The Performance of Standard
Date
2011-04-13
Authors
Harms, Philip
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Abstract
The performance of the Yield Enhanced Security (YES) and the Yield
Enhanced Security Plus (Yes-Plus) offered in South Africa by Standard
Corporate and Merchant Bank was modelled over a ten-year period.
Through combinations of put and call options on certain shares an investor
stands to gain superior returns during periods of market consolidation.
Such synthetic instruments are new to the South African market, and have
yet to be the subject of extensive study.
Daily closing share prices were collected over a ten-year period. A model
simulating the instrument’s performance was built using Microsoft Excel.
It was found that the YES outperformed the Yes-Plus and conventional
share investment, both in terms of absolute, and risk-adjusted returns.
Description
MBA - WBS
Keywords
Yield Enhanced Security, Yield Enhanced Security Plus, Put and call options, Options, Johannesburg Securities Exchange