22.0 15.5 52%JSE Basic Materials Index J510 60 0.52 0.08 18.6 13.7 47%JSE Industrials Index J520 60 0.23 0.09 16.7 15.6 11%JSE Consumer Goods Index J530 60 0.47 0.10 21.5 18.2 28%JSE Health Care Index J540 60 0.34 0.09 18.6 16.5 21%JSE Consumer Services Index J550 60 0.15 0.09 17.4 16.9 5%JSE Telecommunication Index J560 60 0.04 0.13 24.3 24.2 0%JSE Financials Index J580 60 0.18 0.08 14.5 13.8 9%JSE Technology Index J590 60 0.61 0.15 30.3 26.4 24%
SECTOR INDICESJSE Construction & Materials Index J235 60 0.21 0.11 20.6 19.9 6%JSE General Industrials Index J272 60 0.28 0.10 18.7 17.4 14%JSE Electronic & Electrical Equipment IndexJ273 60 0.14 0.10 18.1 17.7 3%JSE Industrial Engineering Index J275 60 0.12 0.11 20.5 20.3 2%JSE Industrial Transportation Index J277 60 0.20 0.09 17.8 17.0 8%JSE Support Services Index J279 60 0.12 0.09 16.8 16.4 3%JSE Automobiles & Parts Index J335 60 0.20 0.12 23.1 22.5 5%JSE Beverages Index J353 60 0.28 0.09 17.9 16.6 15%JSE Food Producers Index J357 60 0.29 0.08 16.6 14.9 19%JSE Household Goods Index J372 20 -0.29 0.36 26.8 26.6 4%JSE Leisure Goods Index J374 60 0.39 0.15 28.5 26.8 11%JSE Personal Goods Index J376 20 0.34 0.21 16.3 15.2 15%JSE Health Care Equipment & Services IndexJ453 60 0.19 0.11 20.2 19.7 5%JSE Pharmaceuticals & Biotechnology IndexJ457 60 0.19 0.15 26.9 26.6 3%JSE Food & Drug Retailers Index J533 60 0.12 0.10 17.6 17.4 2%
PAGE 28
PAGE 29
JSE General Retailers Index J537 60 0.10 0.12 22.6 22.4 1%JSE Media Index J555 60 0.22 0.12 22.5 21.8 6%JSE Travel & Leisure Index J575 60 0.11 0.09 17.0 16.9 2%JSE Fixed Line Telecommunications Index J653 60 -0.03 0.16 28.5 28.4 0%JSE Mobile Telecommunications Index J657 20 -0.13 0.31 22.5 22.5 1%JSE Banks Index J835 60 0.10 0.10 18.4 18.2 2%JSE Nonlife Insurance Index J853 60 0.29 0.09 17.4 15.7 17%JSE Life Insurance Index J857 60 0.19 0.10 18.8 18.1 6%JSE Real Estate Index J873 60 0.28 0.07 14.9 13.2 21%JSE General Financial Index J877 60 0.21 0.10 19.8 19.1 7%JSE Equity Investment Instruments Index J898 60 0.22 0.08 15.4 14.3 12%JSE Software & Computer Services Index J953 60 0.64 0.16 33.4 29.4 22%JSE Oil & Gas Producers Index J055 60 0.85 0.10 27.9 18.9 54%JSE Chemicals Index J135 60 0.20 0.08 15.4 14.5 10%
SUB SECTOR INDICESJSE Gold Mining Index J150 60 1.23 0.13 37.9 23.2 63%JSE Diamond Mining Index J152 60 0.50 0.18 34.4 32.2 12%JSE Platinum Mining Index J153 60 1.04 0.11 32.1 19.9 62%JSE General Mining Index J154 60 0.96 0.04 24.5 7.8 90%
SECTOR INDICESJSE Forestry & Paper Index J173 60 0.45 0.14 28.4 26.1 15%JSE Industrial Metals Index J175 60 0.73 0.16 34.3 29.4 27%JSE Mining Index J177 60 1.02 0.02 24.8 2.8 99%
TABLE 3.1 – CONTINUED
MARKET PROXY: FTSE/JSE RESOURCE-20 INDEX (J210)
Index Code No. of Beta Std error Annualised Annualised R2
Months (β) Total Risk Unique Risk
PAGE 30
TABLE 3.2 – RESOURCE STOCKS VS RESOURCE-20 INDEX
MARKET PROXY: FTSE/JSE RESOURCE-20 INDEX (J210)
Security Code No. of Beta Std error Annualised Annualised R2 % DaysMonths (β) Total Risk Unique Risk Traded
J200 LARGE CAPS
FORESTRY & PAPERMondi Ltd MND 60 0.46 0.14 28.2 26.0 15% 100Sappi SAP 60 0.46 0.14 28.2 26.0 15% 100
INDUSTRIAL METALSMittal Steel South Africa MLA 60 0.77 0.17 36.7 31.4 27% 100
MININGAnglo American AGL 60 0.96 0.06 25.8 10.5 84% 100Anglo Platinum AMS 60 1.21 0.13 37.8 22.8 64% 100Anglogold Ashanti ANG 60 0.90 0.14 33.8 25.7 43% 100African Rainbow Minerals Ltd. ARI 60 0.93 0.15 35.1 26.8 43% 99Bhp Billiton BIL 60 0.94 0.09 27.8 15.9 68% 100Exxaro Resources EXX 60 1.00 0.22 46.7 39.3 30% 93Gold Fields GFI 60 1.18 0.14 47.2 40.3 27% 92Harmony HAR 60 1.68 0.19 56.3 35.2 61% 100Impala Platinum Hlds IMP 60 0.91 0.13 31.9 22.7 50% 100Kumba Iron Ore KIO 10 0.87 0.55 30.7 23.4 42% 100Lonmin Plc LON 60 1.03 0.13 34.7 23.6 53% 90
OIL & GAS PRODUCERSSasol SOL 60 0.85 0.11 28.4 19.2 55% 100
J201 MID CAPS
CHEMICALSAeci AFE 60 0.26 0.11 21.4 20.7 8% 100African Oxygen AFX 60 0.21 0.10 19.5 18.8 7% 100
INDUSTRIAL METALSHighveld Steel HVL 60 0.51 0.23 42.9 41.1 7% 94
MININGEland Platinum Holdings ELD 18 0.57 1.18 73.6 73.5 1% 99Metorex Ltd MTX 60 0.50 0.18 34.3 32.5 11% 93Mvelaphanda Resources Ltd MVL 60 0.90 0.17 38.8 31.5 34% 98Northam Platinum NHM 60 0.74 0.18 37.6 32.7 24% 100Wesizwe Platinum WEZ 21 0.52 1.25 98.5 98.0 0% 100
J202 SMALL CAPS
CHEMICALSOmnia Holdings Ltd OMN 60 0.15 0.14 26.6 26.3 1% 96
INDUSTRIAL METALSPalabora Mining PAM 60 0.38 0.28 51.1 50.1 2% 84
MININGAflease Gold AFO 60 0.61 0.56 104.5 103.6 2% 78Drd Gold DRD 60 1.16 0.28 59.6 50.7 28% 100Merafe Resources MRF 60 0.92 0.21 45.6 39.1 27% 100Scharrig Mining Ltd SCN 60 0.19 0.20 35.8 35.8 1% 72Trans Hex Group TSX 60 0.51 0.18 34.4 32.2 12% 100Witwatersrand Cons Gold Resources WGR 17 0.92 0.87 59.1 53.1 21% 89
J204 FLEDGING
CHEMICALSSpanjaard SPA 46 -0.29 0.30 51.1 44.9 7% 9
INDUSTRIAL METALSMetmar MML 16 0.20 0.66 39.5 38.8 3% 97
MININGDiamond Core Resources DMR 42 0.47 0.78 110.0 107.6 0% 59Halogen Holdings Sa HAL 6 0.36 0.55 19.9 15.0 0% 1Hwange Colliery Co. Ltd. HWA 54 0.83 0.64 117.1 105.6 5% 11Miranda Mineral Holdings Ltd. MMH 21 0.61 0.85 67.3 66.4 3% 94Petmin Ltd. PET 60 0.61 0.39 65.9 65.9 4% 61Sallies SAL 60 0.46 0.33 60.3 58.8 3% 79Thabex Exploration TBX 60 -0.23 0.42 74.9 75.7 5% 31Village Main Reef Gold Mng VIL 60 0.72 0.76 136.6 131.6 2% 23
PAGE 31
FTSE/JSE TOP40 (J200) AS MARKET PROXY
TABLE 4.1 – FTSE/JSE INDICES VS TOP40
MARKET PROXY: FTSE/JSE TOP40 (J200)
Index Code No. of Beta Std error Annualised Annualised R2
Months (β) Total Risk Unique Risk
HEADLINE INDICESJSE All Share Index J203 60 0.94 0.01 15.5 1.4 99%JSE Top 40 Index J200 60 1.00 0.00 16.3 0.0 100%JSE Mid Cap Index J201 60 0.58 0.09 14.2 10.5 45%JSE Small Cap Index J202 60 0.49 0.09 13.7 11.1 34%JSE Fledgling Index J204 60 0.40 0.08 12.2 10.2 29%JSE Resource 20 Index J210 60 1.35 0.09 24.3 10.6 81%JSE Industrial 25 Index J211 60 0.77 0.08 15.6 9.2 65%JSE Financial 15 Index J212 60 0.61 0.09 15.1 11.3 44%JSE Financial and Industrial 30 Index J213 60 0.70 0.08 14.8 9.4 59%
SECONDARY MARKETSJSE Development Capital Index J230 60 0.52 0.36 44.9 44.4 3%JSE Venture Capital Index J231 60 0.23 0.41 50.2 49.9 1%JSE Alt X Index J232 17 0.47 0.68 22.1 21.7 3%
SPECIALIST INDICESJSE JSE SRI Index J100 40 1.01 0.01 14.2 1.2 99%JSE SA Financials and Industrials Index J250 60 0.66 0.07 14.2 9.1 58%JSE SA Listed Property Index J253 60 0.24 0.13 16.4 15.8 6%JSE Capped Property Index J254 60 0.29 0.11 14.0 13.1 12%JSE Property Unit Trust Index J255 60 0.30 0.14 17.7 16.9 8%JSE Property Loan Stock Index J256 60 0.21 0.13 16.3 15.8 5%JSE SA Industrials Index J257 60 0.72 0.07 14.8 9.0 63%JSE SA Hulpbronne Index J258 60 1.34 0.09 24.3 10.6 81%JSE Dividend+ Index J259 60 0.66 0.08 14.6 9.8 55%
CAPPED INDICESJSE Capped Top 40 Index J300 60 0.97 0.01 15.9 1.5 99%JSE Capped All Share Index J303 60 0.92 0.02 15.2 2.0 98%
STYLE INDICESJSE Value Index J330 60 0.86 0.04 14.9 5.0 89%SE Growth Index J331 60 1.03 0.03 17.2 3.7 95%
SHAREHOLDER WEIGHTED INDICESJSE Shareholder Weighted Top 40 Index J400 60 0.90 0.03 15.2 3.7 94%JSE Shareholder Weighted All Share Index J403 60 0.84 0.04 14.5 4.6 90%
INDUSTRY INDICESJSE Oil & Gas Index J500 20 1.51 0.37 22.0 15.6 51%JSE Basic Materials Index J510 60 0.82 0.11 18.6 13.1 51%JSE Industrials Index J520 60 0.65 0.11 16.7 12.8 41%JSE Consumer Goods Index J530 60 0.99 0.12 21.5 14.2 56%JSE Health Care Index J540 60 0.74 0.12 18.6 14.1 42%JSE Consumer Services Index J550 60 0.58 0.12 17.4 14.4 30%JSE Telecommunication Index J560 60 0.48 0.19 24.3 22.9 10%JSE Financials Index J580 60 0.58 0.09 14.5 10.8 44%JSE Technology Index J590 60 1.18 0.19 30.3 23.4 41%
SECTOR INDICESJSE Construction & Materials Index J235 60 0.53 0.15 20.6 18.6 18%JSE General Industrials Index J272 60 0.75 0.12 18.7 14.2 42%JSE Electronic & Electrical Equipment Index J273 60 0.44 0.14 18.1 16.5 16%JSE Industrial Engineering Index J275 60 0.32 0.16 20.5 19.8 6%JSE Industrial Transportation Index J277 60 0.55 0.13 17.8 15.2 26%JSE Support Services Index J279 60 0.48 0.12 16.8 14.8 22%JSE Automobiles & Parts Index J335 60 0.52 0.18 23.1 21.4 14%JSE Beverages Index J353 60 0.60 0.12 17.9 15.0 30%JSE Food Producers Index J357 60 0.67 0.10 16.6 12.3 45%JSE Household Goods Index J372 20 0.46 0.63 26.8 26.7 3%JSE Leisure Goods Index J374 60 0.99 0.19 28.5 23.4 32%JSE Personal Goods Index J376 20 1.01 0.30 16.3 12.5 43%JSE Health Care Equipment & Services Index J453 60 0.48 0.15 20.2 18.7 15%JSE Pharmaceuticals & Biotechnology Index J457 60 0.49 0.21 26.9 25.8 9%
PAGE 32
TABLE 4.1 –CONTINUED
MARKET PROXY: FTSE/JSE TOP40 (J200)
Index Code No. of Beta Std error Annualised Annualised R2
Months (β) Total Risk Unique Risk
JSE Food & Drug Retailers Index J533 60 0.40 0.13 17.6 16.3 14%JSE General Retailers Index J537 60 0.61 0.17 22.6 20.3 19%JSE Media Index J555 60 0.71 0.16 22.5 19.3 27%JSE Travel & Leisure Index J575 60 0.34 0.13 17.0 16.1 11%JSE Fixed Line Telecommunications Index J653 60 0.34 0.23 28.5 27.9 4%JSE Mobile Telecommunications Index J657 20 0.83 0.50 22.5 20.9 15%JSE Banks Index J835 60 0.55 0.13 18.4 16.0 24%JSE Nonlife Insurance Index J853 60 0.61 0.12 17.4 14.0 34%JSE Life Insurance Index J857 60 0.61 0.13 18.8 15.9 28%JSE Real Estate Index J873 60 0.54 0.10 14.9 12.0 35%JSE General Financial Index J877 60 0.67 0.14 19.8 16.4 31%JSE Equity Investment Instruments Index J898 60 0.54 0.10 15.4 12.6 33%JSE Software & Computer Services Index J953 60 1.27 0.21 33.4 26.0 39%JSE Oil & Gas Producers Index J055 60 1.23 0.16 27.9 19.5 52%JSE Chemicals Index J135 60 0.41 0.11 15.4 13.8 20%
SUB SECTOR INDICESJSE Gold Mining Index J150 60 1.57 0.23 37.9 28.1 45%JSE Diamond Mining Index J152 60 0.96 0.25 34.4 30.7 21%JSE Platinum Mining Index J153 60 1.43 0.18 32.1 22.2 53%JSE General Mining Index J154 60 1.29 0.10 24.5 12.7 74%
SECTOR INDICESJSE Forestry & Paper Index J173 60 0.79 0.21 28.4 25.2 21%JSE Industrial Metals Index J175 60 1.28 0.22 34.3 27.4 37%JSE Mining Index J177 60 1.35 0.09 24.8 11.5 79%
PAGE 33
TABLE 4.2 – ALL STOCKS VS TOP40
MARKET PROXY: FTSE/JSE TOP40 (J200)
Security Code No. of Beta Std error Annualised Annualised R2 % DaysMonths (β) Total Risk Unique Risk Traded
J200 LARGE CAPS
BANKSAbsa Group ASA 60 0.56 0.30 47.2 40.4 27% 92Firstrand Limited FSR 60 0.61 0.15 21.4 18.9 22% 100Nedbank Group. NED 60 0.35 0.19 24.0 23.5 5% 100Rmb Holdings RMH 60 0.61 0.15 20.5 18.0 23% 100Standard Bank Group SBK 60 0.55 0.13 18.5 16.1 24% 100
BEVERAGESSabmiller SAB 60 0.62 0.13 18.2 15.3 30% 100
CONSTRUCTION & MATERIALSMurray & Roberts MUR 60 0.59 0.25 31.5 29.9 9% 100Pretoria Portland Cement PPC 60 0.41 0.20 25.1 24.3 6% 99
FIXED LINE TELECOMMUNICATIONSTelkom TKG 54 -0.02 0.24 26.2 26.3 1% 100
FOOD PRODUCERSTiger Brands TBS 60 0.76 0.15 21.8 17.7 33% 100
FORESTRY & PAPERMondi Ltd MND 60 0.78 0.21 28.2 25.0 21% 100Sappi SAP 60 0.78 0.21 28.2 25.0 21% 100
GENERAL FINANCIALInvestec Ltd INL 60 0.74 0.19 25.7 22.7 23% 100Investec Plc INP 60 0.77 0.19 26.4 23.1 24% 100
GENERAL INDUSTRIALSBarloworld BAW 60 0.93 0.16 25.4 20.0 37% 100Remgro REM 60 0.62 0.12 17.8 14.5 33% 100
GENERAL RETAILERSWoolworths Holdings WHL 60 0.57 0.19 24.8 23.1 14% 100
HEALTH CARE EQUIPMENT & SERVICESNetwork Healthcare Holdings NTC 60 0.46 0.18 22.8 21.6 10% 100
HOUSEHOLD GOODSSteinhoff International Holdings SHF 60 1.03 0.20 29.9 24.6 33% 100
INDUSTRIAL METALSMittal Steel South Africa MLA 60 1.31 0.24 36.7 29.1 37% 100
INDUSTRIAL TRANSPORTATIONImperial Holdings IPL 60 0.58 0.17 22.8 20.7 17% 100
LIFE INSURANCELiberty Group LGL 60 0.58 0.13 19.0 16.4 25% 100Old Mutual OML 60 0.66 0.16 22.0 19.1 24% 100Sanlam SLM 60 0.59 0.18 23.6 21.5 16% 100
MEDIANaspers NPN 60 0.79 0.19 26.3 22.8 25% 100Anglo American AGL 60 1.29 0.12 25.8 14.6 68% 100Anglo Platinum AMS 60 1.55 0.22 37.8 27.0 49% 100Anglogold Ashanti ANG 60 1.10 0.23 33.8 28.4 30% 100African Rainbow Minerals Ltd. ARI 60 1.30 0.23 35.1 27.5 40% 99Bhp Billiton BIL 60 1.25 0.15 27.8 18.8 55% 100Exxaro Resources EXX 60 1.37 0.33 46.7 40.0 27% 93Gold Fields GFI 60 1.46 0.25 39.7 30.5 41% 100Harmony HAR 60 2.04 0.34 56.3 41.9 45% 100Impala Platinum Hlds IMP 60 1.27 0.20 31.9 23.8 45% 100Kumba Iron Ore KIO 10 0.78 1.47 30.7 28.5 14% 100Lonmin Plc LON 60 1.27 0.23 34.7 27.0 38% 90
MOBILE TELECOMMUNICATIONSMtn Group MTN 60 0.69 0.23 30.8 28.5 14% 100
OIL & GAS PRODUCERSSasol SOL 60 1.23 0.16 28.4 19.8 52% 100
PERSONAL GOODSCompagnie Financiere Richemont Ag RCH 60 1.02 0.13 23.1 15.7 53% 100
REAL ESTATELiberty International LBT 60 0.64 0.16 21.7 19.1 23% 100
PAGE 34
TABLE 4.2 – CONTINUED
MARKET PROXY: FTSE/JSE TOP40 (J200)
Security Code No. of Beta Std error Annualised Annualised R2 % DaysMonths (β) Total Risk Unique Risk Traded
SUPPORT SERVICESBidvest Group BVT 60 0.50 0.15 19.9 18.2 16% 100
J201 MID CAPS
CHEMICALSAeci AFE 60 0.45 0.17 21.4 20.3 11% 100African Oxygen AFX 60 0.44 0.15 19.5 18.0 14% 100
CONSTRUCTION & MATERIALSAveng AEG 60 0.72 0.22 29.6 27.1 16% 100Group Five/South Africa GRF 60 0.82 0.27 35.5 32.9 15% 98Wilson Bayly Holmes-Ovcon WBO 60 0.31 0.18 22.0 21.5 4% 95
ELECTRONIC & ELECTRICAL EQUIPMENTAllied Electronics Corp ATN 60 0.37 0.20 24.0 23.4 5% 87Allied Electronics Corp Part Prf ATNP 60 0.54 0.17 22.5 20.7 16% 70Reunert RLO 60 0.39 0.17 22.1 21.2 8% 100
FOOD & DRUG RETAILERSPick N Pay Stores PIK 60 0.52 0.13 18.1 15.9 22% 100Shoprite SHP 60 0.34 0.20 24.4 23.9 4% 100The Spar Group SPP 35 0.66 0.21 18.5 16.2 23% 100
FOOD PRODUCERSAstral Foods Ltd ARL 60 0.68 0.22 28.7 26.5 15% 99Avi AVI 60 0.58 0.17 22.2 20.2 18% 92Illovo Sugar ILV 60 0.74 0.21 28.1 25.3 19% 100Rainbow Chicken RBW 60 0.54 0.23 29.1 28.1 9% 99Tongaat Hulett TON 60 0.75 0.18 25.8 22.6 24% 89
GENERAL FINANCIALAfrican Bank Invest ABL 60 0.75 0.23 30.4 27.5 17% 100Jse JSE 15 0.78 1.66 46.4 44.4 7% 100Peregrine Holdings PGR 60 0.56 0.25 31.7 30.7 8% 97Psg Group PSG 46 0.67 0.47 40.9 40.3 5% 89
GENERAL INDUSTRIALSNampak NPK 60 0.41 0.12 16.1 14.7 17% 100
GENERAL RETAILERSEllerine Holdings ELH 60 0.41 0.25 31.7 31.0 4% 99Foschini FOS 60 0.63 0.21 27.6 25.5 14% 100Jd Group JDG 60 0.28 0.27 32.3 32.3 1% 100Lewis Group LEW 35 0.27 0.39 29.8 29.7 1% 100Mr Price Group MPC 60 0.70 0.20 27.6 24.9 18% 99Massmart Holdings MSM 60 0.46 0.21 26.6 25.5 7% 100New Clicks Holdings NCL 60 0.64 0.19 25.0 22.7 17% 100Truworths International TRU 60 0.63 0.20 26.3 24.1 15% 100
HEALTH CARE EQUIPMENT & SERVICESMedi-Clinicrp MDC 60 0.52 0.13 17.7 15.3 24% 99
INDUSTRIAL METALSHighveld Steel HVL 60 0.87 0.34 42.9 40.1 12% 94
INDUSTRIAL TRANSPORTATIONGrindrod GND 60 0.61 0.25 31.7 30.1 9% 82Super Group SPG 60 0.60 0.20 26.0 23.8 15% 100Trencor Ltd TRE 60 0.37 0.18 22.2 21.3 7% 90
LIFE INSURANCEDiscovery Holdings DSY 60 0.38 0.19 24.1 23.4 7% 99Metropolitan Holdings MET 60 0.55 0.17 22.9 21.1 15% 100
MEDIACaxton & Ctp CAT 60 0.57 0.21 27.0 25.7 12% 86Johnnic Communications JCM 60 0.50 0.26 31.0 29.8 6% 62
MININGMetorex Ltd MTX 60 0.78 0.27 34.3 32.1 13% 93Mvelaphanda Resources Ltd MVL 60 1.31 0.26 38.8 31.5 34% 98Northam Platinum NHM 60 1.20 0.26 37.6 31.2 31% 100
MOBILE TELECOMMUNICATIONSAllied Technologies ALT 60 0.43 0.18 22.9 21.7 9% 99
PAGE 35
TABLE 4.2 – CONTINUED
MARKET PROXY: FTSE/JSE TOP40 (J200)
Security Code No. of Beta Std error Annualised Annualised R2 % DaysMonths (β) Total Risk Unique Risk Traded
NONLIFE INSURANCESantam SNT 60 0.66 0.18 24.7 22.0 20% 100
PHARMACEUTICALS & BIOTECHNOLOGYAspen Pharmacare Holdings APN 60 0.51 0.21 27.0 25.8 9% 100
REAL ESTATEApexhi Properties -A- APA 60 0.26 0.13 16.6 16.1 6% 99Apexhi Properties -B- APB 60 0.21 0.18 21.7 21.4 2% 100Apexhi Properties -C- AXC 11 0.68 1.43 29.8 28.4 6% 100Emira Property Fund EMI 45 0.30 0.24 21.4 21.0 3% 96Fountainhead Property Trust FPT 60 0.44 0.17 20.8 19.6 11% 80Growthpoint Prop Ltd GRT 60 0.27 0.17 21.1 20.5 4% 96Hyprop Investments Ltd HYP 60 0.11 0.16 20.0 20.0 0% 89Pangbourne Prop Ltd PAP 60 0.20 0.15 18.2 18.0 3% 99Redefine Income Find RDF 60 0.21 0.19 23.7 23.5 2% 100Sa Corporate Real Estate Fund SAC 60 0.34 0.18 22.5 21.6 6% 99
SOFTWARE & COMPUTER SERVICESDimension Data Holdings DDT 60 1.78 0.36 55.3 44.4 36% 100Datatec DTC 60 1.46 0.31 46.5 38.1 32% 100
SUPPORT SERVICESMvelaphanda Group MVG 60 0.35 0.18 23.1 22.4 6% 84
TRAVEL & LEISUREGold Reef Resorts GDF 60 0.08 0.21 23.9 24.7 0% 90Sun International Ltd SUI 60 0.47 0.17 22.4 21.2 11% 96
J202 SMALL CAPS
AUTOMOBILES & PARTSMetair Investments Ord MTA 60 0.69 0.21 29.7 26.3 17% 62Wesco Investments Ltd WES 58 0.63 0.21 26.1 23.9 15% 72
BANKSCapitec Bank Hldgs Ltd CPI 60 0.88 0.26 34.9 31.6 18% 97
CHEMICALSOmnia Holdings Ltd OMN 60 0.42 0.21 26.6 25.6 6% 96
CONSTRUCTION & MATERIALSAfrimat AFT 10 0.91 1.17 25.9 22.7 24% 100Ceramic Industries CRM 60 0.50 0.18 24.1 22.2 13% 77Distribution And Warehousing Network DAW 60 0.26 0.29 35.6 35.5 1% 92
ELECTRONIC & ELECTRICAL EQUIPMENTDelta Electrical Industries DEL 60 0.39 0.21 27.4 26.3 5% 89Brimstone Investment Corp N BRN 60 -0.23 0.35 41.8 42.9 1% 57Makalani Holdings MKL 28 -0.29 0.13 9.0 8.1 20% 88Real Africa Holdings RAH 60 -0.27 0.27 33.4 33.0 3% 80
FOOD PRODUCERSAfgri Ltd AFR 60 0.48 0.21 26.8 25.9 8% 100Oceana Group OCE 60 0.49 0.19 24.7 23.5 10% 86
GENERAL FINANCIALBrait Sa BAT 60 0.90 0.20 29.0 24.6 27% 96Cadiz Holdings CDZ 60 0.48 0.20 25.8 24.3 10% 93Coronation Fund Managers CML 51 0.67 0.30 30.3 28.8 10% 99Zeder Investments ZED 10 0.19 0.90 17.3 17.3 2% 100
GENERAL INDUSTRIALSAstrapak Ltd APK 60 0.36 0.24 28.8 28.6 3% 88Argent Industrial ART 60 0.34 0.24 30.7 30.0 3% 97Kap International Ltd KAP 60 0.75 0.63 74.9 77.2 4% 67
GENERAL RETAILERSAdvtech ADH 60 0.33 0.22 27.8 27.2 2% 93Combined Motor Hldgs Ltd CMH 60 0.50 0.27 33.3 32.8 5% 65Cashbuild Ltd CSB 60 0.24 0.29 35.2 35.5 0% 94Tiger Automotive TAL 9 0.25 1.52 29.2 27.9 10% 94
INDUSTRIAL ENGINEERINGBell Equipment BEL 60 0.32 0.32 38.1 37.8 2% 84Hudaco Industries HDC 60 0.31 0.20 24.4 23.8 4% 86
PAGE 36
TABLE 4.2 – CONTINUED
MARKET PROXY: FTSE/JSE TOP40 (J200)
Security Code No. of Beta Std error Annualised Annualised R2 % DaysMonths (β) Total Risk Unique Risk Traded
Invicta Holdings IVT 60 0.27 0.22 26.8 27.6 0% 70
INDUSTRIAL METALSPalabora Mining PAM 60 0.53 0.42 51.1 50.0 3% 84
LEISURE GOODSAmalgamated Appliance Holding AMA 60 0.47 0.27 34.0 32.9 5% 94
MEDIAKagiso Media Ltd KGM 60 0.23 0.21 26.3 25.2 3% 67
MININGAflease Gold AFO 60 0.75 0.84 104.5 103.5 2% 78Drd Gold DRD 60 1.37 0.44 59.6 53.7 20% 100Merafe Resources MRF 60 1.29 0.32 45.6 39.3 26% 100Scharrig Mining Ltd SCN 60 0.36 0.30 35.8 35.5 2% 72Trans Hex Group TSX 60 0.93 0.25 34.4 30.7 21% 100Witwatersrand Cons Gold Resources WGR 17 1.11 1.58 59.1 52.2 24% 89
PHARMACEUTICALS & BIOTECHNOLOGYEnaleni Pharmaceuticals ENL 27 1.14 1.27 84.6 77.2 16% 100
REAL ESTATEAcucap Properties Limited ACP 60 0.15 0.15 18.7 18.4 2% 82Capital Property Fund CPL 60 0.30 0.20 25.2 24.6 4% 88Ifour Properties IFR 60 0.27 0.18 22.8 22.5 3% 88Madison Property Fund Managers MDN 15 0.65 1.04 29.3 27.9 6% 99Octodec Investments OCT 60 0.13 0.22 26.4 26.5 0% 74Premium Properties PMM 60 0.36 0.23 29.6 28.3 4% 64Resilient Prop Inc Fd RES 57 0.30 0.18 21.7 21.1 5% 92Sycom Property Fund SYC 60 0.10 0.13 15.5 15.5 1% 97Vukile Property Fund VKE 39 0.51 0.29 24.2 23.1 8% 90
SOFTWARE & COMPUTER SERVICESBusiness Connexion Group BCX 40 0.45 0.37 31.5 30.8 4% 93Bytes Technology Group BTG 60 0.20 0.23 28.1 28.0 1% 99
SUPPORT SERVICESAdcorp Holdings ADR 60 0.37 0.19 23.4 22.8 5% 87Iliad Africa ILA 60 0.30 0.25 31.1 31.0 2% 94
TRAVEL & LEISURECity Lodge Hotels CLH 60 0.46 0.16 20.9 19.6 12% 94Famous Brands FBR 60 0.42 0.30 38.3 37.5 3% 86Phumelela Gaming & Leisure PHM 60 0.12 0.36 43.4 43.2 0% 89Tourism Investment Corp TRT 60 0.45 0.19 24.3 23.2 9% 98
J204 FLEDGING
AUTOMOBILES & PARTSDorbyl DLV 60 0.42 0.24 31.0 30.1 5% 74
BANKSMercantile Bank Holdings MTL 60 0.58 0.46 56.3 55.9 3% 94
CHEMICALSSpanjaard SPA 46 -0.42 0.43 51.1 45.3 5% 9
CONSTRUCTION & MATERIALSAg Industries AGI 60 0.38 0.26 32.6 31.7 3% 89Buildmax. BDM 60 0.74 0.99 123.6 119.5 1% 51Basil Read Holdings BSR 60 0.61 0.49 59.9 59.4 2% 88Elb Group ELR 60 0.67 0.26 35.7 33.8 10% 55Masonite Africa MAS 60 0.37 0.27 37.4 36.2 4% 21
ELECTRONIC & ELECTRICAL EQUIPMENTAmalgamated Electronics Corp AER 25 0.94 0.81 44.8 41.4 11% 70Control Instruments Group CNL 60 0.65 0.27 35.0 33.0 10% 79Digicore Holdings DGC 60 0.64 0.30 37.1 36.0 9% 93Jasco Electronics Holdings JSC 60 0.30 0.34 40.4 40.3 1% 91Set Point Technology Holdings STO 60 0.49 0.34 42.7 41.9 4% 75
EQUITY INVESTMENT INSTRUMENTSCape Empowerment Trust CAE 53 0.09 0.82 116.1 93.7 3% 37Eureka Industrial EUR 38 0.46 0.46 56.9 46.6 0% 5Purple Capital PPE 60 0.97 0.62 75.3 72.7 6% 75
PAGE 37
TABLE 4.2 – CONTINUED
MARKET PROXY: FTSE/JSE TOP40 (J200)
Security Code No. of Beta Std error Annualised Annualised R2 % DaysMonths (β) Total Risk Unique Risk Traded
Sabvest SBV 50 -0.51 0.53 63.1 59.2 4% 9Sabvest Lmt N SVN 60 -0.18 0.40 53.8 52.8 3% 14Trematon Capital Investments TMT 60 0.35 0.47 58.5 58.0 1% 57
FOOD PRODUCERSCrookes Brothers CKS 60 0.49 0.23 30.2 28.9 7% 40Intertrading ITR 60 0.64 0.48 55.0 55.6 3% 31Sovereign Food Investments SOV 60 0.69 0.36 42.2 40.0 5% 52
GENERAL FINANCIALBarnard Jacobs Mellet Holdings BJM 60 0.65 0.24 28.9 26.8 12% 75Conduit Capital CND 60 0.36 0.74 87.4 88.9 0% 60Decillion Ltd DEC 60 0.53 0.56 72.5 67.9 1% 50Enterprise Risk Management Ltd ERM 60 0.16 0.34 42.0 41.5 1% 82London Finance And Investment Group LNF 56 0.41 0.31 42.7 40.2 2% 10New Corpcapital Ltd. NCA 27 0.40 0.61 38.0 37.7 1% 78Sasfin Holdings SFN 60 0.48 0.28 35.9 35.1 5% 86Wooltru N WLN 60 0.15 0.36 41.4 42.2 0% 65Wooltru WLO 60 0.36 0.37 43.9 43.5 1% 76
GENERAL INDUSTRIALSBowler Metcalf BCF 60 -0.07 0.13 16.5 16.4 1% 84Sekunjalo Investments SKJ 60 0.50 0.46 53.6 53.9 1% 66Transpaco TPC 60 -0.43 0.31 35.8 36.0 6% 40
GENERAL RETAILERSRex Trueform Clothing Sco RTN 60 0.31 0.27 39.3 36.3 1% 18Tradehold TDH 60 1.11 0.33 46.9 42.1 19% 65Verimark Holdings VMK 26 0.73 0.68 41.7 40.4 7% 97
INDUSTRIAL ENGINEERINGHowden Africa Holdings HWN 60 0.20 0.38 43.1 43.0 0% 51Kairos Industrial Holdings KIR 60 0.54 1.25 152.1 151.6 0% 53Venter Leisure & Com Trailer VTL 60 -0.17 0.68 99.4 89.3 3% 17
INDUSTRIAL METALSMetmar MML 16 0.24 1.33 39.5 38.8 3% 97
INDUSTRIAL TRANSPORTATIONCargo Carriers CRG 60 0.03 0.31 35.0 35.3 0% 32Value Group VLE 60 0.85 0.36 48.2 44.3 11% 92
LEISURE GOODSNu-World Holdings NWL 60 0.50 0.27 36.3 35.1 5% 85
MEDIAAfrican Media Entertainment AME 60 0.75 0.74 90.4 90.1 2% 70
MININGDiamond Core Resources DMR 42 0.38 1.25 110.0 107.6 0% 59Halogen Holdings Sa HAL 6 0.53 0.85 19.9 14.2 9% 1Hwange Colliery Co. Ltd. HWA 54 0.61 0.89 117.1 108.2 0% 11Miranda Mineral Holdings Ltd. MMH 21 0.55 1.44 67.3 67.1 0% 94Petmin Ltd. PET 60 0.84 0.58 65.9 65.7 5% 61Sallies SAL 60 0.55 0.51 60.3 59.0 2% 79Thabex Exploration TBX 60 -0.65 0.61 74.9 74.3 9% 31Village Main Reef Gold Mng VIL 60 0.76 1.17 136.6 132.2 1% 23
NONLIFE INSURANCEGlenrand Mib GMB 60 0.18 0.23 28.5 28.3 1% 99
PERSONAL GOODSHouse Of Busby/The BSB 60 0.50 0.26 32.2 31.5 3% 63Pals Holdings PAL 60 0.28 0.56 77.7 72.7 0% 22Seardel Investment Corp SER 60 0.65 0.33 43.2 41.5 7% 37Seardel Investment Corp N SRN 60 0.54 0.27 33.8 34.0 6% 56
REAL ESTATEAmbit Properties ABT 43 0.45 0.26 23.3 22.5 7% 96Diversified Property Fund DIV 23 0.82 0.31 18.6 15.9 28% 74Fairvest Property Hldgs FVT 31 0.87 1.14 82.7 81.7 5% 48Hospitality Property A HPA 19 0.32 0.34 15.2 14.8 4% 77Hospitality Property B HPB 19 0.94 0.77 30.4 28.2 16% 95Monyetla Property Fund MYT 29 -0.11 0.55 61.4 41.5 8% 16
PAGE 38
TABLE 4.2 – CONTINUED
MARKET PROXY: FTSE/JSE TOP40 (J200)
Security Code No. of Beta Std error Annualised Annualised R2 % DaysMonths (β) Total Risk Unique Risk Traded
Putprop Ltd PPR 60 -0.11 0.23 26.6 26.8 0% 36Sable Holdings SBL 60 0.09 0.31 40.7 43.5 0% 12Siyathenga Property Fund Ltd SYA 25 0.42 0.56 33.4 33.5 1% 88
SOFTWARE & COMPUTER SERVICESCompu Clearing Outs Ltd CCL 60 0.58 0.37 47.0 45.6 4% 32Datacentrix Holdings DCT 60 0.23 0.28 35.2 35.4 1% 75Eoh Holdings Ltd. EOH 60 0.24 0.23 27.8 27.7 1% 71Faritec Holdings FRT 60 0.23 0.45 52.1 54.3 0% 66Gijima Ast Group GIJ 60 1.70 0.47 67.2 57.7 26% 100Infowave Holdings IFW 60 0.44 0.47 55.1 55.0 0% 38Paracon Holdings PCN 60 0.65 0.28 36.4 34.5 9% 81Securedata Holdings SDH 60 0.59 0.30 37.9 37.4 6% 58Spescom SPS 60 0.54 0.55 68.2 66.9 2% 94Square One Solutions Group SQE 37 0.76 1.85 81.4 141.0 1% 8Ucs Group UCS 60 0.01 0.30 36.2 36.6 0% 83
SUPPORT SERVICESCommand Holdings CMA 60 0.47 1.10 125.2 126.0 1% 42Enviroserv Holdings ENV 60 0.21 0.22 26.9 26.8 1% 74Excellerate Hldgs EXL 60 0.38 0.61 69.0 68.3 0% 44Metrofile Holdings MFL 40 0.67 1.52 126.2 126.9 1% 85Micromega Holdings MMG 60 0.62 0.88 106.7 105.2 1% 57Marshall Monteagle Holding MTE 53 0.22 0.50 59.0 57.3 0% 12Primeserv Group PMV 60 0.26 0.37 45.7 45.1 2% 50
TECHNOLOGY HARDWARE & EQUIPMENTMustek MST 60 0.36 0.21 26.5 26.1 4% 98Pinnacle Technology Holdings PNC 60 1.97 0.73 107.9 89.3 26% 82
TRAVEL & LEISUREComair COM 60 0.46 0.36 45.6 45.0 2% 88Cullinan Holdings CUL 60 0.62 0.35 43.2 41.9 5% 80Don Group DON 60 0.30 0.65 82.3 81.9 0% 88Ifa Hotels And Resorts IFH 19 0.34 1.49 46.3 49.9 2% 48King Consolidated Holdings KNG 60 1.20 0.95 116.8 118.8 8% 53Spur Corp SUR 60 0.32 0.15 19.2 18.4 7% 89
PAGE 39
5. QUESTIONS AND ANSWERS
5.1 How do you compute beta?
We compute monthly returns for each share and the corresponding returns on the JSE/FTSE All
Share Index. If however a share has not been traded at month end, we go back to the last day of trade
and match the index to it in our return computation. If you were to plot these points with the index’s
returns on the horizontal axis and the share’s returns on the vertical axis (as shown below), beta
would be the slope of the line that best fits these points. We have illustrated this in Figure 2 using
the share Anglo American.
FIGURE 2
JSE All Share Index
Ang
loA
mer
ican
-0.15 -0.1 -0.05 0 0.05 0.1 0.15
0.3
0.2
0.1
0
-0.2
-0.1
-0.3
5.2 Could I estimate beta on my own?
There is no reason why not. You would however need a time series of both the share returns as well
as the market index returns. Be careful though, as there are some tricks which can make all the dif-
ference between good and bad estimates. We have implemented techniques which will improve beta
estimation, especially for thinly-traded shares. We want you to use our service and therefore it is
important to us that you have confidence in our estimates.
5.3 What estimation periods do you use?
We use the last five years of monthly returns, that is the last 60 data points. Research has shown that
the trade-off between the desire to include more data points and concerns about the stationarity of
beta point to 5 years of data as being most suitable. We also know that using daily or even weekly
prices in order to maximise the number of data points is futile as it introduces considerable noise
(error) which can bias our estimates.
In our sector listing you will find some of the new companies which have less than 60 data points
used in the estimation procedure. We advise you to use the betas of these companies with caution,
especially if there are less than about 40 data points indicated in the column headed ‘No. of mnths’.
We only include betas of shares and sectors which have been listed for at least 5 months.
PAGE 40
5.4 Are betas stable, or do they change?
Betas do change! The major causes for the changes in a company’s beta are linked to a shift in the
debt-to-equity ratio of a company or a shift in the risk of the projects that the company takes on.
5.5 Do betas differ in bull and bear markets?
It would be nice if they did, unfortunately our research suggests that they don’t. However we would
be interested to know if you find a company with a beta that does!
5.6 I knew of a share with a high beta, but it declined while the market was rising.
We could probably find many shares that did likewise. This occurrence is simply due to the fact that
such shares have high unique risk. Consequently these shares would have exhibited a large nega-
tive abnormal return over the particular period. Recall that for any single share only a part of the vari-
ability (total risk) is due to market movements. By combining shares into portfolios their unique risks
are diversified away and it is unlikely that such declines would have been significant in the portfolio
context.
5.7 I want to purchase more shares in a particular company but how will theyinfluence the risk of my existing portfolio?
Assuming your existing portfolio is diversified, the beta of your portfolio is the only measure that
determines the risk of your portfolio. Consequently only the beta of the company you are consider-
ing can influence the risk of your portfolio. You can easily determine the effect of the additional share
on your portfolio’s risk by remembering that the beta of your portfolio is simply the weighted aver-
age of its constituent betas.
5.8 But beta only tells us part of the story on risk, so why the emphasis on beta?
Most individuals attempt to hold diversified portfolios in order to reduce unique risk. However, they
know that their shares are tied together by a web of co-movements which determine the limit of the
diversification benefits. This limit is determined by the market risk of their portfolio, and its beta pre-
cisely determines the sensitivity of the portfolio to market movements.
5.9 What exactly is R2, and 1 minus R2?
Technically the R2 tells us how well the “best fitting” line “fits” the data points. Interpreting this in a
more useful way, it tells us what proportion of the share’s movement is due to market movements,
i.e. the proportion of market risk relative to total risk. Clearly then 1 minus R2 tells us what propor-
tion of the share’s movement is due to unique factors, i.e. the 1 minus R2 measures the proportion
of unique risk relative to total risk.
5.10 The standard deviation, of a share in the tables is 48.5% per annum. How can Icalculate its variability in monthly terms?
Our standard deviations in the tables are calculated on a monthly basis, and then annualised. Hence
the standard deviation of this share is interpreted as 48.5% per annum. To convert this to monthly
terms, simply divide the published figure by the square root of 12, i.e. 48.5% ÷ 12 = 14% per month.
PAGE 41
6. A WORKED EXAMPLE
In this worked example*, assume that you have a portfolio consisting of only the four companies list-
ed in the table below which are held in the given investment proportions.
Share Sector Proprtion R2 % Beta Annualised
Standard
Deviation (%)
ANGLO AMERICAN PLC Mining 0.4 73.66 1.48 35.16
WOOLTRU LTD General Retailers 0.1 11.45 0.97 60.45
ASPEN PHARMACARE HOLDINGS LTD Pharmaceuticals 0.2 5.75 0.32 27.02
LIBERTY GROUP LTD Life Assurance 0.3 16.38 0.49 24.39
In order to conduct a risk analysis on this portfolio we will want to calculate its beta, unique risk and
total risk.
6.1 Calculate Your Portfolio’s Market Risk
Recall that the beta of a portfolio is simply the weighted average of the component betas and can be
calculated as follows:
Share Proprtion Beta Proportion x Beta
ANGLO AMERICAN PLC 0.40 1.48 0.592
WOOLTRU LTD 0.10 0.97 0.097
ASPEN PHARMACARE HOLDINGS LTD 0.20 0.32 0.064
LIBERTY GROUP LTD 0.30 0.49 0.147
0.90
Hence we can on average expect this portfolio to move 9% for every 10% move of the market index.
We can also compute the magnitude of market risk of the portfolio. In order to do this we need the
standard deviation of the market index. In the very first entry of the Sector Statistics Table (Table 1.1)
we may find the statistics of the JSE-Overall index. We find that the standard deviation (total risk) of
the market index is 20.33% per annum.
The market risk of our portfolio = beta x market risk of the index
= 0.9 x 20.33
= 18.3% per annum
6.2 Calculate Your Portfolio’s Unique Risk
Calculating the magnitude of your portfolio’s unique risk is a little trickier than calculating the unique
risk of an individual share. Lets begin by calculating the unique risk of the constituent shares in our
portfolio.
*Note that the sta-
tistics used here
are from a
previous issue.
PAGE 42
There is a special relationship that links the different kinds of risk:
(Total Risk)2 = (Market Risk)2 + (Unique Risk)2
It is important to realise that we can add the square of the standard deviations (i.e. the variances) but
we cannot add the standard deviations2 and still obtain a meaningful interpretation.
Now since R2 is the proportion of market risk relative to total risk and 1-R2 is the proportion of unique
risk relative to total risk, we can express the above relationship as:
(Total Risk)2 = R2(Total Risk)2 + (1 - R2)(Total Risk)2
It is easy to see that the components of risk can be obtained by comparison of the above expres-
sions:
Unique Risk =
Similarly
Market Risk =
Note that we do not have information concerning the R2 and the total risk of the portfolio as a whole
and so we cannot directly compute these risk components for our portfolio using the above expres-
sions. We do however have all the necessary information to compute these two risk components for
individual shares.
Recall that the standard deviation of an individual share is the measure of total risk for the share. We
can thus calculate the magnitude of the two components of risk for individual shares using the above
expressions as follows:
(1 - R2)(Total Risk)2
R2(Total Risk)2
We could also have obtained the Market Risk for each share by simply multiplying the beta values
by the market risk as we did when we calculated the magnitude of portfolio market risk.
Share R2 % 1 - R2 % Annualised Annualised Annualised
Standard Market Unique
Deviation (%) Risk (%) Risk (%)
ANGLO AMERICAN PLC 0.74 0.26 35.16 30.18 18.05
WOOLTRU LTD 0.11 0.89 60.45 20.45 56.88
ASPEN PHARMACARE HOLDINGS LTD 0.06 0.94 27.02 6.48 26.23
LIBERTY GROUP LTD 0.16 0.84 24.39 9.87 22.30
PAGE 43
The calculation of the unique risk of our portfolio is shown below. Here we multiply the investment
proportion by the unique risk, square and then sum across the constituent shares. Finally we take the
square root of the result to yield the portfolio’s unique risk.
Notice how effective we have been in reducing unique risk. By diversifying amongst the above
shares we find that the unique risk of the portfolio is substantially less than the unique risk of most
of the individual shares. Our calculations assume that the constituent shares are not all lumped in
one industry. If all constituent shares are lumped in one industry then the actual unique risk may be
slightly higher than that calculated using the above method.
6.3 Calculate Your Portfolio’s Total Risk
Recall that:
(Total Risk)2 = (Market Risk)2 + (Unique Risk)2
This relationship is true both for individual shares as well as portfolios, hence:
(Portfolio’s Total Risk)2 = (18.3)2 + (12.52)2
= 491.52
and so
Portfolio’s Total Risk = = 22.17% per annum
We are now able to compute our portfolio’s proportion of market risk and its proportion of unique
risk. Statistically, our portfolio has:
R2 = (18.3)2
= 0.68 and (1-R2) = 0.32491.52
That is, the movements of the market index can explain 68% of our portfolio’s movements while only
32% of our portfolio’s movements can be explained by unique factors. There is clearly scope to
improve the diversification benefits (i.e. reduce the risk) of our portfolio. A well-diversified portfolio
would have a unique risk component which accounts for 5% or less of the portfolio’s total risk.
491.52
Share Proportion Annualised [Proportion x AnnUnique Risk (%) Unique Risk]2
ANGLO AMERICAN PLC 0.4 18.05 52.10
WOOLTRU LTD 0.1 56.88 32.36
ASPEN PHARMACARE HOLDINGS LTD 0.2 26.23 27.52
LIBERTY GROUP LTD 0.3 22.30 44.76
TOTAL 156.74
Portfolio Unique Risk = 156.74 = 12.52% per annum
PAGE 44
6.4 Calculate Your Portfolio’s Abnormal Return
The abnormal return is equal to the difference between the actual return of our portfolio and the
return offered from a benchmark portfolio with precisely the same market risk as our own portfolio.
Since our portfolio has a beta of 0.9, this implies that our portfolio has the same market risk as a
portfolio which has 90% of our initial funds invested in the market index with the remaining 10%
invested in the risk-free interest rate. Now suppose that the market index shows an annual return of
25% and the interest rate is 18%. Then, over the same period:
Benchmark Return = Beta x Market Index Return + (1-Beta) x Interest Rate
= 0.9 x 25% + 0.1 x 18%
= 24.3%
To calculate the actual return on our portfolio, we simply sum the returns over a particular period of
the constituent securities, weighted by their investment proportions. In the calculation of abnormal
return that follows, the time periods for the benchmark returns and the actual returns must clear-
ly match one another.
Assume your calculation of actual portfolio return yielded 30% per annum. Then:
Abnormal Return = Actual Return - Benchmark Return
= 30% - 24.3%
= 5.7% per annum
(You can calculate the abnormal return for an individual security in precisely the same way, again
using the notion of benchmark portfolio return)
Although the market risk of our portfolio is identical to that of the benchmark portfolio, our portfolio
has a unique risk of 22.17% per annum while the benchmark portfolio has none. Our previous dis-
cussion reminds us that there is no automatic reward for taking on unique risk. So unless you had
special knowledge about your shares, an abnormal return of 5.7% per annum is more likely to occur
in, on average, two out of every five years. (We elaborate on the interpretation of risk in section 6.5)
We can also use the notion of a benchmark return to give us some idea of how our portfolio is expect-
ed to perform in the future. For example, assume we are interested in our portfolio’s expected per-
formance in the forthcoming year. This of course depends on the performance of the market to a
large extent. You may have some prediction of your own of the market’s performance. If not, you can
use past experience as a guide. Based on the last 30 years’ track record on the JSE, a return on the
market index of 9% over and above the risk-free interest rate seems a reasonable expectation.
Adding an interest rate of 18% to this figure suggests an expected return on the market of 9% + 18%
or 27% per annum. Hence the expected return on our portfolio is:
Expected Return = Beta x Expected Market Return + (1-Beta) x Interest Rate
= 0.9 (27%) + 0.1 (18%)
= 26.1%
PAGE 45
6.5 Interpreting the Risk of Your Portfolio
Investors who are concerned with the notion of risk are clearly concerned about the potential of a
share’s return to drop unexpectedly. Yet the standard deviation incorporates both downside risk and
upside potential. We have already discussed the various components of risk and have mentioned
that unique risk is the component of total risk which is not explained by market movements.
Therefore, when we computed the abnormal return it was evident that a portfolio having zero unique
risk would have an abnormal return of zero. Any non-zero abnormal returns consequently reflect the
unique risk of a portfolio.
In the context of the expected portfolio return computed above, we are concerned about the vari-
ability of our market index forecast as well as factors unique to our portfolio. That is, our expected
return forecast should be interpreted within the framework of the total risk of a portfolio.
There is a special relationship between the standard deviation and the number of times we expect
returns to exceed the standard deviation. For example assume your portfolio has an expected return
of 28% with a total risk of 5% per month. How do we interpret this? Simply, there is approximately
a one in six chance that the actual return will be below expectation by the standard deviation.
Similarly however there is an approximately one in six chance of the actual return being above
expectation by the standard deviation. A one in six chance can also be interpreted as one year in
every six years. Furthermore, we can say that the actual portfolio return has approximately a one in
three chance of being below expectation by at least half a standard deviation and approximately a
one in forty chance of being below expectation by more than two standard deviations.
7. LITERATURE
7.1 Our own papers on the subject of systematic risk estimation
A practitioners guide to estimating beta & the
role of beta
Professor Dave Bradfield
QR2003/03/3
Improved Beta Estimation on the Johannesburg
Stock Exchange: a simulation study
D C Bowie & D J Bradfield
South African Journal of Business Management
1993, June, Volume 24, Issue 4, pages 39-44
A Review of Systematic Risk Estimation on the
JSE
D C Bowie & D J Bradfield
De Ratione
1993, Volume 7, Issue 1, pages 6-22
The Use of State-Space Models in Estimating
Beta Coefficients on the JSE
D C Bowie & D J Bradfield
A working paper - The University of Cape Town
1993a
Robust Estimation of Beta Coefficients: Evidence
From a Small Stock Market
D C Bowie & D J Bradfield
Journal of Business Finance and Accounting,
Volume 25 Number 3&4, 1998
Some Evidence on the Stability of Beta
Coefficients on the JSE
D C Bowie & D J Bradfield
South African Journal of Accounting Research
Volume 11, Number 2, 1997
Multivariate Tests of the CAPM: South African
Evidence
D J Bradfield & J F Affleck-Graves
South African Statistical Journal, Volume 25 (pages
19 - 44), 1991
A Note on the Estimation Problems Caused by
Thin Trading on the JSE
D J Bradfield, De Ratione, Volume 3 (pages 22 - 25)
1990
PAGE 46
8. GLOSSARY
Abnormal Return is the return for your portfolio over and above the return you would expect for a
benchmark portfolio having the same beta as your portfolio.
Beta measures the sensitivity of a share price to movements of the market as a whole.
The CAPM: the Capital Asset Pricing Model.
Market Risk (or Systematic Risk) reflects the fluctuations which are linked to factors which affect the
market as a whole (e.g. political events, interest rate changes etc.).
Non-Systematic Risk (or Unique Risk) reflects the fluctuations which are linked to events which are
unique to the company (e.g. bad management, worker strikes etc.).
R-squared (R2) tells us the proportion of a share’s total risk which is attributable to market move-
ments.
Systematic Risk (or Market Risk) reflects the fluctuations which are linked to factors which affect the
market as a whole (e.g. political events, interest rate changes etc.).
Unique Risk (or Non-Systematic Risk) reflects the fluctuations which are linked to events which are
unique to the company (e.g. bad management, worker strikes etc.).
Risk Estimation in the Thinly-Traded JSE
Environment
D J Bradfield & G D I Barr
South African Journal of Business Management
1989 Volume 20 (pages 169 - 173)
Stability Tests for Alphas and Betas over Bull and
Bear Market Conditions on the JSE
D J Bradfield, J F Affleck-Graves & G D I Barr
Technical Report - The University of Cape Town
1982
Truth and Consequences in the Beta Fracas
P L Bernstein
The Journal of Portfolio Management
Spring 1994 (page 1)
Reports Of Beta’s Death Have Been Greatly
Exaggerated
K Grundy & B G Malkiel
The Journal of Portfolio Management
Spring 1996 (pages 36 - 44)
Beta and Return
Fischer Black
The Journal of Portfolio Management
Fall 1993 (pages 8-18)
Is Beta Dead Again?
R C Grinold
Financial Analysts Journal
1993 Volume 49 (pages 28 - 34)
Bye-Bye to Beta (New Research Disputes the
Validity of Stock Risk Analysis)
David Dreman
Forbes, 1993 March 30, Volume 149 page 148
If Beta is Dead, Where is the Corpse? (Fama-
French Findings on Relationship Between Risk
and Return)
Peter L Bernstein
Forbes, 1992 July 20, Volume150 page 343
7.2 Recent criticisms and comebacks on the value of ß’s
PAGE 47
ACKNOWLEDGEMENTS
Since the inception of the risk service in 1989 several people have contributed significantly to the
improvement and upkeep of the service.
I would like to thank the following contributors in this regard:
• Dr David Bowie, Ph.D (UCT). David is now head of research of the World Markets Co., Edinburgh.
• Cally Ardington, M.Sc (UCT).
• Warren McLeod, M.Com (UCT). Warren is now an analyst with Old Mutual Asset Management.
• Heidi Raubenheimer, B.Sc (Hons) (UCT).
• Yashin Gopin, B.Sc (KZN)
DISCLAIMER
The FINANCIAL RISK SERVICE provides estimates (based on mathematical analysis) rather than predictions. Accordingly
the University of Cape Town cannot accept responsibility for any loss suffered as a result of its use. While every effort
has been made to ensure the accuracy of the estimates the University of Cape Town can further not be held liable for
any errors. No part of this document may be photocopied, reproduced, stored in a retrieval system or distributed with-
out prior permission of the Editor, Copyright © Econometrics and Financial Analysis Unit (ECOFIN).