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A chronicle of the CAPM beta and the evaluation of three methods for modelling risk-return relationships on

the JSE in the new South Africa

A research report

presented to

The Graduate School of Business

University of Cape Town

In partial fulfilment

of the requirements for the

Master of Business Administration Degree

by

Carl Zietsman

December 2011

Supervised by: Dr Chipo Mlambo

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Declaration

I know that plagiarism is wrong. Plagiarism is to use another’s work and pretend that it is

one’s own.

I have used the American Psychological Association (APA) convention for citation and

referencing. Each significant contribution and quotation from the work(s) of other people has

been attributed, cited and referenced.

I certify that this submission is all my own work.

I have not allowed and will not allow anyone to copy my work with the intention of passing it

off as his or her own work.

This report is not confidential and may be used freely by the Graduate School of Business.

 Carl Zietsman

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Abstract

Since their inception, both the capital asset pricing model (CAPM) and its associated beta

coefficient (beta) have received wide-spread empirical and theoretical criticism. Numerous

studies have shown that: (1) the CAPM beta exhibits significant time instability, (2) the

empirical performance of the CAPM appears to be poor and (3) valid testing of the empirical

performance of the CAPM is difficult, if not impossible.

Despite these challenges, the CAPM is still in widespread use, is arguably here to stay and

the practitioner is left with a potentially confusing array of information on the topic.

This study presents a chronicle of the CAPM beta and explores the time-variance of the

CAPM beta as well as a South African Rand beta factor for JSE Top 40 resource and non-

resource stocks in the new South Africa. In addition to this, the empirical performance of

three risk-return models used in practice for portfolio construction is compared.

The findings are as follows: (1) both classic beta and the South African Rand beta appear

to vary over time, (2) resource and non-resource shares behave differently, especially with

regard to their Rand betas, and (3) one of the two-factor alternatives to the single risk factor

market model has a poorer fit to the data than expected.

KeyWords

All Share Index; ALSI; beta; capital asset pricing model; CAPM; expected return;

Johannesburg Stock Exchange; JSE; market model; mining; multiple regression; OLS;

ordinary least squares; regression; resources; return; risk; risk-free rate; South Africa;

systematic risk; Top 40; unsystematic risk

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TableofContents

Declaration ................................................................................................................................. ii 

Abstract .................................................................................................................................... iii 

Key Words ............................................................................................................................... iii 

Table of Contents ...................................................................................................................... iv 

List of Figures ............................................................................................................................ v 

List of Tables ........................................................................................................................... vii 

List of Equations .................................................................................................................... viii 

Glossary of Terms ..................................................................................................................... ix 

Acknowledgement ..................................................................................................................... x 

1  Introduction ...................................................................................................................... 1 

1.1  Background ........................................................................................................................ 1 1.2  Research Area ..................................................................................................................... 2 1.3  Importance .......................................................................................................................... 2 1.4  Research Objectives and Scope .......................................................................................... 4 1.5  Research Assumptions ....................................................................................................... 5 1.6  Research Ethics .................................................................................................................. 5 1.7  Conclusion .......................................................................................................................... 5 

2  Literature Review ............................................................................................................. 6 

2.1  The Creation of a Risk Measure ......................................................................................... 6 2.2  What is Risk? ...................................................................................................................... 6 2.3  The Importance of Beta ...................................................................................................... 7 2.4  CAPM Assumptions ........................................................................................................... 7 2.5  The History of the CAPM and Beta ................................................................................... 9 2.6  Conclusion ........................................................................................................................ 22 

3  Method ............................................................................................................................ 23 

3.1  Research Approach ........................................................................................................... 23 3.2  Data Collection, Research Design and Sampling ............................................................. 23 3.3  Data Analysis Method ...................................................................................................... 26 

4  Findings, Analysis and Discussion ................................................................................. 35 

4.1  Research Findings ............................................................................................................ 35 4.2  Comparison of the Models ............................................................................................... 35 4.3  Time Behaviour of Beta ................................................................................................... 43 4.4  Research Limitations ........................................................................................................ 45 

5  Conclusion ...................................................................................................................... 47 

6  Future Research Directions ............................................................................................ 49 

7  References ...................................................................................................................... 51 

Appendix A: Results—Beta Plots for JSE ALSI Top 40 ........................................................ 56 

Appendix B: Source Data—JSE ALSI Top 40 Total Returns ................................................. 71 

Appendix C: Source Data—JSE ALSI Total Returns ............................................................. 83 

Appendix D: Source Data—ZAR to USD Exchange Rates .................................................... 84 

Appendix E: Source Data—Cadiz FSG Betas ......................................................................... 85 

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ListofFigures

Figure 1: Markowitz Portfolios .................................................................................................. 8 

Figure 2: Changes in the ALSI regressed against changes in ZAR ......................................... 27 

Figure 3: Box plot of data in Table 5 ....................................................................................... 34 

Figure 4: Box plots of average R²adj for Models 1, 2 & 3 ........................................................ 39 

Figure 5: Box plots of ΔR²adj (Model 2 & 1) for all JSE Top 40 shares .................................. 40 

Figure 6: Box plots of ΔR²adj (Model 3 & 1) for all JSE Top 40 shares .................................. 41 

Figure 7: Box plots of ΔR²adj (Model 3 & 2) for all JSE Top 40 shares .................................. 42 

Figure 8: Factor analysis of SA market ................................................................................... 43 

Figure 9: Example of a Rand leverage (resource) stock .......................................................... 44 

Figure 10: Example of a Rand play (“SA incorporated”) stock .............................................. 45 

Figure 11: Correlation between ALSI &ZAR ......................................................................... 49 

Figure 12: [ACL] Arcelormittal SA. beta plot ......................................................................... 56 

Figure 13: [AGL] Anglo American (JSE) beta plot ................................................................. 56 

Figure 14: [AMS] Anglo American Platinum beta plot ........................................................... 57 

Figure 15: [ANG] Anglogold Ashanti beta plot ...................................................................... 57 

Figure 16: [ARI] Afn. Rainbow Mrls. beta plot ...................................................................... 57 

Figure 17: [ASR] Assore beta plot ........................................................................................... 58 

Figure 18: [BIL] BHP Billiton (JSE) beta plot ........................................................................ 58 

Figure 19: [EXX] Exxaro Resources beta plot ........................................................................ 58 

Figure 20: [GFI] Gold Fields beta plot .................................................................................... 59 

Figure 21: [HAR] Harmony Gold Mng. beta plot ................................................................... 59 

Figure 22: [IMP] Impala Platinum beta plot ............................................................................ 59 

Figure 23: [KIO] Kumba Iron Ore beta plot ............................................................................ 60 

Figure 24: [LON] Lonmin (JSE) beta plot ............................................................................... 60 

Figure 25: [SOL] Sasol beta plot ............................................................................................. 60 

Figure 26: [ABL] African Bank Invs. beta plot ....................................................................... 61 

Figure 27: [APN] Aspen Phmcr. Hdg. beta plot ...................................................................... 61 

Figure 28: [ASA] Absa Group beta plot .................................................................................. 61 

Figure 29: [BVT] Bidvest Group beta plot .............................................................................. 62 

Figure 30: [CFR] Richemont Secs. (JSE) beta plot ................................................................. 62 

Figure 31: [CSO] Capital Shopcts. Gp. (JSE) beta plot ........................................................... 62 

Figure 32: [FSR] Firstrand beta plot ........................................................................................ 63 

Figure 33: [GRT] Growthpoint Props. beta plot ...................................................................... 63 

Figure 34: [INL] Investec beta plot ......................................................................................... 63 

Figure 35: [INP] Investec (JSE) beta plot ................................................................................ 64 

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Figure 36: [MND] Mondi beta plot ......................................................................................... 64 

Figure 37: [MNP] Mondi (JSE) beta plot ................................................................................ 64 

Figure 38: [MSM] Massmart beta plot .................................................................................... 65 

Figure 39: [MTN] MTN Group beta plot ................................................................................ 65 

Figure 40: [NED] Nedbank Group beta plot ............................................................................ 65 

Figure 41: [NPN] Naspers beta plot ......................................................................................... 66 

Figure 42: [OML] Old Mutual (JSE) beta plot ........................................................................ 66 

Figure 43: [REM] Remgro beta plot ........................................................................................ 66 

Figure 44: [RMH] RMB beta plot ........................................................................................... 67 

Figure 45: [SAB] SABMiller (JSE) beta plot .......................................................................... 67 

Figure 46: [SBK] Standard Bk. Gp. beta plot .......................................................................... 67 

Figure 47: [SHF] Steinhoff Intl. beta plot ................................................................................ 68 

Figure 48: [SHP] Shoprite beta plot......................................................................................... 68 

Figure 49: [SLM] Sanlam beta plot ......................................................................................... 68 

Figure 50: [TBS] Tiger Brands beta plot ................................................................................. 69 

Figure 51: [TRU] Truworths Intl. beta plot ............................................................................. 69 

Figure 52: [VOD] Vodacom Group beta plot .......................................................................... 69 

Figure 53: [WHL] Woolworths Hdg. beta plot ........................................................................ 70 

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ListofTables

Table 1: JSE Top 40 shares grouped by sector ........................................................................ 24 

Table 2: Illustration of the sixty month rolling regressions ..................................................... 30 

Table 3: Example detailed regression for (1) in Table 2 ......................................................... 31 

Table 4: Legend for beta plots ................................................................................................. 32 

Table 5: Differences in adjusted R² for Model 1 & 2 (Impala Platinum) ................................ 33 

Table 6: Average coefficients of determination for Models 1, 2 & 3 ...................................... 38 

Table 7: Changing Rand betas of resource companies ............................................................ 50 

Table 8: JSE ALSI Top 40 total returns (Feb 1989–Oct 1994, ABL–EXX) ........................... 71 

Table 9: JSE ALSI Top 40 total returns (Feb 1989–Oct 1994, FSR–NED) ............................ 72 

Table 10: JSE ALSI Top 40 total returns (Feb 1989–Oct 1994, NPN–WHL) ........................ 73 

Table 11: JSE ALSI Top 40 total returns (Nov 1994–Jul 2000, ABL–EXX) ......................... 74 

Table 12: JSE ALSI Top 40 total returns (Nov 1994–Jul 2000, FSR–NED) .......................... 75 

Table 13: JSE ALSI Top 40 total returns (Nov 1994–Jul 2000, NPN–WHL) ........................ 76 

Table 14: JSE ALSI Top 40 total returns (Aug 2000–Apr 2006, ABL–EXX) ........................ 77 

Table 15: JSE ALSI Top 40 total returns (Aug 2000–Apr 2006, FDR–NED) ........................ 78 

Table 16: JSE ALSI Top 40 total returns (Aug 2000–Apr 2006, NPN–WHL) ....................... 79 

Table 17: JSE ALSI Top 40 total returns (May 2006–Oct 2011, ABL–EXX)........................ 80 

Table 18: JSE ALSI Top 40 total returns (May 2006–Oct 2011, FSR–NED) ........................ 81 

Table 19: JSE ALSI Top 40 total returns (May 2006–Oct 2011, NPN–WHL) ....................... 82 

Table 20: JSE All Share Index (ALSI) total returns (Apr 1986–Oct 2011) ............................ 83 

Table 21: ZAR to USD exchange rates (Apr 1986–Oct 2011) ................................................ 84 

Table 22: Cadiz FSG betas (first quarter 2001 to third quarter 2011) ..................................... 85 

Table 23: Cadiz FSG no. of months used in beta calculations (2001Q1 to 2011Q3) .............. 86 

Table 24: Cadiz FSG R² values of beta regressions (2001Q1 to 2011Q3) .............................. 87 

Table 25: Cadiz FSG standard errors of beta regressions (2001Q1 to 2011Q3) ..................... 88 

Table 26: Cadiz FSG percentage of days traded (2001Q1 to 2011Q3) ................................... 89 

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ListofEquations

Equation 1: Mathematical form of the Capital Asset Pricing Model ......................................... 1

Equation 2: (Model 1) The market model.................................................................................. 4

Equation 3: (Model 2) BKH original two factor model for expressing returns on the JSE ...... 4

Equation 4: (Model 3) BKH refined two factor model for expressing returns on the JSE ........ 4

Equation 5: Expression for estimating beta using variance and covariance .............................. 7

Equation 6: Ex post form of the CAPM ..................................................................................... 9

Equation 7: Ex ante form of the Fama and French Three Factor Model ................................. 18

Equation 8: Ex post form of the Fama and French Three Factor Model ................................. 18

Equation 9: Expression for calculating percentage total return on shares/indices ................... 25

Equation 10: Expression for calculating percentage change in ZAR exchange rate ............... 26

Equation 11: Expression for Model 1 ...................................................................................... 26

Equation 12: Expression for Model 2 ...................................................................................... 26

Equation 13: Expression for Model 3 ...................................................................................... 26

Equation 14: Equation 3 repeated ............................................................................................ 27

Equation 15: Expression for the adjusted coefficient of determination ................................... 29

Equation 16: Vector (array) form of (β_ALSI) ................................................................... 31

Equation 17: Vector (array) form of (β_M_ALSI) ............................................................. 31

Equation 18: Vector (array) form of (β_M_ZAR) .............................................................. 31

Equation 19: Vector (array) form of (β_M_ALSI_PRIME) ............................................... 32

Equation 20: Vector (array) form of (β_M_ZARP) ............................................................ 32

Equation 21: Vector (array) form of , ............................................................................. 32

Equation 22: Vector (array) form of , ............................................................................. 32

Equation 23: Vector (array) form of , ............................................................................. 32

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GlossaryofTerms

ALSI JSE All Share Index

ANOVA Analysis of Variance

ALSI Top 40 JSE top forty shares ranked according to market capitalisation

APT Arbitrage Pricing Theory

ARCH Autoregressive Conditional Heteroscedasticity

BE Book Equity

BKH Barr, Kantor and Holdsworth

CAPM Capital Asset Pricing Model

[CL] Closing Price (I-Net Bridge data type)

Datastream Thomson Reuters Datastream financial/statistical database

DER Debt Equity Ratio

EMH Efficient Market Hypothesis

FSG Financial Services Group (Cadiz)

GARCH Generalised Autoregressive Conditional Heteroscedasticity

GSB University of Cape Town Graduate School of Business

HML High Minus Low (Fama and French Three Factor Model)

IAPM International Asset Pricing Model

I-Net Bridge South African financial database

JSE Johannesburg Stock Exchange

M&M Miller and Modigliani/Modigliani and Miller

MAD Mean Absolute Deviation

MBA Master of Business Administration

ME Market Equity

NYSE New York Stock Exchange

OLS Ordinary Least Squares

PE or P/E Price Earnings Ratio

SA South Africa

SLB Sharpe, Lintner and Black

SMB Small Minus Big (Fama and French Three Factor Model)

TFM Fama and French’s Three Factor Model

[TR] Total Return (I-Net Bridge data type)

UK United Kingdom

USD United States Dollar

VMMRM Variable Mean Response Regression Model

ZAR South African Rand

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Acknowledgement

I would like to thank my supervisor, Dr Chipo Mlambo, for her support and guidance in the

preparation of this report. I would also like to thank Chris Holdsworth and Heidi

Raubenheimer for their statistical inputs and Dr Nicholas Marais for always volunteering to

be the test subject/sounding board for my various MBA-related projects. Finally, a big thank

you to my friends, family and everyone at Paterson & Cooke for their tremendous support

throughout the duration of my MBA.

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1 Introduction

This chapter introduces the CAPM and its associated beta coefficient. The problem of beta

instability and the apparent poor empirical performance of the CAPM is discussed. The

importance of the risk-return relationship is emphasised and two alternatives to the CAPM-

related market model, which utilise a Rand beta as an additional risk factor, are presented

for testing. The research objectives and scope are defined and research ethics are touched on

briefly just prior to the end of the chapter.

1.1 BackgroundIn his article, “The History of Finance”, Merton Miller (2000) traces the roots of

modern finance theory back to Harry Markowitz’s (1952) pivotal article, “Portfolio

Selection”. Miller refers to it as the “big bang” (2000, p. 9) of modern finance—i.e.,

where it all began.

Prior to this point, the academic study of the equity markets was not considered to

be a topic to be taken seriously (Ball, 1995). The little work that had been done on the

topic was done by statisticians who had more-or-less concluded that share prices were

completely unpredictable “random walks” (Ball, 1995, p. 6).

Markowitz’s work along with the subsequent work of Sharpe1 (1963, 1964) and

Lintner (1965a), led to the development of the now-famous capital asset pricing

model (CAPM). Further refinements to the model were made by Mossin (1966) and

Black (1972).

Put simply, the CAPM states that the expected return on a particular asset is a

function of the risk-free interest rate, the reward for bearing risk (also known as the

risk premium), and the amount of systematic risk present in a particular asset relative

to an asset of average riskiness (Firer, Ross, Westerfield, & Jordan, 2008).

The CAPM can be expressed mathematically as shown in Equation 1:

(Eq.1)

Where:

1 In some sources, Treynor (1961) is credited with the almost-simultaneous development of the CAPM along with Sharpe; e.g. Copeland, Weston, & Shastri (2005) and Black, Jensen and Scholes (1972). However, these sources list Treynor’s work as unpublished. It is therefore not included in the list of references at the end of this report.

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is the expected return on the asset;

is the risk free rate;

is the market risk premium;

is the amount of systematic risk present in an asset, relative to an asset of

average riskiness.

According to Damodaran (1997, p. 107), “the beta of any investment in CAPM is a

standardised measure of the risk it adds to the market portfolio” and, “the expected

return on an asset is linearly related to the beta of that asset”. In other words, the

CAPM states that return that investors expect on an asset is a function of only the

systematic risk (the risk which cannot be diversified away) of that asset.

1.2 ResearchAreaThe CAPM model and its simple, intuitive formulation of the relationship between

risk and return have become an integral part of the practice and theory of finance

(Siegel, 1995). However, since their inception, both the CAPM and beta have been

under regular empirical and theoretical attack in the academic literature (Dowen,

1988).

To be more specific, the subject of beta instability over time and the apparently

poor empirical correlation between an asset’s beta (systematic risk) and its actual

returns has become one of the great academic debates in the finance literature over

the last fifty-odd years. Subrahmanyam notes that, “why one stock’s expected return

might vary from that of another has preoccupied scholars for decades” (2010, p. 27).

Some argue that the empirical record of the CAPM is poor enough to invalidate the

way it is often applied (Fama & French, 2004). A number of alternative models have

been proposed, including Ross’ (1976) arbitrage pricing theory (APT) and Fama and

French’s (1996) three factor model (TFM).

Yet despite the TFM’s success at explaining stock returns (Fama & French, 1996)

efforts to date to explain its success in terms of the underlying economics of the

empirical relationships have been less than successful (Fama & French, 1995). In

other words, the situation is still somewhat unresolved, leading one to question the

importance of further investigation into the topic.

1.3 ImportanceThe relationship between risk and return is of vital importance as it is one of the

“central lines of research in finance” (Subrahmanyam, 2010, p. 27). Scott & Brown

(1980) ascribe the importance of the risk–return relationship to the fact that

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systematic risk is used for portfolio selection, while Fama and French (2004) mention

its application in estimating the cost of equity capital.

Fisher and Kamin also provide the following compelling and somewhat humorous

argument:

In the application of modem portfolio theory, the systematic risk of asecurity is of central importance. Beta (β), the future regressioncoefficientofthereturnofthesecurityonthereturnofthemarket,isanindexofthatrisk.Sincethefutureisyettoberevealed,nonclairvoyantpractitionersandresearchersmustrelyonestimatedratherthanactualvalues of beta and the estimates must be based on data that arecurrentlyavailable.(Fisher&Kamin,1985,p.127)

However, despite the importance of the risk-return relationship and the apparent

shortcomings of the CAPM, it is often the only asset pricing model taught in many

MBA investment courses (Fama & French, 2004, p. 25).

It is this very peculiarity which introduces the topic of this research report. This

report investigates alternatives to the single factor market model (Equation 2), which

uses CAPM beta as its sole measure of risk, and the performance of these alternatives

in the South African context. The two models which have been chosen for

comparison both originate from the work of Barr, Kantor and Holdsworth (BKH).

The “performance” measure by which the models are judged, is their adjusted

coefficient of determination—i.e. how well they fit historical data.

BKH have researched the link between the performance of South African stocks

and the Rand to US Dollar exchange rate, extensively (2003, 2007, 2011). Based on

their research, they propose two similar two-factor models which are similar in form

to the multi-factor models found in APT. The particular appeal of their models stems

from the fact that the economics are relatively easy to explain—unlike the TFM and

other ad hoc multiple regression models which “happen” to explain stock returns.

According to BKH, a factor analysis of the SA market shows that it is a function of

two factors. SA stocks tend to group into a number of clusters, particularly in terms of

performance versus the strength of the Rand (Holdsworth, 2011). The two most

distinct clusters are arguably: (1) the Rand leverage and (2) Rand play clusters. The

two clusters can be explained simply as follows (Barr, Kantor, & Holdsworth, 2007):

(1) The Rand leverages cluster is dominated by SA resource companies.

These companies tend to earn revenues in US Dollars while a large

portion of their costs (labour) are paid in local Rand. Therefore a weak

Rand can result in improved profits for a resource company.

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(2) Rand plays on the other hand are companies which earn local revenues

and have local costs. These companies tend to suffer when the Rand

weakens.

The two models proposed by BKH are shown in Equations 3 and 4 and are derived

from this sensitivity of SA companies to changes in the Rand-Dollar exchange rate.

The two models are very similar, the latter simply being a refinement of the former.

The first equation states that the return for a particular asset is related to asset

specific factors (unsystematic risk), fluctuations in the Rand-Dollar exchange rate and

fluctuations in the market proxy.

The second equation states that the return for a particular asset is related to asset

specific factors (unsystematic risk), fluctuations in the Rand-Dollar exchange rate and

fluctuations in the market proxy not explained by fluctuations in the Rand-Dollar

exchange rate (hence the ALSI prime2). That is, both BKH models are two factor

models as opposed to the single factor (risk measure) market model.

∙ (Eq.2)

∙ ∙ (Eq.3)

∙ ′ ∙ (Eq.4)

1.4 ResearchObjectivesandScopeResearch objectives are generally considered to, “lead to greater specificity than

research or investigative questions” (Saunders, Lewis, & Thornhill, 2009, p. 34) and

“are generally more acceptable to the research community as evidence of the

researcher’s clear sense of purpose and direction” (ibid.). For this reason, the goals of

this research have been presented in the form of objectives and not questions.

This research has three broad objectives:

(1) To present a chronicle of the “life” of the CAPM and CAPM beta;

(2) To test the “goodness of fit” (to historical data) of the market model

versus the two BKH models;

2 In other words, the second model attempts to correct for multicollinearity—the fact that movements in the ALSI are correlated with the ZAR.

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(3) To explore how classic beta and the Rand beta vary as a function of time.

This research does not have a distinct hypothesis, but it is supposed that the BKH

models will provide a better fit to historical data due to the fact that they have an

additional factor (risk measure) compared to the market model. It is also believed that

the BKH model which adjusts for multicollinearity (Model 3) will outperform the

BKH model which does not adjust for multicollinearity (Model 2).

The scope of the proposed research will be limited to the South African context and

date range of 1994 to 2011.

1.5 ResearchAssumptionsRichard Roll, in his famous “Critique of asset pricing tests” makes the following

statement:

No correct and unambiguous test of the theory has appeared in theliterature,and…thereispracticallynopossibilitythatsuchatestcanbeaccomplishedinthefuture.(Roll,1977,p.129&130)

Any test of any asset pricing model is bound to be a magnet for controversy for

reasons which will be discussed in the literature review in Chapter 2.

However, since the proposed research is not attempting to validate or disprove any

theoretical model, but rather simply to compare the practical performance of three

models in terms of how well they fit a set of data, Roll’s critique should not be of

great concern.

1.6 ResearchEthicsThe research undertaken in this research report involved a review of academic

literature and the analysis of quantitative data obtained from electronic databases—

human subjects were not involved. There were thus no potential ethical concerns. The

research was approved by the Graduate School of Business (GSB) Ethics in Research

Committee.

1.7 ConclusionBefore testing the various models, it is necessary to conduct a literature review. This

review of the literature is presented in the next chapter, Chapter 2.

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2 LiteratureReview

In this chapter, a literature review is conducted. Beta is defined formally, the CAPM

assumptions are explained and a comprehensive history of the CAPM and beta is presented.

The chapter concludes by noting the CAPM has an important place in the financial literature

due to the elegant, simple and intuitive way in which it defines the relationship between risk

and return.

2.1 TheCreationofaRiskMeasureAs described in the introduction, the debate around the validity of the CAPM model

and beta has become one of the great debates in the financial literature of the last

fifty-odd years, with perhaps only the Miller and Modigliani (M&M) propositions

regarding the irrelevance of capital structure (1958) and dividend policy (1961)

having gained more attention.

Damodaran (1997) acknowledges the widespread use of the model and notes that

despite the fact that it has become a “magnet for criticism” (1997, p. 93), the CAPM

“is the standard against which other risk and return models are measured” (1997, p.

93). The popularity of the CAPM is attributable to the fact that it is both simple and

intuitive (Lakonishok & Shapiro, 1984).

One of the key results of the CAPM was to create a clear measure for risk. Blume

(1971, p. 1) notes that:

The concept of riskhas sopermeated the financial community thatnoone needs to be convinced of the necessity of including risk ininvestment analysis….One [such]measure of riskwhichhas hadwideacceptance in the academic community [is] the coefficient of non‐diversifiable risk or more simply the beta coefficient in the marketmodel.

2.2 WhatisRisk?Damodaran defines risk informally as, “the deviation of actual returns from expected

returns” (2006, p. 56)—more formally, “the beta of any investment in the CAPM is a

standardized [sic] measure of the risk that it adds to the market portfolio” (2006, p.

69).

Since beta cannot be measured directly (Bundoo, 2006), it is usually3 estimated by

performing an ordinary least squares (OLS) regression of time series of monthly

3 The estimation of beta is a subject in itself. This literature review documents a high-level overview of a number of common statistical methods used, but is by no means an exhaustive review of the topic.

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returns for a particular security against the total returns of a suitable market proxy.

(Gooding & O'Malley, 1977). This is expressed mathematically in Equation 5.

, (Eq.5)

2.3 TheImportanceofBetaBeta is of great importance in the world of investment. The reason for its importance

is the relationship between risk and reward—i.e., that according to the CAPM,

investors are only rewarded for the systematic risk which they incur (Theobald,

1980).

Therefore, in order to form an opinion about the expected returns on an investment,

it is essential that beta be accurately estimated. Any inaccuracies in the estimate of

beta represent unsystematic risk, which, according to the theory, is not rewarded

(Theobald, 1980).

This is particularly important for portfolio construction. In order to construct and

optimum portfolio (one which maximises return for a given level of risk, or one

which minimises risk for a given level of return), one has to take a view on the

relationship between risk and reward.

If one has a more accurate way to model this relationship between risk and return,

then one should be able to construct better portfolios. In this case, a “more accurate

model” is considered to be one which provides a better fit to empirical data.

2.4 CAPMAssumptionsIn order to follow many of the arguments presented in the literature regarding the

validity of the CAPM and its single measure of risk (beta), it is essential to

understand the assumptions on which the CAPM is based. The assumptions are as

follows and are adapted from a number of sources including Sharpe (1964), Jensen

(1969), Friend and Blume (1970), Black, Jensen and Scholes (1972) and Copeland et

al. (2005):

Markets are mean-variance efficient in the Markowitz sense. A Markowitz

portfolio is a portfolio that yields the highest expected return for a specified

level of risk, or the minimum standard deviation for a specified expected

return. A sketch showing the Markowitz “efficient frontier” line is shown in

Figure 1.

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Figure1:MarkowitzPortfolios4

All investors have a common, single-period investment horizon;

All investors are risk-averse individuals who attempt to maximise their wealth

utility function;

All investors are price-takers—i.e. regardless of the amount of investment, a

particular investor is assumed to have no effect on the price of an asset;

A risk-free asset exists such that investors are able to borrow or lend unlimited

amounts of the asset at the risk-free rate of interest;

Investors have homogeneous expectations about asset returns that are

normally distributed.

Friend and Blume note the following about the assumptions underlying the CAPM:

Inreality,theseassumptionsarenotlikelytoholdcompletely,but…[theCAPM] may, nonetheless, be an adequate approximation of reality formostsecurities.(Friend&Blume,1970,p.562)

4 Adapted from Copeland et al. (2005) and Damodaran (1997).

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2.5 TheHistoryoftheCAPMandBeta

2.5.1 TheBeginningAlmost immediately after Fama (1968) showed that the work of Sharpe and Lintner

represented, “equivalent approaches to the problem of capital asset pricing under

uncertainty” (Fama E. , 1968, p. 40), the CAPM was thrust into the academic

limelight.

For example, Michael Jensen published a study in 1969 in which he presented a

model for, “evaluating the performance of portfolios of risky assets” (Jensen, 1969, p.

245). In this study, he developed his well-known alpha coefficient and extended the

ex ante5 Sharpe-Lintner model to its ex post6 form—i.e. expected returns could be

expressed as a function of the level of systematic risk, the risk free rate of return and,

“actual realised returns… on the market portfolio over any holding period” (Jensen,

1969, p. 241).

The ex post form of the CAPM equation is given by Equation 6 (Copeland,

Weston, & Shastri, 2005, p. 165):

(Eq.6)

Jensen concluded his study by noting that the CAPM seemed to have empirical and

theoretical justification and that a “major effort” (Jensen, 1969, p. 245) to test the

model was required. A major effort was certainly what subsequently transpired—in

fact, it could be argued that the ex post form of the CAPM which Jensen derived

opened the flood gates to relentless empirical testing of the CAPM.

2.5.2 TheEarly1970sOne of the first (Copeland et al., 2005) major empirical studies on the CAPM was

performed by Friend and Blume in 1970. In this study, they “questioned the

usefulness” (p. 574) of market-line theory to explain market behaviour, given the fact

that it seemed to give “seriously biased estimates of performance” (ibid.). They also

noted that bias was related to the level of portfolio risk—greater bias was observed

for portfolios which had levels of risk significantly different to the market level of

risk.

Beta then came under more direct scrutiny in 1971 in another study by Blume. In

this study, Blume examined the stationarity of beta and documented a tendency of,

5 Ex ante means expectations-based (Copeland et al., 2005). 6 Ex post means based on observations of actual or realised returns (Copeland et al., 2005).

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“risk measures to regress towards the mean over time” (Blume, 1971, p. 10). Blume

also noted that beta was more stable for portfolios consisting of greater numbers of

securities than smaller portfolios or individual securities. This link between portfolio

size and beta stability was also confirmed by Modigliani and Pogue (1974).

Black, Jensen and Scholes (1972) presented similar findings to those of Blume,

noting that the expected excess returns on assets were not always proportional to beta.

They found that stocks with high betas tended to have negative alphas and stocks with

low betas tended to have positive alphas—put more simply, stocks with high betas

tended to yield lower-than-expected returns and stocks with low betas tended to yield

higher-than expected returns.

Black, Jensen and Scholes also found evidence of measurement error bias and

noted that this could be partly overcome by specific methods of grouping stocks into

portfolios for testing purposes. Black, Jensen and Scholes went as far as suggesting

that their evidence was sufficient to, “warrant rejection of the traditional form of the

[CAP] model” (Black, Jensen, & Scholes, 1972, p. 5).

Initially, scholars attempted to explain the less-than-ideal empirical performance of

the model by the restrictive assumptions around infinite borrowing and lending of a

riskless asset e.g. Black (1972). However, this apparent inability of beta and the

CAPM to describe returns in empirical testing led to scholars beginning to investigate

reasons for the differences in beta observed between firms, and the reasons for the

observed instability of beta over time.

For example, Hamada (1972) found that the added risk of increased debt (i.e.

corporate leverage) could explain up to 24% of observed systematic risk in common

stocks. Blume and Husic found evidence of a share price effect, noting that, “the price

per share of a stock appears to be related to future returns even if risk as often

measured is held constant” (1973, p. 283).

Levy (1974) investigated the use of beta for portfolio construction (i.e. the ability

of beta coefficients to predict returns) and was one of the first to suggest that better

predictions might be attained via the calculation of separate betas for bear and bull

markets.

Investigations along the lines of trying to explain observed differences in beta

between firms, the variations in beta over time and especially the poor empirical

performance of the CAPM continued throughought the early 1970s. Many different

solutions were proposed.

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For example, Vasicek (1973) suggested that equity betas be estimated using a

Bayesian7 statistical approach instead of the usual ordinary least squares (OLS)

regression method popular with most authors, while Robicheck and Cohn (1974)

believed that beta instability could be explained by changing macroeconomic factors.

Solnik (1974) suggested that the poor empirical performance of the CAPM was

related to the use of domestic (i.e. national) proxies for the market. He believed that

the solution was an international asset pricing model (IAPM), based on his belief

that, “the true measure of risk should be the international risk of an investment”

(1974, p. 552).

Modigliani (of Miller and Modigliani fame) and Pogue maintained that difficulties

in testing the CAPM were related to the fact that the CAPM was stated in ex ante

terms:

Themajor difficulty in testing the CAPM is that themodel is stated interms of investors’ expectations and not in terms of [sic] realizedreturns.Thefactthatexpectationsarenotalwaysrealizedintroducesanerrorterm,whichfromastatisticalpointofviewshouldbezeroontheaverage,butnotnecessarilyzeroforanysinglestockorsingleperiodoftime.(Modigliani&Pogue,1974,p.77)

2.5.3 TheLate1970sThe period from 1975 to 1980 was characterised by the publication of two landmark

articles in the field of finance in the midst of a continued ballooning of the literature

on the empirical study of the CAPM.

The two pivotal articles which appeared in this time were as follows:

(1) Stephen Ross developed his famous arbitrage pricing theory (APT) as an

“alternative to the mean variance capital asset pricing model” (Ross, 1976,

p. 341);

(2) Richard Roll published his critique of tests on the CAPM in which he

noted that testing of the CAPM was essentially, “infeasible” (Roll, 1977,

p. 129).

While both articles are great milestones in the subject of modern finance, the latter

is of greater importance to the research proposed in this document. The implications

of Roll’s article must have rattled the CAPM academic community to its core when it

7 The Bayesian approach is a recursive (i.e. iterative) statistical procedure which aims to provide more accurate estimates of a “true” parameter.

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was published. The opening lines of the article are repeated below (Roll, 1977, p. 129

& 130):

The two‐parameter asset pricing theory is testable in principle; butargumentsaregivenherethat:(a)Nocorrectandunambiguoustestofthetheoryhasappearedintheliterature,and(b)thereispracticallynopossibilitythatsuchatestcanbeaccomplishedinthefuture.Thisbroadindictmentofoneofthethreefundamentalparadigmsofmodernfinancewill undoubtedly be greeted by my colleagues, as it was by me, withscepticismandconsternation.Thepurposeofthispaper istoeliminatethescepticism.(Noreliefisofferedfortheconsternation.)

In parallel to the release of Roll’s bombshell, there was continued investigation of

various factors related to beta and the CAPM. The continued investigation can be

summarised as follows:

Macroeconomic and microeconomic determinants of risk (beta) continued to

investigated. Beaver & Manegold (1975) proposed an accounting beta which

was related to firm-specific accounting measures. Turnbull (1977)

demonstrated that systematic risk was related to firm growth and maturity.

Livingston (1977) suggested that risk measures should be estimated from

multiple indices (as opposed to the single index used in the CAPM) to account

for the significant covariance of industries. Basu (1977) found evidence that

portfolios with low price earnings (P/E) ratios tended to, “earn superior

returns on a risk-adjusted basis” (Investment performance of common stocks

in relation to their price-earnings ratios: A test of the efficient market

hypothesis, 1977, p. 681), thus casting some doubt on whether or information

was being reflected in share prices as rapidly as “postulated by the semi-strong

form of the efficient market hypothesis” (Basu, 1977, p. 681)8. Bar-Yosef and

Brown (1979) investigated the relationship between share price level and

systematic risk for two sample groups, one in which share splits had occurred

and one in which share splits had not occurred and concluded that, “economic

as opposed to simple accounting events are necessary to alter the risk-return

characteristics of a firm’s common stock” (1979, p. 63). Litzenberger and

Ramaswamy (1979, p. 163) found “before-tax expected rates of return… [to

be] linearly related to systematic risk and to dividend yield”.

8 According to the EMH, it should be impossible to benefit from information that is in the public domain (e.g. P/E ratios which are published in annual financial statements and are relatively easy to calculate based on historical information). Therefore since P/E ratios are considered to be common knowledge to all investors, investing in low P/E stocks should not result in one earning returns in excess of those required to compensate the investor for the level of systematic risk (beta). However, Basu found that “low P/E portfolios seem to have, on average, earned higher absolute and risk-adjusted rates of return than the high P/E securities” (1977, p. 680).

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The variation of beta as a function of bull and bear markets was investigated

by a number of authors including Fabozzi & Francis (1977, p. 1098) who

concluded that, “neither the alpha nor the beta statistics… appear to be

significantly affected by the alternating forces of bull and bear markets”. This

finding was then refuted again by Kim and Zumwalt—“the results indicate…

that unlike the Fabozzi and Francis study, more securities exhibited

statistically significant differences between up market and down-market betas

than would occur by chance” (An analysis of risk in bull and bear markets,

1979, p. 1016).

The regression tendencies of beta over time continued to be investigated by a

number of authors including Blume (1975), Gooding and O'Malley (1977),

Elgers, Haltiner, and Hawthorne (1979). Francis (Statistical analysis of risk

surrogates for NYSE stocks, 1979, p. 995) concluded that, “even better beta

forecasts could probably be obtained from multiple regression”.

Statistical methods were subjected to increasing scrutiny, e.g. Fabozzi and

Francis (1978, p. 101) found that beta coefficients tended to vary randomly

over time and that “ordinary least-squares (OLS) regressions used in nearly

every instance…” tended to be “inappropriate” (ibid.). Cornell and Dietrich

(1978) investigated using mean absolute deviation (MAD) regression

procedures to estimate beta instead of the usual OLS methods and found that

MAD did not outperform OLS methods. Eubank and Zumwalt (1979) found

that forecast errors could be reduced by utilising beta adjustment procedures

and an optimal estimation period for a particular investment horizon.

2.5.4 The1980sBy the early eighties, it appeared to be relatively widely accepted that beta was

unstable. Roll and Ross summarised the situation rather succinctly when they noted

that there was, “more than a modest level of disenchantment with the CAPM” (1980,

p. 1073) in the financial community.

The studies in the 1980s seemed to continue along much the same lines as those in

the seventies, with most studies falling into one of the following categories:

Investigations into the statistical aspects related to the estimation of beta;

Investigations into the determinants of beta;

Investigations into alternatives for the market proxy (these studies were

arguably prompted by Roll’s critique).

Summaries of these various categories of studies are provided in the section below

in the same order in which they appear in the bullet-point list above.

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Theobald (1980) conducted a study on beta factors in the United Kingdom (UK) and

found evidence of autocorrelation and heteroscedasticity9. Scott & Brown then,

“demonstrate[d] that concurrent autocorrelated10 residuals and intertemporal

correlations between market returns and residuals can lead to biased, unstable, OLS

estimates of betas” (Biased estimators and unstable betas, 1980, p. 55).

Engle (1982) then arguably popularised the use of use of autoregressive conditional

heteroscedasticity (ARCH) methods for modelling time series data in financial fields

after he used such a method for modelling inflation in the United Kingdom.

Chen and Lee (1982) developed a variable mean response regression model

(VMMRM) which was later shown to be flawed by McDonald (1983).

Bos and Newbold (1984, p. 40) were an interesting exception to the

“autocorrelation and homoscedasticity movement”—they found little evidence of

autocorrelation and argued that beta appeared to display “purely random” behaviour.

Fisher and Kamin (1985, p. 128) presented a complex paper in which they

“develop[ed] a form of Kalman filter11” which could be used for the estimation of

betas when residual returns were observed to be heteroscedastic.

Bollerslev (1986, p. 307) proposed a “Generalized [sic] autoregressive conditional

heteroscedasticity [GARCH]” model which was an extension to Engle’s original

ARCH model.

Rahman, Kryzanowski and Sim (1987) found that a generalised least squares

(GLS) model out-performed the usual OLS regression model in cases where beta

displayed random behaviour.

Authors who did not focus on the statistical aspects of estimating generally12

tended to concentrate on the determinants of beta. Reinganum (1981, p. 19) presented

evidence which refuted Basu’s P/E ratio and suggested that the P/E ratio was simply a

9 Heteroscedasticity means that the variation around the regression equation is not the same for all variables—i.e. in simple terms it can be observed as increasing spread of data points around the regression equation and is therefore not desirable when regression equations are to be used as these equations are based on the assumption of homoscedasticity (Lind, Marchal, & Wathen, 2010). 10 Autocorrelation means that successive residuals are not truly independent—i.e. that the values of successive residuals are related to the values of previous residuals. Regression equations generally assume the absence of autocorrelation. Thus when autocorrelation is present, it can lead to poor/invalid regression results (Lind, Marchal, & Wathen, 2010). 11 A Kalman filter is an advanced statistical method used to eliminate noise from time series data in order to provide better estimates of the true parameters. The detail is beyond the scope of this document. 12 The bear-and-bull market beta debate also reared its head a number of times, e.g. Lindahl-Stevens (1980) who looked at defining bear and bull markets and Chen (1982) who again argued that there was some justification for the separate calculation of bear and bull market beta factors.

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proxy for the effect of firm size, which led him to conclude that “empirical anomalies

which suggest[ed] that either the simple one-period capital asset pricing model

(CAPM) is [was] misspecified or that capital markets are [were] ineffcient” (1981, p.

19).

Soon thereafter, Banz found evidence which supported the size effect:

The evidence presented in this study suggests that the CAPM ismisspecified.Onaverage,smallNYSE[NewYorkStockExchange] firmshavehadsignificantlylargerriskadjustedreturnsthanlargeNYSEfirmsoverafortyyearperiod.(Banz,1981,p.16)

Bildersee and Roberts (1981) found evidence that beta instability was linked to

changing interest rates, Mandelker and Rhee (1984, p. 56) found that, “degrees of

operating and financial leverage explain a large portion of the variation in beta”,

while Lakonishok and Shapiro (1984, p. 40) provided the following conclusion to

their important empirical study on the variance of beta:

Sizeappearstobetheonlysignificant independentvariable,regardlessofthegroupingprocedureemployedortimeperiodanalyzed.Whateverfactorssizemeasures,ourresultssuggestthatitsubsumesbothbetaandtotalvariance.Itwouldbeprematuretoconclude,however,thatsizeasmeasuredbythemarketvalueofequityisthebestproxyforrisk….Itisapparentthatmuchmoreresearchiscalledforontherelationbetweenriskandreturn.

In their investigation into explanations for the instability of equity beta, DeJong and

Collins (1985) found that a statisitically significant portion of betas variation could be

explained by a firms leverage and changes in the risk-free rate. Bhandari (1986)

provided some support for the findings of DeJong and Collins in that he found the

debt equity ratio (DER) to be an important determinant of beta. He also found

evidence of greater variation in risk premia in January—something commonly known

as the “January effect”.

Chung (1989) provides a good conclusion to the “determinant investigation” period

of the 1980s in which he acknowledges the importance of examining the determinants

of the systematic risk of common stocks but cautions that, “most of the previous

empirical studies lack theoretical justification for selecting the possible determinants

of beta… [and] thus, these studies suffer from problems of serious potential model

misspecification” (1989, p. 343).

2.5.5 The1990sBy the early 1990s interest in the beta/CAPM topic appeared to be subsiding, judging

by the relatively few articles found for the period from 1990 to 1994. Martikainen

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(1991, 1993) conducted some empirical studies on risk and return on the Finnish

stock market and presented results much in-line with the status quo.

Bhardwaj and Brooks (1993) resurrected two old debates, namely that of the “size”

effect and that of the bear-and-bull market debate. They argued that when allowing

beta to vary as a function of bear and bull markets, the “size” effect was reversed—

i.e. that, “prior evidence on the overall superior performance by small firm stocks

possibly results from a failure to adjust for the risk differential in bull and bear

markets” (1993, p. 270 & 271).

Gregory-Allen, Impson, & Karafiath (1994) presented an interesting paper which

challenged the “conventional wisdom” that large portfolios of securities had more

stable betas than smaller portfolios or individual securities. Their argument was that

larger portfolios of shares simply eliminated the estimation-hampering “background

noise” more effectively and that their instability is as large as those of individual

securities when viewed in the light of the smaller variance common to larger

portfolios. In the end they concluded that, “neither category exhibit[ed] stability over

time, even for intervals as short as 100 days” (1994, p. 915).

However, it was exactly during this very period of apparent subsiding interest that

Eugene Fama and Kenneth French’s landmark series of articles, which were destined

to fuel the CAPM debate with new intensity, were published.

2.5.6 ASummaryPriortoFamaandFrenchPrior to discussing the Fama and French articles, it is worth noting that aside from a

few exceptions, empirical studies prior to those of Fama and French agreed on the

following broad points (Copeland, Weston, & Shastri, 2005, p. 167):

Securities or portfolios with high (or low) betas will earn lower (or higher)

returns than predicted by the CAPM;

Beta is the dominating measure of risk when compared to models which

include squared-beta terms or measures of unsystematic risk;

When the CAPM is tested it is found to be approximated best by functions

linear in beta;

Over long periods of time the return on the market portfolio tends to out-

perform the risk free rate of return;

Factors other than beta are able to explain portions of realised returns not

captured by beta.

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2.5.7 FamaandFrenchandthe“Death”ofBetaIn a series of landmark articles which were published in the 1990s (Fama & French,

1992, 1993, 1995 & 1996), Eugene Fama and Kenneth Frrench dealt what seemed

like a tremendous blow to the proponents of the CAPM and beta, causing the

financial press to announce the “death of beta” (Adcock & Clark, 1999, p. 217).

In 1992, their extensive empirical study entitled, “The Cross Section of Expected

Stock Returns” was published. Their main result was that: “two easily measured

variables, size and book-to-market equity, seem to describe the cross-section of

average stock returns” (1992, p. 451). They concluded that,“[their] tests do not

support the central prediction of the SLB [Sharpe Lintner Black] model, [i.e.] that

average stock returns are positively related to market βs” (1992, p. 428).

In their 1993 article, “Common risk factors in the returns on stocks and bonds”,

Fama and French built a three-factor model based on their 1992 results. They found

that stock market returns are explained by “[1] an overall market factor and factors

related to [2] firm size and [3] book-to-market equity”. These findings caused them to

become quite outspoken against the use of the traditional CAPM:

Many continue to use the one‐factor Sharpe‐Lintner [CAPM]model toevaluate portfolio performance and to estimate the cost of capital.despitethelackofevidencethatitisrelevant.Ataminimum.theresultshereandinFamaandFrench(1992a)shouldhelptobreakthiscommonhabit.(1993,p.54)

However, in concluding their 1993 article, they ended with some open questions in

which they implied that more work needed to be done to discover the fundamental

economic processes captured by measures like size and book-to-market effects.

In 1995, another Fama and French article appeared—in which they attempted to

investigate the economic reasons behind the success of factors like size and book-to-

market effects at explaining returns. They found that, “return tests cannot tell a

complete economic story” and that “size and BE/ME [book equity to market equity]

remain arbitrary indicator variables that, for unexplained economic reasons, are

related to risk factors in returns” (1995, p. 131). Unfortunately they failed to draw

conclusive evidence from this study:

We suspect that our failure to findmore systematic evidence that thecommon factors in earnings drive retums is due to noisymeasures ofshocks to expected earnings. But we have no evidence on thematter.And our colleagues in behavioral finance will surely suggest anotherexplanation.(1995,p.154)

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In 1996 they summarised and re-stated their model in the form of two equations,

shown in Equations 7 and 8 below (1996, p. 55 & 56):

Themodelsaysthat theexpectedreturnonaportfolio inexcessof therisk‐freerate isexplainedbythesensitivityofitsreturntothree factors: (i) the excess return on a broad market portfolio

(ii)thedifferencebetweenthereturnonaportfolioofsmallstocksand the returnonaportfolioof large stocks ( , smallminusbig); and (iii) thedifferencebetween the returnonaportfolioofhigh‐book‐to‐market stocks and the return on a portfolio of low‐book‐to‐marketstocks( ,highminus low).Specifically, theexpectedexcessreturnonportfolioiis:

(Eq.7)

where E R R , E SMB , and E HML are expected premiums, andthe factor sensitivities or loadings, , , and , are the slopes in thetimeseriesregression:

(Eq.8)

2.5.8 RevivedInterestintheCAPMandBetaThe damning conclusions of the Fama and French studies arguably caused a massive

resurgence (again, judging by the increase in publications on related topics in the

latter 1990s compared to the early 1990s) in interest in beta and the CAPM and

caused many of the big names in finance to rush to beta’s aid. Roll and Ross (1994)

again emphasised the difficulty of testing the CAPM (which Roll previously

highlighted in his pivotal article published in 1977):

Aswehave seen, though, theempirical findingsarenotby themselvessufficient cause for rejection of the theory. The cross‐sectional OLSrelation is very sensitive to the choice of an index and indices can bequiteclosetoeachotherandtothemean‐variancefrontierandyetstillproducesignificantlydifferentcross‐sectionalslopes,positive,negative,orzero.(Roll&Ross,1994,p.115)

Ross and Roll go on to provide additional backing for the CAPM with the

following statement: “surely the idea of a trade-off between risk and expected return

is valid and meaningful” (Roll & Ross, 1994, p. 115).

Fischer Black, of Black and Scholes option-pricing (Black & Scholes, 1972) fame,

also comes out in strong defence of the CAPM, noting that it is a model of expected

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return which is totally different to a model designed to explain variance. He seems to

chastise Fama and French in the following extract:

Thekeyissueininvestmentsisestimatingexpectedreturn.Itisneitherexplaining returnnor, asFamaandFrenchsuggest, explainingaveragereturn.Thesetopicscombineestimatingexpectedreturnwithexplainingvariance,whichisacompletelydifferentmatter.(Black,1995,p.168)

Black appears to criticise Fama and French for relying on data in the absence of

sound theory:

Fama and French do not seem to believe much in theory when theyestimateexpectedreturn.They(andmanyothers)relyheavilyondata.Theylookataveragereturnsoncertainfactorsasevidenceofexpectedreturnsforthosefactors.(Black,1995,p.168)

Black advocates the use of theory, finding it to be “far more powerful than data”

(Black, 1995, p. 169). He dismisses large multivariate tests where t-statistics are used

blindly as “data mining” (ibid.), noting that the so-called “anomalies” (gold nuggets)

preyed upon by these data miners are not anomalous at all if one understands theory:

All these formsofdataminingaremadeworseby thehugenumberofminers, both academic and nonacademic. “There's gold in them tharhills,”sincepeoplewhofindgoodwaystoestimateexpectedreturnscanmakealotofmoney.

Black also refers to an “overpublication problem” (Black, 1995, p. 169)—suggesting

that academic journals have become cluttered with hundreds of articles containing

empirical studies on data comprising, “conventional tests of statistical significance”

which “are almost completely invalid”.

In his article, Black also makes the ironic statement, “if beta had been dead, the

Fama-French results would have revived it!” (Black, 1995, p. 170). This “revival” is

exactly what transpired—journals filled up again with articles refuting the death of

beta. In fact, that literature in the latter half of the 1990s was arguably largely

occupied with CAPM/beta revival studies.

Authors like Pettengill, Sundaram, and Mathur (1995) initiated a new wave of

attempts to validate the CAPM with conditional beta models in their article entitled,

“The Conditional Relation between Beta and Returns”. In this article, they employed

a conditional method that, “considers the positive relation between beta and returns

during up markets and the negative relation during down markets” (1995, p. 115)

after noting that, “a positive relation is always predicted between beta and expected

returns, but this relation is conditional on the market excess returns when realized

[sic] returns are used for tests” (ibid., italics added).

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Kothari, Shanken and Sloan (1995) adopted a different approach and tried to

invalidate Fama and French’s findings by showing that average returns did indeed

reflect substantial compensation for beta risk, provided that betas were measured at

the annual interval. They believed that Fama and French’s results were contaminated

by “survivorship bias” (1995, p. 186) but acknowledged that they did find evidence of

a size effect.

Jagannathan and Wang (1996) present a conditional CAPM model which includes a

“return on human capital when measuring the return on aggregate wealth” (1996, p.

3) and find that their specification “performs well in explaining the cross-section of

average returns” (ibid.).

Authors like Ashton & Tippett (1998) again highlight Roll’s original critique and

conclude that Fama and French’s results are easy to reconstruct if the market proxy is

not entirely efficient:

Amongst themost important of these is the currently fashionable ideathatempiricalresearchshowstheSharpe‐Lintner‐Blackbetacoefficienttohavelittle,ifanyassociationwithriskyassetexpectedreturns.Indeedifoneistobelievetheliterature,simpleaccountingbasedmeasuressuchas the ratio of book to themarket value of equity and size are muchbetterproxies for equity risk thanbeta itself (FamaandFrench, 1992,1993, 1995 and 1996). We show, however, that such conclusionspossiblystemfromempiricalproceduresbasedonbetasestimatedfrominefficient indexportfolios.Andinterestingly,whenthis isthecaseit isnothard toconstructexamplesunderwhichotherriskproxiesreplacebeta in cross sectional regressions involving expected returns as theindexbecomesprogressivelymore inefficient. (Ashton&Tippett,1998,p.1345)

Just prior to the end of the decade, Farber, Roll and Solnik (1997) investigate the

relationship between exchange rate regimes and risk and De Santis and Gerard

conclude that, “that currency risk is priced in addition to market risk” (1997, p. 1910),

which is of great importance to the proposed research outlined by this document.

Adcock and Clark (1999) then end the decade with an article appropriately titled,

“Beta Lives—Some Statistical Perspectives on the Capital Asset Pricing Model” in

which they conclude that the CAPM (beta) is immortal in the sense that it is a

“theorem that relates expected values” (1999, p. 217)—that is, “it is a statement only

about the parameters of a multivariate probability distribution” (ibid.).

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2.5.9 Beyond2000The CAPM/beta studies appearing post 2000 tend to diverge into an even greater

number of directions. The post-2000 studies can generally be grouped into the

following categories:

Studies that assess the effect of international factors (e.g. US business cycles)

on domestic industries. For example, Ragunathan, Faff, and Brooks (2000)

and Park and Kim (2009) find that US industry business cycles tend to affect

domestic risk in Australia and Korea, respectively.

Re-runs of the major empirical CAPM tests in various markets. For example,

Drew & Veerearaghavan (2003) compare the traditional CAPM with the Fama

French empirical models in Hong Kong, Malaysia and Philippines and come

to much the same conclusions as those of Fama and French. Bundoo (2008)

conducts and empirical test on the Stock Exchange of Mauritius using an

augmented Fama-French three factor model.

Summaries of the findings of the many years of research on the CAPM and

beta. For examples see Laubscher (2002) and Subrahmanyam (2010) who

presents an excellent reflection on the last 25 years of research on the cross-

section of expected stock returns.

Studies which still try to discover the statistical significance of other

determinants of beta/variables which explain actual returns. Subrahmanyam,

finds that, “more than fifty variables have been used to predict returns” over

the years (2010, p. 27). These include findings that factors related to

momentum, value and growth stock approaches appear statistically significant.

See Au & Shapiro (2010) and Karanthanasis et al. (2010).

Studies which resurrect the bear-bull market debate.

Continued investigation into the statistical methods underlying the estimates

of beta. For example the non-parametric estimation method of Eisenbeiss,

Kauermann & Semmler (2007).

Studies analysing the effects of various significant events on levels of

systematic risk. For example Paleari & Redondi (2005) studied the effects of

regulation changes on company risk (beta), while Choudhry (2005) studied the

impact of the September 11 terrorist attacks on volatility and business risk in

the United States.

Studies extremely relevant to the line of research proposed in this document.

These include the study on “102 Years of South African Financial Market

History” by Firer and Staunton (2002) and the studies of Barr, Kantor and

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Holdsworth (2003, 2007) on the effect of the Rand exchange rate on the JSE

top 40 stocks.

Studies directed at the behavioural aspect of finance—e.g. Karceski (2002)

who documents how fund managers tend to chase returns.

2.6 ConclusionOne of the “most fundamental issues in finance is the relation between risk and

return” (Milionis, 2011, p. 306). Furthermore, despite almost fifty years of research

since the birth of beta, the overall picture “remains murky” (Subrahmanyam, 2010, p.

27)—at least in the empirical sense.

What is clear (to me at least) is that while non-believers have “announce[d] that

beta is dead” (Karceski, 2002, p. 560); beta and the CAPM are in fact, “immortal”

(Adcock & Clark, 1999, p. 217)—at least in the theoretical sense.

Roll and Ross describe the CAPM has having an “intuitive grey eminence13” (1980,

p. 1074). Fama and French, despite probably being guilty of killing beta, support this

view in admitting that the CAPM “offers pleasing predictions about how to measure

risk and the relation between expected return” (2004, p. 25).

Another point which can be argued (and easily defended) after reviewing the

literature, is that the world does not need another “multi-factor” (Ebner & Neumann,

2008, p. 383) regression model with a “rather arbitrary” (ibid.)—i.e. unsubstantiated

selection of regression variables.

What would, however, be useful is a tool for the financial practitioner. Barr, Kantor

and Holdsworth (2007) provide such a tools (that is easy to explain in economic

terms) and this report attempts to test how well these tools fit the data relative to the

traditional CAPM beta-based market model.

The next chapter describes the test method, along with the data used for the test, in

more detail.

13 Eminence is defined as, “fame or acknowledged superiority within a particular sphere” by the Online Oxford Dictionary.

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3 Method

This chapter explains the research approach, motivates the choice of data and describes the

data collection method. A step-by-step explanation of the method for testing the fit of the

various models is given.

3.1 ResearchApproachThis report uses a deductive research approach, focusing on the testing of existing

theory rather than attempting to build new theory (as would be the case in an

inductive approach). A quantitative method is necessitated by the fact that numerical

data, in the form of historical stock market returns, are analysed.

As outlined in Section 1.4, this study has three main objectives:

(1) To present a chronicle of the “life” of the CAPM and CAPM beta;

(2) To test the “goodness of fit” (to historical data) of the market model

versus the two BKH models;

(3) To explore how classic beta and the Rand beta vary as a function of time.

Item (1) was dealt with in Chapter 2. Items (2) and (3) are the focus of this chapter

and the remainder of the report.

3.2 DataCollection,ResearchDesignandSamplingHistorical data from South Africa’s Johannesburg Stock Exchange (JSE) were

retrieved primarily from Thomson Reuters Datastream or from I-Net Bridge in cases

where Datastream did not have sufficient data in the desired format, or for the dates

required for the study.

Four sets of data were obtained, namely: (1) the selection of shares to be evaluated,

along with their return history; (2) a suitable proxy for the market, along with its

return history; (3) a history of the South African Rand to United States Dollar (ZAR:

USD) exchange rate; and (4) commercially available betas14 were used for

comparison with betas calculated using OLS regression methods.

The sample of shares consisted of the JSE Top 40 shares as at the end of October

2011. These shares are shown in Table 1 along with their share codes and market

sectors. The shares have been grouped into mining/resource and non-mining/non-

resource categories.

14 These betas were obtained from Cadiz FSG.

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Table1:JSETop40sharesgroupedbysectorJSE

CODE COMPANY NAME SECTOR

ACL ARCELORMITTAL SA. Industrial Metals & Mining AGL ANGLO AMERICAN (JSE) Mining AMS ANGLO AMERICAN PLATINUM Mining ANG ANGLOGOLD ASHANTI Mining ARI AFN.RAINBOW MRLS. Mining ASR ASSORE Mining BIL BHP BILLITON (JSE) Mining EXX EXXARO RESOURCES Mining GFI GOLD FIELDS Mining

HAR HARMONY GOLD MNG. Mining IMP IMPALA PLATINUM Mining KIO KUMBA IRON ORE Industrial Metals & Mining LON LONMIN (JSE) Mining SOL SASOL Oil & Gas Producers ABL AFRICAN BANK INVS. Financial Services APN ASPEN PHMCR.HDG. Pharmaceuticals & Biotech. ASA ABSA GROUP Banks BVT BIDVEST GROUP General Industrials CFR RICHEMONT SECS. (JSE) Personal Goods CSO CAPITAL SHOPCTS.GP.(JSE) Real Estate Investment Trusts FSR FIRSTRAND Banks GRT GROWTHPOINT PROPS. Real Estate Invstmnt./Services INL INVESTEC Financial Services INP INVESTEC (JSE) Financial Services

MND MONDI Forestry & Paper MNP MONDI (JSE) Forestry & Paper MSM MASSMART General Retailers MTN MTN GROUP Mobile Telecommunications NED NEDBANK GROUP Banks NPN NASPERS Media OML OLD MUTUAL (JSE) Life Insurance REM REMGRO General Industrials RMH RMB Banks SAB SABMILLER (JSE) Beverages SBK STANDARD BK.GP. Banks SHF STEINHOFF INTL. Household Goods SHP SHOPRITE Food & Drug Retailers SLM SANLAM Life Insurance TBS TIGER BRANDS Food Producers TRU TRUWORTHS INTL. General Retailers VOD VODACOM GROUP Mobile Telecommunications WHL WOOLWORTHS HDG. General Retailers

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The constituents of the JSE Top 40 were selected for three reasons, namely:

(1) The JSE Top 40 shares are relatively well traded—i.e. issues of thin

trading (Firer et al., 2008) and the statistical difficulties associated with

calculating betas for thinly-traded shares could be avoided.

(2) This study is particularly interested in differences between resource

(mining) and non-resource shares. Resource companies in the South

African context typically have large market capitalisations and therefore

are mainly confined to the Top 40 shares by market capitalisation.

(3) A sample of forty shares is both manageable in the time period allocated

for this study and large enough to yield reliable statistical results.

The time period chosen for the study is from the beginning of 1994 to the present

(end October 2011). The start date of 1994 was chosen since it provides both a

sufficient time period and a “convenient” date in the sense that this is when the new

South Africa came into being. The JSE also arguably became more efficient after this

date as it became part of the world economy—prior to 1994, South Africa had been

relatively isolated from the world economy for political reasons.

It was also decided to use monthly data and a sixty month period over which to

perform the necessary regressions to estimate beta. This is in-line with generally

accepted practice (Damodaran, 1997). Since sixty months of returns were required to

estimate beta at a particular point in time, share data were required for at least sixty

months prior to the beginning of 1994—i.e. back to 1989.

For use in the regression equations, it was necessary to convert closing share prices

and the ALSI index levels to percentage total return form (i.e. inclusive of dividends).

This is achieved either by downloading data directly in total return form, or

converting it using Equation 9 (adapted from Damodaran, 2006, p. 110).

In Equation 9, , refers to the total return of share at time . Also, refers to the

current time period, 1 refers to the previous time period and is the share

closing price. A similar equation is used for calculating total returns on an index,

except that the index closing level is substituted for the closing price of a share.

% ,, ,

,1 (Eq.9)

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The ZAR to USD exchange rate also had to be converted into a percentage change

from period-to-period to be compatible with the remainder of the data. This was done

with Equation 10 (note that “ZAR” will henceforth be taken to mean % ).

1 (Eq.10)

The input data sets are contained in the following appendices:

Appendix B contains the monthly percentage total returns of the JSE Top 40

shares from the end of February 1989 to the end of October 2011 as calculated

using Datastream total returns index operator [RI] for each share;

Appendix C contains the monthly percentage total returns of the JSE All Share

Index (ALSI) as downloaded from I-Net Bridge using the AJ203[TR] code

and data type operator;

Appendix D contains the monthly percentage fluctuation in the ZAR to USD

exchange rate as retrieved from I-Net Bridge using the USDZAR[CL] code

and data type operator;

Appendix E contains the Cadiz Financial Services Group (FSG) betas and

related parameters like number of months used to calculate the betas,

coefficients of determination, standard errors and the percentage of days on

which the share was traded.

3.3 DataAnalysisMethodLinear equations were fitted to the data using 60 month “rolling”15 OLS regressions

from the most recent date (end of October 2011) back to January 1994. The three

regression formulae are listed below and are henceforth referred to as Model 1

(Equation 11), Model 2 (Equation 12) and Model 3 (Equation 13).

∙ (Eq.11)

∙ ∙ (Eq.12)

∙ ′ ∙ (Eq.13)

15 By “rolling”, it is meant that a 60 month moving regression window is used—analogous to the way that a moving average calculation rolls from period-to-period.

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Model 1 consists of the month-on-month total return on share on the left side of the

equation and; an intercept term16, , beta coefficient, multiplied by the month-

on-month total return on the market proxy, , and an error term, , on the right

side of the equation.

The intercept term, , and the beta coefficient, are calculated for each rolling

sixty month period using ordinary linear regression17. The beta coefficient calculated

using this method is identical to the CAPM beta calculated using Equation 5 on

page 7. The equation is repeated below for comparative purposes.

, (Eq.14)

Model 2 and Model 3 are analogous to Model 1, except that they each have two

independent variables, namely and in the case of Model 2 and

′ (ALSI “prime”) and in the case of Model 3. Therefore, multiple

regressions18 are used for calculating the beta parameters for Model 2 and Model 3.

Model 3 (Holdsworth, 2011) is a refinement of Model 2 which is designed to deal

with the multicollearity19 between changes in the exchange rate of the ZAR and

changes in the level of the ALSI (see ² of 0.26 in Figure 2).

Figure2:ChangesintheALSIregressedagainstchangesinZAR

16 The symbol is used here instead of the Greek letter alpha ( ) to avoid possible confusion with Jensen’s Alpha (Jensen, 1969) which is defined as the difference between and 1 (Damodaran, 2006). 17 The general form of a linear OLS regression equation is: (Lind, Marchal, & Wathen, 2010, p. 469). 18 The general form of a multiple regression equation is: ⋯ (Lind, Marchal, & Wathen, 2010, p. 506). 19 Multicollinearity is when independent variables are correlated (Lind, Marchal, & Wathen, 2010).

y = ‐0.5179x + 0.0105R² = 0.2553

‐15%

‐10%

‐5%

0%

5%

10%

15%

‐15% ‐10% ‐5% 0% 5% 10% 15% 20% 25%

ALSI

ZAR

Monthly ALSI vs ZAR (2006/11/30 to 2011/10/31)

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In order to do this, an additional OLS regression is required where the ALSI

(dependent variable) is regressed against the ZAR (independent variable) and the

residuals of this regression are taken to form ALSI prime. In other words, ALSI prime

consists of movements in the ALSI not explained by movements in the ZAR.

Again, since 60 months of data are used for the regressions, data for the individual

shares are required back to 1989 and data for the ALSI and ZAR are therefore

required 60 months prior to this date (i.e. a total of ten years prior to 1994, or 1984)20.

The procedure is illustrated graphically in Table 2. The idea is to obtain the

intercept, coefficients and adjusted coefficient of determination for each regression

window, for each model and for each of the JSE Top 40 shares. This requires a total

of about 34 000 regressions—214 regression windows from 2011/10/31 back to

1994/01/31, multiplied by three models (with one model requiring two regressions),

multiplied by forty shares.

The block of data marked (1) applies to Model 1, the block of data marked (2)

applies to Model 2, and the blocks of data marked (3a) and (3b) apply to Model 3.

Block (3a) consists of the regression to obtain ′ while block (3b) makes use of

′ in the same way that block (2) makes use of . All of these data are for

Impala Platinum (IMP).

The detailed procedure (applied per block, but explained for block [1]) is as

follows:

(1) Select the sixty months of IMP returns (dependent variable) versus ALSI

returns (independent variable) from 2011/10/31 back to 2006/11/30, as

indicated by the green lines.

(2) Perform a linear regression to obtain the intercept , , the beta

coefficient , and the adjusted coefficient of determination21,

(see yellow highlights).

The reason for using the adjusted coefficient of determination and not

the normal coefficient of determination for comparative purposes is that

an increased number of variables in a multiple regression equation

automatically makes the coefficient of determination larger, regardless of

whether the actual “fit” to the data is any better or not. The adjusted

20 Data for the ALSI were only available back to 1986. This is not problematic—the regressions simply start once there is sufficient data, meaning that the study effectively starts from 1996. 21 The adjusted coefficient of determination is equal to the coefficient of determination for a linear equation with one independent variable and zero intercept.

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coefficient of determination (Equation 15) adjusts for this upward drift in

² with increasing numbers of independent variables (Lind et al., 2010).

Essentially this “levels the playing fields”, making for a fair comparison

between the fits of a regression equation with a single independent

variable versus a multiple regression equation with multiple independent

variables.

11

1

(Eq.15)

The detailed regression output for the regression equation just described

is shown in Table 3. A comparison of the figures highlighted yellow in

Table 3 and the figures in green text above the yellow highlights in block

(1) in Table 2, reveals that they are the same.

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Table2:Illustrationofthesixtymonthrollingregressions

63 2006/08/31 5.44% 4.30% 1.550 0.003 0.189 0.011 0.079 0.537 0.529 63 2006/08/31 5.44% 4.10% 4.30% 0.500 1.388 0.007 0.174 0.187 0.010 0.075 0.596 0.582

62 2006/09/29 2.34% ‐2.00% 1.596 0.000 0.196 0.011 0.079 0.534 0.526 62 2006/09/29 2.34% 7.60% ‐2.00% 0.450 1.415 0.005 0.180 0.201 0.011 0.076 0.580 0.565

61 2006/10/31 4.57% 0.78% 1.597 0.000 0.197 0.011 0.079 0.531 0.523 61 2006/10/31 4.57% ‐4.66% 0.78% 0.474 1.414 0.005 0.178 0.200 0.011 0.076 0.583 0.568

60 2006/11/30 2.68% 11.81% 1.538 0.001 0.201 0.011 0.079 0.504 0.495 60 2006/11/30 2.68% ‐2.95% 11.81% 0.434 1.386 0.006 0.180 0.203 0.011 0.076 0.549 0.534

59 2006/12/29 4.16% 1.66% 1.444 ‐0.001 0.201 0.011 0.077 0.470 0.461 59 2006/12/29 4.16% ‐2.62% 1.66% 0.370 1.350 0.004 0.190 0.203 0.011 0.075 0.503 0.486

58 2007/01/31 2.23% 12.80% 1.433 0.002 0.203 0.011 0.077 0.462 0.452 58 2007/01/31 2.23% 3.94% 12.80% 0.382 1.338 0.007 0.190 0.204 0.011 0.075 0.497 0.480

∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙

∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙

∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙

3 2011/08/31 ‐0.32% 4.88% 1.599 ‐0.004 0.201 0.011 0.081 0.522 0.513 3 2011/08/31 ‐0.32% 4.61% 4.88% ‐0.175 1.517 ‐0.003 0.245 0.232 0.011 0.082 0.526 0.509

2 2011/09/30 ‐3.61% ‐6.26% 1.604 ‐0.003 0.199 0.011 0.081 0.528 0.520 2 2011/09/30 ‐3.61% 15.70% ‐6.26% ‐0.125 1.540 ‐0.002 0.233 0.233 0.011 0.081 0.530 0.514

1 2011/10/31 9.35% 11.70% 1.602 ‐0.002 0.195 0.011 0.081 0.538 0.530 1 2011/10/31 9.35% ‐1.76% 11.70% ‐0.146 1.530 ‐0.001 0.233 0.227 0.011 0.081 0.541 0.525

NO. DATE X : ALSI Y : IMP β1 a1 SEβ1 SEa1 SEY R²1 R²adj1 NO. DATE X1 : ALSI X2 : ZAR Y : IMP β3 β2 a2 SEβ3 SEβ2 SEa2 SEy R²2 R²adj2

R²adj1, IMP_AVG (avg. of all R²adj1 for IMP from 1994/01/31 to 2011/10/31): 0.355 R²adj2, IMP_AVG (avg. of all R²adj2 for IMP from 1994/01/31 to 2011/10/31): 0.363

63 2006/08/31 4.10% 5.44% 0.281 0.020 ∙ ∙ ∙ 0.031 0.023 63 2006/08/31 2.33% 4.10% 4.30% 0.481 1.212 0.026 0.179 0.171 0.010 0.076 0.578 0.563

62 2006/09/29 7.60% 2.34% 0.322 0.022 ∙ ∙ ∙ 0.046 ‐0.023 62 2006/09/29 ‐2.26% 7.60% ‐2.00% 0.500 1.197 0.027 0.177 0.169 0.010 0.076 0.581 0.567

61 2006/10/31 ‐4.66% 4.57% 0.307 0.022 ∙ ∙ ∙ 0.007 0.038 61 2006/10/31 3.83% ‐4.66% 0.78% 0.528 1.226 0.028 0.173 0.168 0.010 0.074 0.595 0.580

60 2006/11/30 ‐2.95% 2.68% 0.276 0.021 ∙ ∙ ∙ 0.013 0.014 60 2006/11/30 1.42% ‐2.95% 11.81% 0.513 1.231 0.030 0.176 0.178 0.010 0.075 0.554 0.538

59 2006/12/29 ‐2.62% 4.16% 0.224 0.020 ∙ ∙ ∙ 0.014 0.027 59 2006/12/29 2.74% ‐2.62% 1.66% 0.537 1.244 0.029 0.186 0.189 0.010 0.075 0.499 0.481

58 2007/01/31 3.94% 2.23% 0.218 0.020 ∙ ∙ ∙ 0.029 ‐0.007 58 2007/01/31 ‐0.66% 3.94% 12.80% 0.557 1.231 0.031 0.187 0.192 0.010 0.076 0.487 0.469

∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙

∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙

∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙ ∙

3 2011/08/31 4.61% ‐0.32% ‐0.522 0.010 ∙ ∙ ∙ ‐0.014 0.011 3 2011/08/31 1.11% 4.61% 4.88% ‐0.502 1.350 0.026 0.247 0.254 0.012 0.088 0.446 0.427

2 2011/09/30 15.70% ‐3.61% ‐0.512 0.009 ∙ ∙ ∙ ‐0.071 0.035 2 2011/09/30 3.49% 15.70% ‐6.26% ‐0.575 1.313 0.024 0.227 0.246 0.012 0.088 0.447 0.428

1 2011/10/31 ‐1.76% 9.35% ‐0.518 0.011 ∙ ∙ ∙ 0.020 0.074 1 2011/10/31 7.38% ‐1.76% 11.70% ‐0.597 1.328 0.026 0.225 0.239 0.011 0.088 0.465 0.447

NO. DATE X : ZAR Y : ALSI b a Y^ Y‐Y^ NO. DATE X1 : ALSI' X2 : ZAR Y : IMP β5 β4 a3 SEβ5 SEβ4 SEa3 SEy R²3 R²adj3

(ALSI') R²adj3, IMP_AVG (avg. of all R²adj3 for IMP from 1994/01/31 to 2011/10/31): 0.341

1 2

3a 3b

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Table3:Exampledetailedregressionfor(1)inTable2

Therefore, Table 2 is simply a more compact way and easily-repeated22

way of performing the thousands of regressions required. It must be noted

that while the concept is simple, the computer programming required to

handle the immense number of calculations, vast quantity of data and

array of outputs per calculation is a relatively complex and time-

consuming exercise.

(3) The “window” then rolls back by one month at a time (see blue lines and

then red lines in Table 2) and the procedure is repeated for each of the

models until the rolling window encounters a situation where there are

insufficient data points to create a sample of 60 months. The procedure

then moves on to the next share.

For each share, one thus obtains the following arrays of data23:

⟨ , / / , , / / , … , , / / ⟩ (Eq.16)

⟨ , / / , , / / , … , , / / ⟩ (Eq.17)

⟨ , / / , , / / , … , , / / ⟩ (Eq.18)

22 By means of “click-and-drag” in Microsoft Excel. 23 Note that if there is insufficient data, the array will not run all the way back to 1994/01/31.

SUMMARY OUTPUT

Regression Statistics

Multiple R 0.73357

R Square 0.53813

Adjusted R Square 0.53017

Standard Error 0.08067

Observations 60

ANOVA

df SS MS F Signf. F

Regression 1 0.43975 0.43975 67.5761 2.62E‐11

Residual 58 0.37743 0.00651

Total 59 0.81718

CoefficientsStd. Err. t Stat P‐value Lwr 95% Upr 95% Lwr 95.0%Upr 95.0%

Intercept ‐0.00240 0.01057 ‐0.22739 0.82092 ‐0.02356 0.01875 ‐0.02356 0.01875

ALSI 1.60226 0.19491 8.22047 0.00000 1.21210 1.99242 1.21210 1.99242

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⟨ , / / , , / / , … , , / / ⟩ (Eq.19)

⟨ , / / , , / / , … , , / / ⟩ (Eq.20)

, ⟨ , , / / , … , , , / / ⟩ (Eq.21)

, ⟨ , , / / , … , , , / / ⟩ (Eq.22)

, ⟨ , , / / , … , , , / / ⟩ (Eq.23)

(4) The arrays of betas are plotted as a function of time for each share in

Appendix A. Table 4 below gives the more descriptive names given to

each beta in the plots. The “M” character in the descriptive names

signifies that the beta is a coefficient from a multiple regression equation.

Table4:LegendforbetaplotsArray Name Description on Plot

β_ALSI

β_M_ALSI

β_M_ZAR

β_M_ALSI_PRIME

β_M_ZARP

(5) The arrays of adjusted coefficients of determination are used to create

three additional arrays of differences in the coefficients of determination

for each share, for each model. In other words, the three additional arrays

will be the differences in adjusted coefficients of determination between

Model 2 and Model 1, Model 3 and Model 1, and Model 3 and Model 2.

These will be referred to using the notation “21”, “31” and “32” for the

respective arrays.

Table 5 and Figure 3 demonstrate the case of the differences in adjusted

coefficients of determination between Model 2 and Model 1 for Impala

Platinum.

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Table5:DifferencesinadjustedR²forModel1&2(ImpalaPlatinum)

1994/01/31 ‐ 1999/10/29 0.001884 2005/07/29 0.021873 2011/04/29 ‐0.007562

1994/02/28 ‐ 1999/11/30 0.001880 2005/08/31 0.022947 2011/05/31 ‐0.005917

1994/03/31 ‐ 1999/12/31 0.001583 2005/09/30 0.025136 2011/06/30 ‐0.001657

1994/04/29 ‐ 2000/01/31 ‐0.003440 2005/10/31 0.025265 2011/07/29 ‐0.001842

1994/05/31 ‐ 2000/02/29 ‐0.001304 2005/11/30 0.015532 2011/08/31 ‐0.004134

1994/06/30 ‐ 2000/03/31 ‐0.001953 2005/12/30 0.015141 2011/09/30 ‐0.005991

1994/07/29 ‐ 2000/04/28 ‐0.002188 2006/01/31 0.016703 2011/10/31 ‐0.004943

1994/08/31 ‐ 2000/05/31 ‐0.001343 2006/02/28 0.017823

1994/09/30 ‐ 2000/06/30 0.000233 2006/03/31 0.025349 MIN ‐0.013207

1994/10/31 ‐ 2000/07/31 0.001994 2006/04/28 0.036054 1st Q ‐0.007352

1994/11/30 ‐ 2000/08/31 0.002933 2006/05/31 0.039900 MED 0.001880

1994/12/30 ‐ 2000/09/29 0.001095 2006/06/30 0.050371 3rdQ 0.025349

1995/01/31 ‐ 2000/10/31 ‐0.000302 2006/07/31 0.053702 MAX 0.078819

1995/02/28 ‐ 2000/11/30 ‐0.001126 2006/08/31 0.052426 MEAN 0.010521

1995/03/31 ‐ 2000/12/29 ‐0.002278 2006/09/29 0.039383 COUNT 189

1995/04/28 ‐ 2001/01/31 ‐0.005210 2006/10/31 0.045048

1995/05/31 ‐ 2001/02/28 ‐0.002915 2006/11/30 0.038696

1995/06/30 ‐ 2001/03/30 ‐0.004138 2006/12/29 0.024861

1995/07/31 ‐ 2001/04/30 ‐0.010725 2007/01/31 0.027321

1995/08/31 ‐ 2001/05/31 ‐0.011341 2007/02/28 0.028343

1995/09/29 ‐ 2001/06/29 ‐0.011714 2007/03/30 0.027911

1995/10/31 ‐ 2001/07/31 ‐0.011634 2007/04/30 0.041491

1995/11/30 ‐ 2001/08/31 ‐0.012558 2007/05/31 0.031040

1995/12/29 ‐ 2001/09/28 ‐0.012471 2007/06/29 0.037273

1996/01/31 ‐ 2001/10/31 ‐0.013031 2007/07/31 0.046947

1996/02/29 ‐0.013207 2001/11/30 ‐0.010690 2007/08/31 0.043286

1996/03/29 ‐0.008849 2001/12/31 0.001336 2007/09/28 0.030184

1996/04/30 ‐0.012537 2002/01/31 0.003812 2007/10/31 0.035785

1996/05/31 ‐0.012500 2002/02/28 0.012083 2007/11/30 0.033234

1996/06/28 ‐0.011119 2002/03/29 0.007957 2007/12/31 0.036774

1996/07/31 ‐0.009881 2002/04/30 ‐0.000740 2008/01/31 0.078819

1996/08/30 ‐0.009603 2002/05/31 0.006949 2008/02/29 0.074343

1996/09/30 ‐0.007413 2002/06/28 0.004173 2008/03/31 0.074823

1996/10/31 ‐0.005795 2002/07/31 0.008355 2008/04/30 0.071259

1996/11/29 ‐0.004236 2002/08/30 0.010566 2008/05/30 0.037501

1996/12/31 ‐0.009718 2002/09/30 0.010643 2008/06/30 0.026751

1997/01/31 ‐0.005189 2002/10/31 0.010929 2008/07/31 0.038168

1997/02/28 ‐0.011973 2002/11/29 0.014784 2008/08/29 0.027710

1997/03/31 ‐0.010835 2002/12/31 0.016947 2008/09/30 0.027460

1997/04/30 ‐0.010509 2003/01/31 0.016086 2008/10/31 ‐0.008984

1997/05/30 ‐0.007926 2003/02/28 0.023244 2008/11/28 ‐0.009586

1997/06/30 ‐0.004482 2003/03/31 0.026803 2008/12/31 ‐0.009091

1997/07/31 ‐0.005113 2003/04/30 0.036075 2009/01/30 ‐0.008253

1997/08/29 ‐0.002823 2003/05/30 0.050266 2009/02/27 ‐0.010113

1997/09/30 ‐0.004786 2003/06/30 0.066369 2009/03/31 ‐0.009329

1997/10/31 ‐0.005273 2003/07/31 0.063233 2009/04/30 ‐0.009708

1997/11/28 ‐0.003066 2003/08/29 0.047660 2009/05/29 ‐0.009394

1997/12/31 ‐0.003881 2003/09/30 0.063706 2009/06/30 ‐0.009393

1998/01/30 ‐0.004822 2003/10/31 0.041816 2009/07/31 ‐0.009385

1998/02/27 ‐0.006923 2003/11/28 0.046092 2009/08/31 ‐0.009609

1998/03/31 ‐0.005813 2003/12/31 0.038989 2009/09/30 ‐0.009281

1998/04/30 ‐0.004600 2004/01/30 0.031311 2009/10/30 ‐0.008901

1998/05/29 ‐0.004933 2004/02/27 0.032814 2009/11/30 ‐0.008444

1998/06/30 0.011333 2004/03/31 0.033440 2009/12/31 ‐0.008095

1998/07/31 0.023669 2004/04/30 0.029123 2010/01/29 ‐0.007878

1998/08/31 0.018536 2004/05/31 0.023289 2010/02/26 ‐0.007485

1998/09/30 ‐0.005539 2004/06/30 0.016435 2010/03/31 ‐0.006261

1998/10/30 0.001576 2004/07/30 0.015273 2010/04/30 ‐0.006709

1998/11/30 ‐0.002918 2004/08/31 0.014028 2010/05/31 ‐0.007214

1998/12/31 ‐0.002012 2004/09/30 0.018851 2010/06/30 ‐0.007256

1999/01/29 0.001087 2004/10/29 0.020867 2010/07/30 ‐0.007352

1999/02/26 0.002032 2004/11/30 0.026984 2010/08/31 ‐0.007740

1999/03/31 0.002384 2004/12/31 0.025325 2010/09/30 ‐0.008456

1999/04/30 0.003780 2005/01/31 0.022363 2010/10/29 ‐0.008158

1999/05/31 0.002164 2005/02/28 0.027387 2010/11/30 ‐0.008529

1999/06/30 0.006919 2005/03/31 0.029787 2010/12/31 ‐0.008278

1999/07/30 0.009194 2005/04/29 0.027764 2011/01/31 ‐0.007367

1999/08/31 0.006141 2005/05/31 0.020139 2011/02/28 ‐0.007680

1999/09/30 0.004657 2005/06/30 0.019971 2011/03/31 ‐0.007918

[IMP] IMPALA PLATINUM: [R2adj2‐R

2adj1]

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Figure3:BoxplotofdatainTable5

By plotting box plots for the different shares for each of the model comparisons on

a common set of axes, differences in the “goodness of fit” of the various models

should be readily apparent.

If a series of box plots for the differences in adjusted coefficients of determination

for, say, Model 2 and Model 1 shows a distinct positive bias (looking primarily at the

median), then one can argue that Model 2 is a better model than Model 1 since it fits

the data better (i.e., adjusted coefficients of determination for Model 2 being greater

more often than for Model 1).

This is the method used to judge which of the models is the better model. The use

of t-type hypothesis tests and analysis of variance (ANOVA) is avoided due to the

statistical difficulties presented by the data.

For example, one of the underlying assumptions required for use of the t-test is that

sampled populations are independent, both from one another and across time

(Raubenheimer, 2011)—not autocorrelated—this is the reason that even a paired t-

test would not be statistically correct. The assumptions underlying ANOVA are

similar, requiring independence (Lind, Marchal, & Wathen, 2010).

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4 Findings,AnalysisandDiscussion

This chapter presents the primary research findings. There are two components to the

findings, namely (1) findings related to the performance of the three models and (2) findings

related to the time variance of beta. Limitations of the research are also presented.

4.1 ResearchFindingsThe findings of this research are divided into two components, namely:

(1) Findings related to the comparison of the performance of the three

models;

(2) Findings related to the time-behaviour of the various beta factors for

resource versus non-resource stocks.

These findings are now presented, analysed and discussed under their respective

headings.

4.2 ComparisonoftheModelsThe primary purpose of this research is to compare the “goodness of fit” of the three

expressions used by practitioners to model the relationship between risk and return on

the JSE. For example, these relationships must be modelled for optimal portfolio

construction (Holdsworth, 2011). First, a quick recap/summary of the models:

(1) Model 1, the market model, relies on traditional CAPM beta as its single

measure of risk. This model relates the performance of a particular share

to (only) its individual measure of risk and the performance of the market.

(2) Model 2, the “original24” BKH model, is a two-factor model which is

based on the fact that returns on the JSE appear to be a function of two

factors (Barr & Kantor, 2003; Barr, Kantor, & Holdsworth, 2007;

Holdsworth, 2011).

(3) Model 3, the “refined” BKH model, is similar to the second model, but

with an adjustment for multicollinearity between the ALSI and the ZAR.

24 The third model is a refinement of the second model which attempts to deal with the issue of a degree of multicollinearity between the ALSI and the ZAR. This refined model was presented by Holdsworth (Holdsworth, 2011) but it is not entirely clear whether this refinement of the model was done my Holdsworth in isolation or whether the original authors (Barr and Kantor) were involved. In this research report, credit for both models will be given to all three authors since it is fairly clear from the articles referenced that the three authors work(ed) together closely on the development of these models.

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In the figures that follow, Model 2 was first compared to Model 1 (Figure 5), then

Model 3 was compared to Model 1 (Figure 6), and lastly, Model 3 was compared to

Model 2 (Figure 7). In all of the figures, resource shares are grouped alphabetically

on the left side of chart according to their share codes, while non-resource shares are

grouped alphabetically on the right side of the chart. The share codes for resource

shares are also depicted in red font while share codes for non-resource shares are

depicted in black font.

Figure 5 shows that Model 2 appears to outperform Model 1. This is because the

median25 values of the differences between adjusted coefficients of determination of

Model 2 and Model 1, i.e. , , , are positive in seven of the thirteen26

resource stocks and in 24 of the 25 non-resource stocks. However, it is also clear from

visual inspection of the minimum to maximum range and the first to third inter-

quartile ranges that the data are largely positive, again suggesting that Model 2

outperforms Model 1.

What is interesting (and unexpected) is that Model 2 appears to perform better for

non-resource stocks than for resource stocks. This is unexpected because of the

positive ZAR betas of most resource stocks (Barr, Kantor, & Holdsworth, 2007)—i.e.

the fact that resource stocks tend to perform well when the ZAR is weak and the fact

that the ALSI tends to suffer when the ZAR is weak. Therefore, Model 1 should not

perform well in terms of providing a good fit to the performance of resource

companies since one would expect accuracy to suffer when attempting to capture two

inverse movements with a single factor.

It is possible (due to correlation between the ALSI and the ZAR) that the ALSI

tends to perform poorly when the ZAR is weak and that therefore changes in ZAR are

automatically captured in the ALSI factor without requiring an additional ZAR factor.

In Figure 6, the performance of Model 3 and Model 1 is compared. The median

values of the differences between adjusted coefficients of determination of Model 3

and Model 1, i.e. , , , are positive in two of the thirteen resource stocks

and in 22 of the 25 non-resource stocks. These are rather mixed results. Clearly

Model 3 does not perform well for resource stocks, but seems to perform relatively

well for the non-resource stocks. Since portfolios tend to be comprised of both

25 The median is regarded as a better measure for comparison than the mean since the mean may be skewed by one large positive or negative outlier (Lind, Marchal, & Wathen, 2010). 26 Shares for which there was insufficient data to get results were omitted—hence the fact that there are fourteen resource shares in the original sample, but only thirteen of which yield results.

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resource stocks and non-resource stocks, the overall performance of this model is

questionable.

In Figure 7 the performance of Model 3 is compared with the performance of

Model 2. In this case, it is relatively clear that Model 3 is a poorer fit to the data than

Model 2—the median values of the differences between adjusted coefficients of

determination of Model 3 and Model 2, i.e. , , , are negative for all of the

resource stocks and are negative for sixteen out of the 25 non-resource stocks.

Overall this seems to suggest that Model 2 provides the best relative fit to the data,

followed by Model 3 and Model 1 (not in any specific order as it is debateable

whether Model 3 is better than Model 1).

In order to get an idea of the absolute fits (i.e. up to now the comparisons have been

relative), the average adjusted coefficients of determination of each model for each

share (for the entire data range of the study) are presented numerically in Table 6 and

summarised by means of box plots in Figure 4.

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Table6:AveragecoefficientsofdeterminationforModels1,2&3No. JSE CODE COMPANY NAME R²adj1AVG R²adj2AVG R²adj3AVG 1 ACL ARCELORMITTAL SA. 0.292 0.300 0.3062 AGL ANGLO AMERICAN (JSE) 0.691 0.711 0.6633 AMS ANGLO AMERICAN PLATINUM 0.401 0.433 0.3834 ANG ANGLOGOLD ASHANTI 0.220 0.219 0.1885 ARI AFN.RAINBOW MRLS. 0.303 0.315 0.2676 ASR ASSORE 0.057 0.049 0.0397 BIL BHP BILLITON (JSE) 0.568 0.582 0.5578 EXX EXXARO RESOURCES 0.269 0.260 0.2429 GFI GOLD FIELDS 0.189 0.196 0.16310 HAR HARMONY GOLD MNG. 0.137 0.142 0.13611 IMP IMPALA PLATINUM 0.355 0.363 0.34112 LON LONMIN (JSE) 0.252 0.278 0.27513 SOL SASOL 0.374 0.397 0.3991 ABL AFRICAN BANK INVS. 0.122 0.172 0.2062 APN ASPEN PHMCR.HDG. 0.024 0.118 0.1203 ASA ABSA GROUP 0.268 0.316 0.3084 BVT BIDVEST GROUP 0.303 0.329 0.3365 CFR RICHEMONT SECS. (JSE) 0.362 0.371 0.3436 CSO CAPITAL SHOPCTS.GP.(JSE) 0.193 0.329 0.3047 FSR FIRSTRAND 0.257 0.327 0.3238 GRT GROWTHPOINT PROPS. 0.019 0.044 0.0469 INL INVESTEC 0.264 0.290 0.27610 INP INVESTEC (JSE) 0.286 0.289 0.29111 MSM MASSMART 0.060 0.159 0.17012 MTN MTN GROUP 0.256 0.339 0.32213 NED NEDBANK GROUP 0.247 0.305 0.28514 NPN NASPERS 0.277 0.338 0.32615 OML OLD MUTUAL (JSE) 0.374 0.400 0.33616 REM REMGRO 0.223 0.239 0.21717 RMH RMB 0.280 0.345 0.32918 SAB SABMILLER (JSE) 0.432 0.428 0.42319 SBK STANDARD BK.GP. 0.295 0.350 0.33820 SHF STEINHOFF INTL. 0.323 0.324 0.30521 SHP SHOPRITE 0.087 0.198 0.21522 SLM SANLAM 0.209 0.307 0.29323 TBS TIGER BRANDS 0.244 0.300 0.30524 TRU TRUWORTHS INTL. 0.077 0.202 0.21225 WHL WOOLWORTHS HDG. 0.159 0.238 0.244Resource Average 0.316 0.327 0.304Non-Resource Average 0.226 0.282 0.275Overall Average 0.257 0.297 0.285

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Figure4:BoxplotsofaverageR²adjforModels1,2&3

These results also support the conclusion that Model 2 provides the best fit to the

data. One must be cautious of coming to the conclusion that the differences are

statistically significant, since these differences may simply be attributable to chance.

This is the reason it is desirable to state statistical measures with a confidence

interval—although, as already discussed, these data present statistical problems in

terms of independence and therefore statistical t-tests and ANOVA tables have not

been used.

The fact that this study has been unable to draw statistical conclusions from the

data is a weakness.

R²adj1AVG R²adj2AVG R²adj3AVG0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

Box Plots of Adjusted Coefficients of Determination

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Figure5:BoxplotsofΔR²adj(Model2&1)forallJSETop40shares

ACL

AGL

AMS

ANG

ARI

ASR

BIL

EXX

GFI

HAR

IMP

LON

SOL

ABL

APN

ASA

BVT

CFR

CSO‐0.20

‐0.15

‐0.10

‐0.05

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

R²adj2 – R²adj1

FSR

GRT

INL

INP

MSM

MTN

NED

NPN

OML

REM

RMH

SAB

SBK

SHF

SHP

SLM

TBS

TRU

WHL

‐0.20

‐0.15

‐0.10

‐0.05

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

R²adj2 – R²adj1

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Figure6:BoxplotsofΔR²adj(Model3&1)forallJSETop40shares

ACL

AGL

AMS

ANG

ARI

ASR

BIL

EXX

GFI

HAR

IMP

LON

SOL

ABL

APN

ASA

BVT

CFR

CSO‐0.20

‐0.15

‐0.10

‐0.05

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

R²adj3 – R²adj1

FSR

GRT

INL

INP

MSM

MTN

NED

NPN

OML

REM

RMH

SAB

SBK

SHF

SHP

SLM

TBS

TRU

WHL

‐0.20

‐0.15

‐0.10

‐0.05

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

R²adj3 – R²adj1

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Figure7:BoxplotsofΔR²adj(Model3&2)forallJSETop40shares

ACL

AGL

AMS

ANG

ARI

ASR

BIL

EXX

GFI

HAR

IMP

LON

SOL

ABL

APN

ASA

BVT

CFR

CSO‐0.20

‐0.15

‐0.10

‐0.05

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

R²adj3 – R²adj2

FSR

GRT

INL

INP

MSM

MTN

NED

NPN

OML

REM

RMH

SAB

SBK

SHF

SHP

SLM

TBS

TRU

WHL

‐0.20

‐0.15

‐0.10

‐0.05

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

R²adj3 – R²adj2

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4.3 TimeBehaviourofBetaA factor analysis of the JSE Top 40 shares was conducted for the time period of the

study (i.e. 1994/01/31 to 2011/10/31) as shown in Figure 8. The findings are similar

to those of Barr, Kantor and Holdsworth (2007)—showing:

(1) How returns for the JSE Top 40 shares are a function of two factors,

namely the ALSI and the ZAR, and;

(2) How the “classic” mining/resource companies behave very differently to

the remainder of the shares.

Two examples, namely [HAR] Harmony Gold Mining and [NED] Nedbank Group

are shown with blue markers and blue text in the factor plot and will be used in the

discussions that follow.

Figure8:FactoranalysisofSAmarket

Various betas for all of the JSE Top 40 shares have been plotted as a function of

time, from 1994 to the present, in Appendix A. The major findings are illustrated by

means of one example of a Rand leverage stock, HAR (Figure 9) and one example of

a Rand play stock NED (Figure 10). Numbered items below refer to the numbered

labels on the figures.

(1) The ZAR betas (Rand betas) for HAR and NED are typical of resource

versus non-resource companies, with HAR having a positive ZAR beta

ABLACLAGL

AMS

ANG

APN

ARI

ASA

ASRBIL

BVT

CFR

CSO

EXX

FSR

GFI

GRT

HAR

IMP

INLINP

KIO

LON

MND

MNP

MSM

MTN

NEDNPN

OML

REM

RMH

SAB

SBK

SHF

SHP

SLM

SOL

TBS

TRUVOD WHL

‐0.4

‐0.2

0

0.2

0.4

0.6

0.8

1

‐0.8 ‐0.6 ‐0.4 ‐0.2 0 0.2 0.4 0.6 0.8 1

F2 (8.11 %)

F1 (43.92 %)

Factor Analysis

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and NED having a negative beta (at least for the last ten years). This

illustrates again how a resource company will tend to perform well when

the Rand weakens due to the fact that it sells commodities in USD, while a

company like NED, with largely SA-specific operations (Rand-based

revenues and Rand-based expenses) will perform poorly when the Rand

weakens.

(2) For all of the examples, the betas estimated by means of the traditional

OLS method are almost identical to the betas provided by Cadiz FSG.

This can probably be attributed to the fact that the JSE Top 40 shares are

well-traded (%DTcadiz = 1.00 or 100% for most of the shares for the

period in question) and therefore few adjustments are required.

(3) Most of the stocks show some sort of “blip” around 2008, probably

attributed to the financial crisis. For gold mining companies, the

disturbance is relatively large—this can possibly be attributed to the

observation that the demand for gold tends to increase in times of

economic uncertainty as gold is a traditional “safe-haven”.

(4) All of the betas show a fair degree of variance over the entire period, or

parts of the period (based on visual inspection)—therefore lending

supporting to the findings in the literature that betas tend to be unstable.

Also, resource stocks appear to have more volatile betas than non-resource

stocks.

Figure9:ExampleofaRandleverage(resource)stock

0

10

20

30

40

50

60

‐2.00‐1.50‐1.00‐0.500.000.501.001.502.002.50

Months (M

THscadiz)

Value (All Other Series)

[HAR] HARMONY GOLD MNG.

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

1

2

34

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Figure10:ExampleofaRandplay(“SAincorporated”)stock

4.4 ResearchLimitationsPotential limitations of this research are the following:

(1) The lack of a more rigorous statistical method to provide a more concrete

measure of the degree to which one of the models outperforms another.

More research is required to find a suitable statistical method for non-

independent samples which are autocorrelated which allows one to state

with a confidence level whether or not the observed differences are due to

random chance, or whether they are statistically significant.

(2) The lack of a more rigorous statistical method to provide evidence for the

time-variance of beta. Current conclusions are simply that visual

inspections of the beta plots appear to support findings in the literature

that beta is not constant over time.

(3) The potential presence of survivorship bias (Blume, 1975). This study was

conducted with a JSE Top 40 constituent list as at October 2011—thereby

excluding companies which may have been on the JSE Top 40 at a

particular stage and then ceased to exist at a later stage. In retrospect, it

may have been more rigorous to start with a JSE Top 40 constituent list as

at January 1994.

(4) The fact that this study was conducted for a single period from 1994 to the

present. Judging by the cyclical nature of the correlation between the

ALSI and ZAR, there are arguably significant inter/intra-period

differences during the duration of the study and treating the entire period

as a homogenous period may average out extremities that may have been

0

10

20

30

40

50

60

‐2.00‐1.50‐1.00‐0.500.000.501.001.502.002.50

Months (M

THscadiz)

Value (All Other Series)

[NED] NEDBANK GROUP

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

1

2

3

4

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highlighted had the study been extended to include multiple time

periods—e.g. 1994 to 1999, 2000 to 2004 and/or 2005 to 2011.

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5 Conclusion

This chapter presents a final conclusion. Support is found for the instability of beta based on

visual inspection of the beta plots. The first of the two BKH models (Model 2) appears to be

the best model in terms of fitting historical data. There must therefore be factors other than

CAPM beta which explain stock returns.

In this research report, the time-stability and behaviour of a number of different beta

factors for JSE Top 40 resource versus non-resource shares was studied. The study

was conducted for a period from January 1994 to October 2011 (the new South

Africa).

In addition to this, the performance of three models for the modelling of risk-return

relationships for portfolio construction was compared. This comparison was done

using the adjusted coefficients of determination as a measure of “goodness of fit”.

The first of these models is a one-factor model which uses CAPM beta as its sole

measure of risk, while the second and third models are two-factor models which

incorporate both a market factor (classic beta) and a ZAR to USD exchange rate

factor (Rand beta).

Model 2 uses returns on the ALSI and changes in the ZAR to predict returns, while

the Model 3 uses returns on the ALSI not explained by changes in the ZAR (ALSI

prime) and the ZAR. ALSI prime is composed of the residuals from a regression of

the ALSI against the ZAR.

Based on visual inspection, the beta plots in the appendix appear to support the

findings in literature that beta is not stable over time.

A factor analysis showed that the shares being studied are a function of two factors;

resource shares exhibit behaviour which BKH describe as “Rand leverages”—in other

words, resource shares have positive ZAR betas, suggesting that these shares perform

well when the Rand weakens.

The vast majority of non-resource shares on the JSE Top 40 exhibit behaviour that

BKH describe as “Rand plays”—i.e., these shares perform well when the Rand

strengthens.

The inter-dependence of the samples presented some statistical difficulties. This

research was therefore not able to prove with statistical significance that one of the

models is better than another.

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However, based on visual inspection of the box plots, Model 2 appears to be the best

of the three models. While this has not been proven to be a statistically significant

difference in performance (i.e. the difference in performance could be due to random

chance), given the amount of data analysed, it is believed that this difference in

performance is not merely the result of random chance.

By the same logic, the performance of Model 3 is arguably disappointing. Despite

the lack of conclusive statistical significance, the results presented in the context of

the quantity of data analysed do lead one to question the use of Model 3 for the

purpose portfolio construction.

This study has additional limitations over-and-above the lack of conclusive

statistical evidence, including potential survivorship bias and the fact that the study

was conducted for the entire period from 1994 to the present when it seems that there

are “sub-periods” within the overall period which exhibit different behaviour. As an

example, see the alternating negative and positive ALSI ZAR correlation illustrated in

Figure 11.

This cyclicality in ALSI ZAR correlation, along with the performance of the three

models under different correlation regimes is an interesting topic for future research.

As a final conclusion, this research supports findings in literature that there are

other factors (e.g. the Rand beta explored in this report) which explain actual stock

returns which a single risk measure (classic beta) fails to capture.

Based on the literature review, multi-factor models like the Fama and French TFM

appear to do a very good job of explaining actual returns. However, the TFM model

lacks a certain “elegance” in that it is not easily explained by economic fundamentals

(unlike the BKH models) and appears to be the result of nothing more than a large

step-wise regression.

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6 FutureResearchDirections

This final chapter presents potential future research directions. Two interesting phenomena

were observed during this research: (1) the correlation between the ALSI and ZAR is found to

be cyclical with an alternating sign, and (2) the Rand leverage phenomenon appears to be

getting less pronounced.

Two interesting phenomena were observed while performing the data analysis

required for the main components of the study. First, the correlation between ALSI

returns and changes in the ZAR was found to be cyclical and was found to alternate

between positive and negative correlation. This is illustrated by means of 60 month

(black line), 36 month (blue line) and 12 month (red line) rolling correlations in

Figure 11.

Figure11:CorrelationbetweenALSI&ZAR

Second, the BKH Rand leverage phenomenon particular to resource companies

appears to be getting less pronounced. Many of the companies which were Rand

leverages at the time of the original BKH studies from 2003 to 2007 are currently

exhibiting negative Rand betas as shown in Table 7.

These discoveries could form the foundation for future research.

‐1.00

‐0.80

‐0.60

‐0.40

‐0.20

0.00

0.20

0.40

0.60

0.80

1.00

1994

1994

1995

1996

1997

1998

1999

1999

2000

2001

2002

2003

2004

2004

2005

2006

2007

2008

2009

2009

2010

2011

Correlation between ALSI and ZAR

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Table7:ChangingRandbetasofresourcecompanies

No. JSE

CODE COMPANY NAME

End 1994

End 1999

End 2004

End 2009

Now

1 ACL ARCELORMITTAL SA. - -0.45 0.81 -0.43 -0.352 AGL ANGLO AMERICAN (JSE) -0.49 0.12 0.35 0.34 0.243 AMS ANGLO AMERICAN PLAT. -0.23 1.08 0.59 0.02 -0.094 ANG ANGLOGOLD ASHANTI -0.57 -0.41 -0.15 0.28 0.395 ARI AFN.RAINBOW MRLS. 0.06 -1.94 0.17 -0.06 -0.076 ASR ASSORE - -0.34 0.03 -0.29 -0.157 BIL BHP BILLITON (JSE) - - 0.31 0.25 0.268 EXX EXXARO RESOURCES - - - 0.05 -0.119 GFI GOLD FIELDS -0.70 -0.15 0.31 0.41 0.3110 HAR HARMONY GOLD MNG. - 0.39 0.66 0.68 0.2911 IMP IMPALA PLATINUM -0.02 0.62 0.47 -0.08 -0.1512 LON LONMIN (JSE) - -0.15 0.81 0.07 0.0713 SOL SASOL -0.39 0.24 0.75 0.17 0.18

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7 References

This section contains the bibliography. This section is followed by Appendices A to E.

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Au, A. S., & Shapiro, R. (2010). The changing beta of value and momentum stocks. The Journal of Investing, 25–31.

Ball, R. (1995). The theory of stock market efficiency: Accomplishments and limitations. Journal of Applied Corporate Finance, 4–17.

Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 3–18.

Barr, G. D., & Kantor, B. S. (2003). The impact of the Rand on the value of the Johannesburg Stock Exchange. n.j., 1–18.

Barr, G. D., Kantor, B. S., & Holdsworth, C. G. (2007). The effect of the Rand exchange rate on the JSE Top-40 stocks—An analysis for the practitioner. South African Journal of Business Management, 45–58.

Bar-Yosef, S., & Brown, L. D. (1979). Share price levels and beta. Financial Management Association, 60–63.

Basu, S. (1977). Investment performance of common stocks in relation to their price-earnings ratios: A test of the efficient market hypothesis. The Journal of Finance, 663–682.

Beaver, W., & Manegold, J. (1975). The association between market-determined and accounting-determined measures of systematic risk: Some further evidence. Journal of Financial and Quantitative Analysis, 231–284.

Bhandari, L. C. (1986). Debt/equity ratio and expected common stock returns: Empirical evidence. The Journal of Finance, 507–528.

Bhardwaj, R. K., & Brooks, L. D. (1993). Dual betas from bull and bear markets: Reversal of the size effect. The Journal of Financial Research, 269–283.

Bildersee, J. S., & Roberts, G. S. (1981). Beta instability when interest rate levels change. Journal of Financial and Quantitative Analysis, 375–380.

Black, F. (1972). Capital market equibrium with restricted borrowing. Journal of Business, 444–455.

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Black, F., Jensen, M. C., & Scholes, M. (1972). The capital asset pricing model: Some empirical tests. Studies in the Theory of Capital Markets, 1–52.

Blume, M. E. (1971). On the assessment of risk. Journal of Finance, 1–10.

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Bos, T., & Newbold, B. (1984). An empirical investigation of the possibility of stochastic systematic risk in the market model. Journal of Business, 35–41.

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Damodaran, A. (1997). Corporate finance: Theory and practice. New York: John Wiley & Sons.

Damodaran, A. (2006). Applied corporate finance: A user's manual. New Jersey: John Wiley & Sons.

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DeJong, D. V., & Collins, D. (1985). Explanations for the instability of equity beta: Risk-free rate changes and leverage effects. Journal of Financial and Quantitative Analysis, 73–94.

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Drew, M. E., & Veeraraghavan, M. (2003). Beta, firm size, book-to-market equity and stock returns: Further evidence from emerging markets. Journal of the Asia Pacific Economy, 354–379.

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Eisenbeiss, M., Kauermann, G., & Semmler, W. (2007). Estimating beta-coefficients of German stock data: A non-parametric approach. The European Journal of Finance, 503–522.

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Fabozzi, F. J., & Francis, J. C. (1977). Stability tests for alphas and betas over bull and bear market conditions. The Journal of Finance, 1093–1099.

Fabozzi, F. J., & Francis, J. C. (1978). Beta as a random coefficient. Journal of Financial and Quantitative Analysis, 101–116.

Fama, E. (1968). Risk, return and equilibrium: Some clarifying comments. The Journal of Finance, 29–40.

Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. The Journal of Finance, 427–464.

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Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 3–56.

Fama, E. F., & French, K. R. (1995). Size and book-to-market factors in earnings and returns. The Journal of Finance, 131–155.

Fama, E. F., & French, K. R. (1996). Multifactor explanations of asset pricing anomalies. The Journal of Finance, 55–84.

Fama, E. F., & French, K. R. (2004). The capital asset pricing model: Theory and evidence. Journal of Economic Perspectives, 25–46.

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Firer, C., & Staunton, M. (2002). 102 years of South African financial market history. Investment Analysts Journal, n.p.

Firer, C., Ross, S. A., Westerfield, R. W., & Jordan, B. D. (2008). Fundamentals of corporate finance. Berkshire: McGraw-Hill Education.

Fisher, L., & Kamin, J. H. (1985). Forecasting systematic risk: Estimates of "raw" beta that take account of the tendency of beta to change and the heteroskedasticity of residual returns. Journal of Financial and Quantitative Analysis, 127–149.

Francis, J. C. (1979). Statistical analysis of risk surrogates for NYSE stocks. Journal of Financial and Quantitative Analysis, 981–997.

Friend, I., & Blume, M. (1970). Measurement of portfolio performance under uncertainty. The American Economic Review, 561–575.

Gooding, A. E., & O'Malley, T. P. (1977). Market phase and the stationarity of beta. Journal of Financial and Quantitative Analysis, 833–857.

Gregory-Allen, R., Impson, C. M., & Karafiath, I. (1994). An empirical investigation of beta stability: Portfolios vs. individual securities. Journal of Business Finance & Accounting, 909–916.

Hamada, R. S. (1972). The effect of the firm's capital structure on the systematic risk of commons stocks. The Journal of Finance, 435–452.

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Lakonishok, J., & Shapiro, A. C. (1984). Stock returns, beta, variance and size: An empirical analysis. Financial Analysts Journal, 36–41.

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Laubscher, E. R. (2002). A review of the theory of and evidence on the use of the capital asset pricing model to estimate expected share returns. Meditari Accountancy Research, 131–146.

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Levy, R. A. (1974). Beta coefficients as predictors of return. Financial Analysts Journal, 61–69.

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Rahman, A., Kryzanowski, L., & Sim, A. B. (1987). Systematic risk in a purely random market model: Some empirical evidence for individual public utilities. The Journal of Financial Research, 143–152.

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AppendixA:Results—BetaPlotsforJSEALSITop40

The graphs in this appendix plot a number of different betas as a function of time (from 1994

to the present) for the shares which made up the JSE ALSI Top 40 at the end of

October 2011.

The bold black line indicates “classic” beta, calculated by means of sixty month rolling OLS

regressions, regressing the share in question against the market proxy, the ALSI. The bold red

line indicates beta as calculated by Cadiz FSG. Cadiz betas are published quarterly. The

classic betas are very similar to the Cadiz betas.

Figure12:[ACL]ArcelormittalSA.betaplot

Figure13:[AGL]AngloAmerican(JSE)betaplot

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[ACL] ARCELORMITTAL SA.

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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[AGL] ANGLO AMERICAN (JSE)

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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Figure14:[AMS]AngloAmericanPlatinumbetaplot

Figure15:[ANG]AnglogoldAshantibetaplot

Figure16:[ARI]Afn.RainbowMrls.betaplot

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[AMS] ANGLO AMERICAN PLATINUM

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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[ANG] ANGLOGOLD ASHANTI

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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[ARI] AFN.RAINBOW MRLS.

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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Figure17:[ASR]Assorebetaplot

Figure18:[BIL]BHPBilliton(JSE)betaplot

Figure19:[EXX]ExxaroResourcesbetaplot

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[ASR] ASSORE

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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[BIL] BHP BILLITON (JSE)

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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[EXX] EXXARO RESOURCES

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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Figure20:[GFI]GoldFieldsbetaplot

Figure21:[HAR]HarmonyGoldMng.betaplot

Figure22:[IMP]ImpalaPlatinumbetaplot

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[GFI] GOLD FIELDS

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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[HAR] HARMONY GOLD MNG.

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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[IMP] IMPALA PLATINUM

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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Figure23:[KIO]KumbaIronOrebetaplot

Figure24:[LON]Lonmin(JSE)betaplot

Figure25:[SOL]Sasolbetaplot

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[KIO] KUMBA IRON ORE

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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[LON] LONMIN (JSE)

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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[SOL] SASOL

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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Figure26:[ABL]AfricanBankInvs.betaplot

Figure27:[APN]AspenPhmcr.Hdg.betaplot

Figure28:[ASA]AbsaGroupbetaplot

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[ABL] AFRICAN BANK INVS.

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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[APN] ASPEN PHMCR.HDG.

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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[ASA] ABSA GROUP

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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Figure29:[BVT]BidvestGroupbetaplot

Figure30:[CFR]RichemontSecs.(JSE)betaplot

Figure31:[CSO]CapitalShopcts.Gp.(JSE)betaplot

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[BVT] BIDVEST GROUP

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

0

10

20

30

40

50

60

‐2.00

‐1.50

‐1.00

‐0.50

0.00

0.50

1.00

1.50

2.00

Months (M

THscadiz)

Value (All Other Series)

[CFR] RICHEMONT SECS. (JSE)

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

0

10

20

30

40

50

60

‐2.00

‐1.50

‐1.00

‐0.50

0.00

0.50

1.00

1.50

2.00

Months (M

THscadiz)

Value (All Other Series)

[CSO] CAPITAL SHOPCTS.GP.(JSE)

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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Figure32:[FSR]Firstrandbetaplot

Figure33:[GRT]GrowthpointProps.betaplot

Figure34:[INL]Investecbetaplot

0

10

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Value (All Other Series)

[FSR] FIRSTRAND

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

0

10

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40

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60

‐2.00

‐1.50

‐1.00

‐0.50

0.00

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Months (M

THscadiz)

Value (All Other Series)

[GRT] GROWTHPOINT PROPS.

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

0

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60

‐2.00

‐1.50

‐1.00

‐0.50

0.00

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1.00

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2.00

Months (M

THscadiz)

Value (All Other Series)

[INL] INVESTEC

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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Figure35:[INP]Investec(JSE)betaplot

Figure36:[MND]Mondibetaplot

Figure37:[MNP]Mondi(JSE)betaplot

0

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Value (All Other Series)

[INP] INVESTEC (JSE)

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

0

10

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40

50

60

‐2.00

‐1.50

‐1.00

‐0.50

0.00

0.50

1.00

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2.00

Months (M

THscadiz)

Value (All Other Series)

[MND] MONDI

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

0

10

20

30

40

50

60

‐2.00

‐1.50

‐1.00

‐0.50

0.00

0.50

1.00

1.50

2.00

Months (M

THscadiz)

Value (All Other Series)

[MNP] MONDI (JSE)

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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Figure38:[MSM]Massmartbetaplot

Figure39:[MTN]MTNGroupbetaplot

Figure40:[NED]NedbankGroupbetaplot

0

10

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40

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60

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Months (M

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Value (All Other Series)

[MSM] MASSMART

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

0

10

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‐2.00

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‐1.00

‐0.50

0.00

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2.00

Months (M

THscadiz)

Value (All Other Series)

[MTN] MTN GROUP

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

0

10

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60

‐2.00

‐1.50

‐1.00

‐0.50

0.00

0.50

1.00

1.50

2.00

Months (M

THscadiz)

Value (All Other Series)

[NED] NEDBANK GROUP

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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Figure41:[NPN]Naspersbetaplot

Figure42:[OML]OldMutual(JSE)betaplot

Figure43:[REM]Remgrobetaplot

0

10

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40

50

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Months (M

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Value (All Other Series)

[NPN] NASPERS

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

0

10

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60

‐2.00

‐1.50

‐1.00

‐0.50

0.00

0.50

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Months (M

THscadiz)

Value (All Other Series)

[OML] OLD MUTUAL (JSE)

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

0

10

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30

40

50

60

‐2.00

‐1.50

‐1.00

‐0.50

0.00

0.50

1.00

1.50

2.00

Months (M

THscadiz)

Value (All Other Series)

[REM] REMGRO

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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Figure44:[RMH]RMBbetaplot

Figure45:[SAB]SABMiller(JSE)betaplot

Figure46:[SBK]StandardBk.Gp.betaplot

0

10

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30

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‐2.00

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‐0.50

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Months (M

THscadiz)

Value (All Other Series)

[RMH] RMB

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

0

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‐2.00

‐1.50

‐1.00

‐0.50

0.00

0.50

1.00

1.50

2.00

Months (M

THscadiz)

Value (All Other Series)

[SAB] SABMILLER (JSE)

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

0

10

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40

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60

‐2.00

‐1.50

‐1.00

‐0.50

0.00

0.50

1.00

1.50

2.00

Months (M

THscadiz)

Value (All Other Series)

[SBK] STANDARD BK.GP.

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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Figure47:[SHF]SteinhoffIntl.betaplot

Figure48:[SHP]Shopritebetaplot

Figure49:[SLM]Sanlambetaplot

0

10

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40

50

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Months (M

THscadiz)

Value (All Other Series)

[SHF] STEINHOFF INTL.

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

0

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‐2.00

‐1.50

‐1.00

‐0.50

0.00

0.50

1.00

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2.00

Months (M

THscadiz)

Value (All Other Series)

[SHP] SHOPRITE

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

0

10

20

30

40

50

60

‐2.00

‐1.50

‐1.00

‐0.50

0.00

0.50

1.00

1.50

2.00

Months (M

THscadiz)

Value (All Other Series)

[SLM] SANLAM

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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Figure50:[TBS]TigerBrandsbetaplot

Figure51:[TRU]TruworthsIntl.betaplot

Figure52:[VOD]VodacomGroupbetaplot

0

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‐0.50

0.00

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Months (M

THscadiz)

Value (All Other Series)

[TBS] TIGER BRANDS

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

0

10

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60

‐2.00

‐1.50

‐1.00

‐0.50

0.00

0.50

1.00

1.50

2.00

Months (M

THscadiz)

Value (All Other Series)

[TRU] TRUWORTHS INTL.

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

0

10

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60

‐2.00

‐1.50

‐1.00

‐0.50

0.00

0.50

1.00

1.50

2.00

Months (M

THscadiz)

Value (All Other Series)

[VOD] VODACOM GROUP

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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Figure53:[WHL]WoolworthsHdg.betaplot

0

10

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‐2.00

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‐1.00

‐0.50

0.00

0.50

1.00

1.50

2.00

Months (M

THscadiz)

Value (All Other Series)

[WHL] WOOLWORTHS HDG.

β_ALSIcadiz SEcadiz %DTcadiz R²cadizβ_ALSI β_M_ALSI β_ALSI_PRIME β_M_ZARPβ_M_ZAR β_ZAR β_M_ALSI_PRIME MTHScadiz

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AppendixB:SourceData—JSEALSITop40TotalReturns

Table8:JSEALSITop40totalreturns(Feb1989–Oct1994,ABL–EXX)

   

JSE CODE ABL ACL AGL AMS ANG APN ARI ASA ASR BIL BVT CFR CSO EXX1989/02/28 ‐ ‐ 4.63% 14.19% 7.27% ‐ ‐1.21% ‐ ‐ ‐ ‐ ‐ ‐ ‐

1989/03/31 ‐ ‐ 19.05% 3.32% 15.38% ‐ 0.00% ‐ ‐ ‐ ‐ ‐ ‐ ‐

1989/04/28 ‐ ‐ ‐2.00% 25.69% ‐3.48% ‐ 9.76% ‐ ‐ ‐ ‐ ‐ ‐ ‐

1989/05/31 ‐ ‐ ‐12.54% ‐13.87% ‐15.32% ‐ ‐7.78% ‐ ‐ ‐ ‐ ‐ ‐ ‐

1989/06/30 ‐ ‐ 23.86% 5.93% 13.83% ‐ 12.05% ‐ ‐ ‐ ‐ ‐ ‐ ‐

1989/07/31 ‐ ‐ 6.61% 5.60% 3.43% ‐ ‐2.16% ‐ ‐ ‐ ‐ ‐ ‐ ‐

1989/08/31 ‐ ‐ 3.36% 5.91% ‐2.35% ‐ ‐2.78% ‐ ‐ ‐ ‐ ‐ ‐ ‐

1989/09/29 ‐ ‐ ‐0.75% 0.74% 5.69% ‐ ‐0.57% ‐ ‐ ‐ ‐ ‐ ‐ ‐

1989/10/31 ‐ ‐ ‐3.27% 3.28% 10.91% ‐ ‐6.90% ‐ ‐ ‐ ‐ ‐ ‐ ‐

1989/11/30 ‐ ‐ 9.37% 13.07% 7.08% ‐ 13.58% ‐ ‐ ‐ ‐ ‐ ‐ ‐

1989/12/29 ‐ ‐ 3.68% 4.06% ‐0.57% ‐ 15.89% ‐ ‐ ‐ ‐ ‐ ‐ ‐

1990/01/31 ‐ ‐ 25.93% ‐1.50% 10.89% ‐ 18.87% ‐ ‐ ‐ ‐ ‐ ‐ ‐

1990/02/28 ‐4.29% 2.76% ‐11.40% ‐10.19% ‐10.66% ‐ ‐1.59% ‐ ‐2.79% ‐ ‐ 9.09% ‐ ‐

1990/03/30 19.40% ‐14.38% 10.79% 7.93% 3.65% ‐ ‐4.03% ‐ 0.00% ‐ ‐ 11.11% ‐ ‐

1990/04/30 19.61% ‐30.45% ‐11.54% 4.15% ‐15.08% ‐ ‐16.74% ‐ ‐0.07% ‐ ‐16.67% ‐2.27% ‐ ‐

1990/05/31 ‐5.56% 33.32% 9.86% 11.04% ‐6.21% ‐ 19.39% ‐ 2.94% ‐ 1.43% 11.40% ‐ ‐

1990/06/29 0.00% ‐2.93% ‐9.04% ‐2.49% ‐7.89% ‐ ‐17.09% ‐ 20.00% ‐ 21.13% 11.90% ‐ ‐

1990/07/31 0.00% 5.04% 0.43% 1.98% ‐0.34% ‐ 9.28% ‐ 0.00% ‐ ‐2.32% 3.54% ‐ ‐

1990/08/31 ‐23.53% ‐1.44% ‐11.21% ‐9.66% 8.26% ‐ ‐2.36% ‐ 2.38% ‐ ‐9.53% ‐16.04% ‐ ‐

1990/09/28 7.70% ‐13.17% ‐6.31% ‐15.72% ‐4.84% ‐ ‐9.18% ‐ ‐2.33% ‐ 1.19% ‐14.08% ‐ ‐

1990/10/31 14.29% 1.80% ‐1.81% ‐4.48% ‐11.86% ‐ ‐4.26% ‐ ‐0.06% ‐ 0.00% 5.99% ‐ ‐

1990/11/30 ‐14.69% ‐6.67% ‐2.90% ‐12.50% ‐17.69% ‐ 10.00% ‐ ‐2.44% ‐ 2.78% ‐3.77% ‐ ‐

1990/12/31 0.00% ‐14.87% 4.17% 4.91% ‐6.54% ‐ 5.66% ‐ 0.00% ‐ 5.41% 4.17% ‐ ‐

1991/01/31 ‐23.08% 28.66% ‐9.74% ‐13.19% ‐8.25% ‐ ‐15.38% ‐ 0.00% ‐ 2.56% ‐8.24% ‐ ‐

1991/02/28 0.00% 2.72% 13.12% 32.69% 7.51% 0.00% 6.82% ‐ 0.00% ‐ 22.92% 13.34% ‐ ‐

1991/03/29 0.00% 4.18% 0.52% 4.91% ‐10.71% ‐25.00% 9.57% ‐ 0.00% ‐ 0.00% 7.69% ‐ ‐

1991/04/30 4.00% 8.90% 3.85% 11.51% 5.85% 33.33% 6.80% ‐ 1.00% ‐ 0.00% 5.46% ‐ ‐

1991/05/31 0.00% ‐3.36% 4.94% ‐11.61% 14.36% 0.00% 4.09% ‐ ‐25.00% ‐ 16.67% 4.39% ‐ ‐

1991/06/28 0.00% 5.47% 10.02% 2.19% 10.14% ‐10.00% 14.62% ‐ 33.33% ‐ 0.00% 9.73% ‐ ‐

1991/07/31 10.01% 17.93% 3.93% ‐1.07% 0.44% 0.00% 0.77% ‐ 0.00% ‐ 0.89% 8.17% ‐ ‐

1991/08/30 ‐27.27% ‐15.20% ‐1.05% ‐10.83% ‐17.61% 0.00% ‐3.82% ‐3.09% 0.00% ‐ ‐1.77% 1.60% ‐ ‐

1991/09/30 0.00% ‐4.54% ‐2.55% ‐4.45% 9.73% 11.11% 7.94% ‐2.66% 1.76% ‐ 1.43% ‐2.44% ‐ ‐

1991/10/31 12.49% 10.71% 6.10% 29.73% 1.48% 15.00% 5.88% 6.55% 0.00% ‐ 1.82% 14.12% ‐ ‐

1991/11/29 0.00% ‐4.61% 3.90% ‐2.46% 1.94% 0.00% 7.64% 6.16% 0.00% ‐ ‐3.57% ‐6.55% ‐ ‐

1991/12/31 0.00% ‐5.31% ‐0.88% ‐15.11% ‐9.29% 0.00% 0.65% ‐1.93% ‐5.00% ‐ 0.00% 1.22% ‐ ‐

1992/01/31 0.00% ‐3.06% 3.41% 2.12% 14.96% ‐10.00% ‐1.28% 6.01% ‐10.53% ‐ 11.11% 10.08% ‐ ‐

1992/02/28 ‐22.22% ‐12.64% ‐2.91% 16.84% 5.43% 0.00% 23.38% ‐3.78% ‐17.65% ‐ 19.54% 3.55% ‐ ‐

1992/03/31 0.00% 0.69% ‐4.20% 3.60% ‐12.89% ‐5.56% ‐15.46% ‐1.47% 42.86% ‐ 0.00% ‐5.80% ‐ ‐

1992/04/30 0.00% ‐11.58% ‐2.71% 2.08% ‐11.99% ‐11.76% ‐6.25% ‐5.48% 1.50% ‐ ‐0.72% ‐4.06% ‐ ‐

1992/05/29 ‐14.27% 12.41% 5.15% 8.50% 5.22% ‐20.00% 20.00% 3.16% ‐1.50% ‐ 6.48% 10.22% ‐ ‐

1992/06/30 0.00% ‐15.95% ‐0.77% 8.15% ‐1.93% 41.67% ‐8.89% 1.80% 11.68% ‐ 8.11% 1.19% ‐ ‐

1992/07/31 ‐3.33% ‐16.78% ‐2.31% ‐11.88% ‐0.56% ‐11.76% ‐4.88% ‐10.25% 0.00% ‐ ‐13.75% ‐4.32% ‐ ‐

1992/08/31 ‐31.05% ‐12.28% ‐16.56% ‐4.67% ‐21.42% 0.00% ‐8.97% ‐8.57% 0.00% ‐ 15.48% ‐6.56% ‐ ‐

1992/09/30 ‐9.99% ‐17.33% ‐6.70% 9.86% ‐3.70% 20.00% 0.35% 24.99% 0.00% ‐ 7.69% 9.81% ‐ ‐

1992/10/30 0.00% ‐13.77% ‐7.18% ‐17.31% ‐0.77% 16.67% ‐0.83% ‐15.00% ‐5.76% ‐ 7.15% ‐3.20% ‐ ‐

1992/11/30 11.10% 0.00% 4.46% 3.88% 11.63% 16.66% 3.57% 7.06% 0.00% ‐ 0.00% ‐0.82% ‐ ‐

1992/12/31 0.00% ‐10.14% ‐0.12% 4.10% ‐4.34% 114.30% 8.97% ‐7.46% 0.00% ‐ 6.66% 2.78% ‐ ‐

1993/01/29 0.00% 27.41% 13.54% ‐6.45% 17.97% 6.66% 0.00% 6.67% ‐2.44% ‐ 20.84% 2.57% ‐ ‐

1993/02/26 0.00% ‐3.80% ‐3.55% ‐7.13% 5.85% 14.58% ‐2.53% 2.27% ‐2.50% ‐ 10.31% ‐7.77% ‐ ‐

1993/03/31 10.03% 7.99% 14.74% 12.50% 20.93% 0.00% 4.32% ‐1.66% ‐9.74% ‐ 14.28% 7.43% ‐ ‐

1993/04/30 ‐9.11% 37.49% 15.83% 11.11% 26.44% ‐5.46% 7.50% ‐3.96% 2.86% ‐ 2.08% ‐2.93% ‐ ‐

1993/05/31 25.02% ‐2.74% 10.10% 7.33% 26.24% 5.77% 12.79% 12.35% 0.00% ‐ 0.00% 17.12% ‐ ‐

1993/06/30 0.00% 26.17% 1.13% ‐6.83% 1.81% ‐27.27% 0.52% 2.23% ‐5.56% ‐ 7.94% ‐0.82% ‐ ‐

1993/07/30 79.99% 6.68% 10.87% ‐1.67% 18.64% 37.50% ‐5.64% 8.42% 0.00% ‐ 2.56% ‐3.65% ‐ ‐

1993/08/31 0.00% 0.00% ‐7.19% ‐0.68% ‐9.52% ‐9.09% ‐6.52% ‐4.86% 0.00% ‐ 8.75% 7.22% ‐ ‐

1993/09/30 0.00% ‐7.68% ‐9.86% ‐10.42% ‐21.07% ‐10.00% 4.65% ‐8.16% 0.00% ‐ ‐2.30% ‐6.86% ‐ ‐

1993/10/29 35.82% 20.01% 9.37% 3.88% 27.76% ‐7.16% 3.02% 0.00% 1.76% ‐ 4.71% ‐6.17% ‐ ‐

1993/11/30 0.00% 14.11% 11.43% ‐1.49% 3.06% ‐12.50% 14.13% ‐7.78% 0.00% ‐ 7.30% 0.00% ‐ ‐

1993/12/31 0.00% 37.07% 41.38% 24.24% 17.30% 0.00% 14.29% 8.89% 0.00% ‐ 9.95% 5.66% ‐ ‐

1994/01/31 3.99% ‐0.82% ‐11.85% ‐8.54% ‐6.68% 0.00% ‐8.33% ‐1.69% ‐8.82% ‐ 7.62% 9.96% ‐ ‐

1994/02/28 0.00% 7.44% 1.81% 12.00% 8.73% 14.28% 4.55% ‐6.09% 0.00% ‐ 8.97% ‐0.90% ‐ ‐

1994/03/31 15.39% 22.60% 2.54% 3.57% 0.46% ‐32.50% ‐0.57% ‐14.32% 0.97% ‐ 9.76% ‐4.00% ‐ ‐

1994/04/29 ‐8.33% 10.48% 16.34% ‐4.02% ‐4.38% 48.15% 5.26% 8.57% 0.00% ‐ 0.00% ‐4.17% ‐ ‐

1994/05/31 0.00% ‐3.74% ‐7.13% 0.60% ‐4.82% 12.50% 12.50% 5.27% 0.00% ‐ 7.41% ‐3.11% ‐ ‐

1994/06/30 0.00% 5.67% 5.11% 11.31% 2.28% 0.00% 0.00% 9.52% 61.29% ‐ 1.38% ‐1.28% ‐ ‐

1994/07/29 81.82% 14.41% 9.93% 11.23% 0.50% 11.11% 0.00% 12.35% 0.00% ‐ 0.00% ‐0.65% ‐ ‐

1994/08/31 ‐20.00% 2.22% 4.02% 13.46% 7.57% 10.00% ‐2.22% 9.43% 10.00% ‐ 36.16% 7.19% ‐ ‐

1994/09/30 0.00% 12.64% ‐7.34% 0.85% 11.42% 27.27% 2.27% ‐2.39% 9.09% ‐ ‐7.50% ‐2.44% ‐ ‐

1994/10/31 ‐6.25% 1.52% ‐1.67% ‐2.52% ‐12.97% 15.71% ‐3.06% 0.49% ‐2.21% ‐ ‐5.40% ‐2.28% ‐ ‐

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Table9:JSEALSITop40totalreturns(Feb1989–Oct1994,FSR–NED)

   

JSE CODE FSR GFI GRT HAR IMP INL INP KIO LON MND MNP MSM MTN NED1989/02/28 ‐ 12.21% ‐ ‐ 9.56% ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ 9.33%

1989/03/31 ‐ 6.82% ‐ ‐ 10.19% ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ 0.61%

1989/04/28 ‐ ‐3.07% ‐ ‐ 27.17% ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ 13.33%

1989/05/31 ‐ ‐5.06% ‐ ‐ ‐10.00% ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐10.72%

1989/06/30 ‐ 12.00% ‐ ‐ 5.05% ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ 1.23%

1989/07/31 ‐ 3.93% ‐ ‐ ‐3.37% ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ 6.02%

1989/08/31 ‐ ‐0.03% ‐ ‐ 6.87% ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ 14.77%

1989/09/29 ‐ 8.24% ‐ ‐ 0.00% ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ 3.96%

1989/10/31 ‐ 9.46% ‐ ‐ ‐0.48% ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐4.76%

1989/11/30 ‐ 8.24% ‐ ‐ 26.76% ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ 5.13%

1989/12/29 ‐ ‐4.59% ‐ ‐ 2.13% ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ 12.74%

1990/01/31 ‐ 8.58% ‐ ‐ 18.28% ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ 1.74%

1990/02/28 10.77% ‐15.70% 8.92% ‐17.77% ‐11.61% 0.00% ‐ ‐ 0.30% ‐ ‐ ‐ ‐ ‐5.98%

1990/03/30 ‐1.79% 8.51% 0.82% ‐4.06% 7.58% 3.84% ‐ ‐ 7.44% ‐ ‐ ‐ ‐ ‐2.27%

1990/04/30 ‐17.51% ‐6.67% 0.00% ‐24.95% ‐3.36% 0.74% ‐ ‐ 1.22% ‐ ‐ ‐ ‐ ‐6.98%

1990/05/31 9.78% ‐8.61% ‐0.82% 2.85% 8.33% 17.65% ‐ ‐ 10.60% ‐ ‐ ‐ ‐ 5.77%

1990/06/29 ‐10.67% 1.15% ‐1.64% ‐5.56% 6.73% 12.66% ‐ ‐ 12.28% ‐ ‐ ‐ ‐ ‐1.44%

1990/07/31 2.69% 5.77% 5.17% 6.87% 1.80% 2.85% ‐ ‐ 4.79% ‐ ‐ ‐ ‐ 17.08%

1990/08/31 ‐6.90% 8.74% 0.00% 30.27% ‐15.04% 16.67% ‐ ‐ ‐5.51% ‐ ‐ ‐ ‐ 0.00%

1990/09/28 7.93% ‐3.52% 0.00% 4.23% ‐15.42% ‐4.76% ‐ ‐ ‐17.81% ‐ ‐ ‐ ‐ ‐10.00%

1990/10/31 2.44% ‐11.46% ‐13.33% ‐16.89% ‐14.29% ‐12.50% ‐ ‐ ‐8.00% ‐ ‐ ‐ ‐ ‐0.47%

1990/11/30 2.32% ‐10.35% 0.96% ‐17.08% ‐9.80% 16.57% ‐ ‐ 3.62% ‐ ‐ ‐ ‐ ‐5.12%

1990/12/31 4.54% ‐2.89% 0.00% ‐1.96% ‐2.17% 27.50% ‐ ‐ 0.00% ‐ ‐ ‐ ‐ 12.53%

1991/01/31 4.35% ‐4.60% ‐6.88% ‐7.00% ‐11.44% ‐11.76% ‐ ‐ ‐5.94% ‐ ‐ ‐ ‐ ‐9.01%

1991/02/28 16.66% ‐2.88% 0.00% ‐9.68% 38.83% 15.55% ‐ ‐ 13.59% ‐ ‐ ‐ ‐ 11.39%

1991/03/29 7.15% ‐9.63% 8.70% ‐14.27% 10.55% 7.69% ‐ ‐ 3.13% ‐ ‐ ‐ ‐ 20.00%

1991/04/30 10.58% 7.38% 3.00% ‐22.22% 5.39% 8.93% ‐ ‐ 0.33% ‐ ‐ ‐ ‐ 0.00%

1991/05/31 ‐7.69% 14.50% 0.00% 32.14% ‐5.51% 12.20% ‐ ‐ ‐11.08% ‐ ‐ ‐ ‐ ‐0.44%

1991/06/28 20.00% 10.67% 0.00% 4.05% 1.67% ‐2.39% ‐ ‐ ‐1.88% ‐ ‐ ‐ ‐ 1.88%

1991/07/31 1.39% 3.50% 5.56% ‐2.60% ‐2.87% 11.62% ‐ ‐ 7.69% ‐ ‐ ‐ ‐ 7.41%

1991/08/30 4.10% ‐17.86% 2.94% ‐9.33% ‐20.68% 4.11% ‐ ‐ ‐4.14% ‐ ‐ ‐ ‐ ‐0.69%

1991/09/30 0.00% 7.25% 9.52% ‐2.94% 4.62% 7.90% ‐ ‐ 4.04% ‐ ‐ ‐ ‐ ‐7.98%

1991/10/31 ‐5.26% 0.00% 0.00% 16.66% 10.05% 2.44% ‐ ‐ ‐2.05% ‐ ‐ ‐ ‐ 9.05%

1991/11/29 0.87% 8.11% 0.00% 3.89% 0.00% ‐1.05% ‐ ‐ ‐8.99% ‐ ‐ ‐ ‐ 9.00%

1991/12/31 ‐1.41% ‐7.22% 0.00% ‐2.50% ‐18.27% ‐2.44% ‐ ‐ ‐24.69% ‐ ‐ ‐ ‐ 2.48%

1992/01/31 0.00% 12.33% 5.92% 2.56% ‐14.71% 0.00% ‐ ‐ ‐16.39% ‐ ‐ ‐ ‐ 9.53%

1992/02/28 ‐10.00% 1.83% 0.00% 8.53% 24.14% ‐5.00% ‐ ‐ 3.13% ‐ ‐ ‐ ‐ 5.80%

1992/03/31 1.59% ‐5.63% 0.00% ‐13.95% ‐9.97% 7.89% ‐ ‐ ‐40.40% ‐ ‐ ‐ ‐ 2.74%

1992/04/30 21.23% ‐6.73% 0.00% ‐14.86% 0.00% 0.00% ‐ ‐ 38.90% ‐ ‐ ‐ ‐ ‐4.00%

1992/05/29 27.63% 6.12% 0.00% 6.34% 26.87% 14.29% ‐ ‐ ‐5.61% ‐ ‐ ‐ ‐ ‐0.24%

1992/06/30 ‐4.12% 8.38% 0.00% ‐8.96% 5.42% 0.00% ‐ ‐ ‐5.07% ‐ ‐ ‐ ‐ ‐2.82%

1992/07/31 2.15% ‐1.82% 5.65% ‐1.63% ‐13.08% ‐3.26% ‐ ‐ 6.24% ‐ ‐ ‐ ‐ ‐4.35%

1992/08/31 ‐9.47% ‐6.17% 0.00% ‐32.98% ‐7.53% 1.12% ‐ ‐ ‐11.07% ‐ ‐ ‐ ‐ ‐7.58%

1992/09/30 16.28% ‐3.29% ‐21.74% ‐9.99% 0.29% 1.78% ‐ ‐ ‐3.90% ‐ ‐ ‐ ‐ 4.92%

1992/10/30 12.00% ‐12.24% 6.67% ‐6.66% ‐5.95% ‐1.75% ‐ ‐ ‐11.11% ‐ ‐ ‐ ‐ ‐9.37%

1992/11/30 10.65% 5.43% 0.00% ‐16.66% ‐2.53% 3.85% ‐ ‐ 11.39% ‐ ‐ ‐ ‐ 6.20%

1992/12/31 2.46% ‐8.59% 5.42% ‐7.16% 3.90% 7.61% ‐ ‐ 7.12% ‐ ‐ ‐ ‐ 11.83%

1993/01/29 16.00% 8.69% 0.00% 7.71% ‐8.75% 13.13% ‐ ‐ 0.96% ‐ ‐ ‐ ‐ 13.44%

1993/02/26 6.21% 2.56% 0.00% 64.25% 12.33% ‐1.79% ‐ ‐ 15.55% ‐ ‐ ‐ ‐ 5.26%

1993/03/31 10.38% 16.18% 0.00% 26.10% 25.79% 1.82% ‐ ‐ ‐8.33% ‐ ‐ ‐ ‐ 16.25%

1993/04/30 ‐2.97% 8.23% ‐27.08% 25.86% 13.73% 0.89% ‐ ‐ 26.36% ‐ ‐ ‐ ‐ 1.07%

1993/05/31 4.29% 40.35% 0.00% 36.99% 17.24% 18.76% ‐ ‐ 20.44% ‐ ‐ ‐ ‐ 7.42%

1993/06/30 8.82% ‐0.60% ‐10.44% ‐6.41% ‐11.03% ‐3.03% ‐ ‐ ‐0.24% ‐ ‐ ‐ ‐ ‐2.00%

1993/07/30 ‐2.70% ‐0.85% 0.00% 1.50% 5.79% 0.00% ‐ ‐ 5.38% ‐ ‐ ‐ ‐ ‐4.08%

1993/08/31 8.33% ‐18.03% 0.00% ‐13.69% ‐15.62% 3.12% ‐ ‐ 3.70% ‐ ‐ ‐ ‐ ‐1.06%

1993/09/30 ‐6.17% ‐8.38% 8.34% ‐9.75% ‐15.14% ‐3.03% ‐ ‐ ‐11.10% ‐ ‐ ‐ ‐ ‐7.53%

1993/10/29 0.00% 10.86% 0.00% 8.11% 6.67% 6.25% ‐ ‐ ‐2.50% ‐ ‐ ‐ ‐ 16.28%

1993/11/30 6.67% 0.52% 0.00% 0.00% 10.42% 13.24% ‐ ‐ 13.47% ‐ ‐ ‐ ‐ 6.08%

1993/12/31 9.37% 15.90% 0.00% 14.99% 15.09% 0.00% ‐ ‐ ‐7.11% ‐ ‐ ‐ ‐ 9.61%

1994/01/31 0.00% ‐3.93% 0.00% 10.87% ‐7.38% 26.32% ‐ ‐ 26.51% ‐ ‐ ‐ ‐ ‐5.26%

1994/02/28 7.14% 3.74% 30.09% 5.88% 8.76% ‐1.04% ‐ ‐ 9.43% ‐ ‐ ‐ ‐ ‐2.78%

1994/03/31 15.30% 0.00% 0.00% ‐1.85% 17.21% ‐7.37% ‐ ‐ ‐3.99% ‐ ‐ ‐ ‐ 0.95%

1994/04/29 ‐2.72% ‐1.80% ‐10.81% ‐7.55% ‐7.69% 20.45% ‐ ‐ ‐7.41% ‐ ‐ ‐ ‐ 7.55%

1994/05/31 28.00% 2.75% ‐1.51% 4.08% 3.79% 15.09% ‐ ‐ 3.00% ‐ ‐ ‐ ‐ 6.23%

1994/06/30 12.50% 16.74% 7.69% ‐1.95% 24.09% 0.78% ‐ ‐ ‐10.20% ‐ ‐ ‐ ‐ 9.17%

1994/07/29 ‐8.33% 5.49% 0.00% 0.00% 22.35% ‐5.00% ‐ ‐ 5.41% ‐ ‐ ‐ ‐ 1.53%

1994/08/31 6.06% ‐0.37% 0.00% 17.99% ‐4.57% 4.39% ‐ ‐ 0.96% ‐ ‐ ‐ ‐ 2.26%

1994/09/30 8.57% 1.49% 14.29% 55.94% 3.76% 1.68% ‐ ‐ ‐8.76% ‐ ‐ ‐ ‐ ‐11.76%

1994/10/31 1.11% ‐5.88% 0.00% ‐9.56% ‐4.41% 4.13% ‐ ‐ ‐1.12% ‐ ‐ ‐ ‐ 9.17%

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Table10:JSEALSITop40totalreturns(Feb1989–Oct1994,NPN–WHL)

   

JSE CODE NPN OML REM RMH SAB SBK SHF SHP SLM SOL TBS TRU VOD WHL1989/02/28 ‐ ‐ ‐ ‐ ‐4.65% ‐ ‐ ‐ ‐ 1.63% ‐3.57% ‐ ‐ ‐

1989/03/31 ‐ ‐ ‐ ‐ 12.20% ‐ ‐ ‐ ‐ 33.69% 5.56% ‐ ‐ ‐

1989/04/28 ‐ ‐ ‐ ‐ 4.35% ‐ ‐ ‐ ‐ 5.60% 0.00% ‐ ‐ ‐

1989/05/31 ‐ ‐ ‐ ‐ ‐3.67% ‐ ‐ ‐ ‐ ‐10.23% 6.43% ‐ ‐ ‐

1989/06/30 ‐ ‐ ‐ ‐ 7.78% ‐ ‐ ‐ ‐ 11.39% 12.09% ‐ ‐ ‐

1989/07/31 ‐ ‐ ‐ ‐ 4.12% ‐ ‐ ‐ ‐ ‐2.27% 2.72% ‐ ‐ ‐

1989/08/31 ‐ ‐ ‐ ‐ 7.33% ‐ ‐ ‐ ‐ ‐4.65% 10.84% ‐ ‐ ‐

1989/09/29 ‐ ‐ ‐ ‐ ‐2.21% ‐ ‐ ‐ ‐ ‐4.07% ‐4.35% ‐ ‐ ‐

1989/10/31 ‐ ‐ ‐ ‐ ‐8.49% ‐ ‐ ‐ ‐ ‐5.93% 5.68% ‐ ‐ ‐

1989/11/30 ‐ ‐ ‐ ‐ 5.20% ‐ ‐ ‐ ‐ 5.85% ‐2.15% ‐ ‐ ‐

1989/12/29 ‐ ‐ ‐ ‐ 18.81% ‐ ‐ ‐ ‐ 9.79% 8.26% ‐ ‐ ‐

1990/01/31 ‐ ‐ ‐ ‐ 6.00% ‐ ‐ ‐ ‐ 1.55% 14.43% ‐ ‐ ‐

1990/02/28 ‐ ‐ ‐ ‐ 8.49% ‐ ‐ ‐ ‐ 0.00% 1.80% ‐ ‐ ‐

1990/03/30 ‐ ‐ ‐ ‐ ‐1.45% ‐ ‐ ‐ ‐ 1.24% 0.88% ‐ ‐ ‐

1990/04/30 ‐ ‐ ‐ ‐ ‐1.47% ‐ ‐ ‐ ‐ ‐9.23% ‐9.65% ‐ ‐ ‐

1990/05/31 ‐ ‐ ‐ ‐ 22.57% ‐ ‐ ‐ ‐ 5.93% ‐1.94% ‐ ‐ ‐

1990/06/29 ‐ ‐ ‐ ‐ ‐1.87% ‐ ‐ ‐ ‐ 0.00% 2.88% ‐ ‐ ‐

1990/07/31 ‐ ‐ ‐ ‐ 4.46% ‐ ‐ ‐ ‐ 8.80% 4.85% ‐ ‐ ‐

1990/08/31 ‐ ‐ ‐ ‐ ‐3.66% ‐ ‐ ‐ ‐ 8.45% ‐11.11% ‐ ‐ ‐

1990/09/28 ‐ ‐ ‐ ‐ ‐7.60% ‐ ‐ ‐ ‐ ‐1.18% ‐5.21% ‐ ‐ ‐

1990/10/31 ‐ ‐ ‐ ‐ ‐3.42% ‐ ‐ ‐ ‐ ‐0.35% ‐1.54% ‐ ‐ ‐

1990/11/30 ‐ ‐ ‐ ‐ 11.49% ‐ ‐ ‐ ‐ 0.70% 13.84% ‐ ‐ ‐

1990/12/31 ‐ ‐ ‐ ‐ 3.21% ‐ ‐ ‐ ‐ 0.70% 19.50% ‐ ‐ ‐

1991/01/31 ‐ ‐ ‐ ‐ ‐3.11% ‐ ‐ ‐ ‐ ‐13.20% ‐8.33% ‐ ‐ ‐

1991/02/28 ‐ ‐ ‐ ‐ 14.74% 23.34% ‐ ‐ ‐ ‐2.40% 16.36% ‐ ‐ ‐

1991/03/29 ‐ ‐ ‐ ‐ 5.59% 25.00% ‐ ‐ ‐ 6.05% 7.81% ‐ ‐ ‐

1991/04/30 ‐ ‐ ‐ ‐ 1.06% 7.22% ‐ ‐ ‐ 4.76% 11.59% ‐ ‐ ‐

1991/05/31 ‐ ‐ ‐ ‐ 7.30% 3.63% ‐ ‐ ‐ 4.92% ‐2.60% ‐ ‐ ‐

1991/06/28 ‐ ‐ ‐ ‐ 7.25% ‐8.00% ‐ ‐ ‐ ‐0.36% ‐8.72% ‐ ‐ ‐

1991/07/31 ‐ ‐ ‐ ‐ 6.02% 1.09% ‐ ‐ ‐ 4.35% 5.15% ‐ ‐ ‐

1991/08/30 ‐ ‐ ‐ ‐ 3.23% 6.34% ‐ ‐ ‐ ‐0.69% 0.00% ‐ ‐ ‐

1991/09/30 ‐ ‐ ‐ ‐ ‐7.78% 1.02% ‐ ‐ ‐ 12.35% ‐3.50% ‐ ‐ ‐

1991/10/31 ‐ ‐ ‐ ‐ 7.34% 1.01% ‐ ‐ ‐ 22.61% 10.14% ‐ ‐ ‐

1991/11/29 ‐ ‐ ‐ ‐ ‐5.85% 4.00% ‐ ‐ ‐ ‐1.30% 0.00% ‐ ‐ ‐

1991/12/31 ‐ ‐ ‐ ‐ 1.83% ‐0.48% ‐ ‐ ‐ ‐3.95% 5.24% ‐ ‐ ‐

1992/01/31 ‐ ‐ ‐ ‐ 1.79% 11.60% ‐ ‐ ‐ 4.93% 6.33% ‐ ‐ ‐

1992/02/28 ‐ ‐ ‐ ‐ ‐3.08% 5.63% ‐ ‐ ‐ ‐0.42% ‐2.63% ‐ ‐ ‐

1992/03/31 ‐ ‐ ‐ ‐ 2.73% 6.07% ‐ ‐ ‐ 3.29% 3.11% ‐ ‐ ‐

1992/04/30 ‐ ‐ ‐ ‐ ‐5.93% ‐3.15% ‐ ‐ ‐ ‐4.93% 1.81% ‐ ‐ ‐

1992/05/29 ‐ ‐ ‐ ‐ 13.98% 25.20% ‐ ‐ ‐ 9.84% 9.47% ‐ ‐ ‐

1992/06/30 ‐ ‐ ‐ ‐ ‐3.52% ‐11.04% ‐ ‐ ‐ ‐3.48% ‐3.20% ‐ ‐ ‐

1992/07/31 ‐ ‐ ‐ ‐ ‐4.35% ‐5.11% ‐ ‐ ‐ ‐3.35% ‐6.74% ‐ ‐ ‐

1992/08/31 ‐ ‐ ‐ ‐ ‐2.73% 10.82% ‐ ‐ ‐ ‐10.67% ‐1.20% ‐ ‐ ‐

1992/09/30 ‐ ‐ ‐ ‐ 2.71% 1.40% ‐ ‐ ‐ 1.05% 8.54% ‐ ‐ ‐

1992/10/30 ‐ ‐ ‐ ‐ ‐2.18% ‐0.69% ‐ ‐ ‐ ‐4.85% ‐5.62% ‐ ‐ ‐

1992/11/30 ‐ ‐ ‐ ‐ 4.40% 4.14% ‐ ‐ ‐ 0.32% 11.93% ‐ ‐ ‐

1992/12/31 ‐ ‐ ‐ 6.52% 4.93% ‐0.34% ‐ ‐ ‐ 2.22% ‐2.15% ‐ ‐ ‐

1993/01/29 ‐ ‐ ‐ 30.62% 0.00% 4.76% ‐ ‐ ‐ 13.35% 6.04% ‐ ‐ ‐

1993/02/26 ‐ ‐ ‐ ‐3.12% 4.27% 9.09% ‐ ‐ ‐ 6.30% ‐0.52% ‐ ‐ ‐

1993/03/31 ‐ ‐ ‐ 2.30% ‐2.87% 7.65% ‐ ‐ ‐ ‐3.61% ‐15.62% ‐ ‐ ‐

1993/04/30 ‐ ‐ ‐ ‐4.76% ‐5.06% 1.12% ‐ ‐ ‐ ‐2.67% 2.47% ‐ ‐ ‐

1993/05/31 ‐ ‐ ‐ 5.00% 6.67% 4.44% ‐ ‐ ‐ 0.28% 2.41% ‐ ‐ ‐

1993/06/30 ‐ ‐ ‐ 3.18% 4.63% 4.26% ‐ ‐ ‐ 7.67% 0.08% ‐ ‐ ‐

1993/07/30 ‐ ‐ ‐ ‐1.54% 3.25% ‐11.22% ‐ ‐ ‐ ‐3.31% ‐0.59% ‐ ‐ ‐

1993/08/31 ‐ ‐ ‐ 7.81% ‐0.79% 2.43% ‐ ‐ ‐ 2.63% ‐10.71% ‐ ‐ ‐

1993/09/30 ‐ ‐ ‐ 5.73% 7.14% ‐0.56% ‐ ‐ ‐ ‐8.97% 6.00% ‐ ‐ ‐

1993/10/29 ‐ ‐ ‐ 5.56% ‐2.22% 7.39% ‐ ‐ ‐ 2.25% 0.63% ‐ ‐ ‐

1993/11/30 ‐ ‐ ‐ 5.26% 11.36% 1.59% ‐ ‐ ‐ 2.75% 16.25% ‐ ‐ ‐

1993/12/31 ‐ ‐ ‐ 15.00% 29.89% 12.50% ‐ ‐ ‐ 0.54% 13.12% ‐ ‐ ‐

1994/01/31 ‐ ‐ ‐ ‐13.04% ‐10.00% 1.85% ‐ ‐ ‐ 1.33% ‐9.62% ‐ ‐ ‐

1994/02/28 ‐ ‐ ‐ 17.50% ‐3.51% ‐13.64% ‐ ‐ ‐ 15.79% 6.38% ‐ ‐ ‐

1994/03/31 ‐ ‐ ‐ 0.57% ‐1.82% 3.77% ‐ ‐ ‐ 0.63% ‐9.70% ‐ ‐ ‐

1994/04/29 ‐ ‐ ‐ 6.38% 20.37% 10.31% ‐ ‐ ‐ 18.39% 21.82% ‐ ‐ ‐

1994/05/31 ‐ ‐ ‐ 15.00% ‐1.54% ‐0.93% ‐ ‐ ‐ ‐3.88% ‐10.91% ‐ ‐ ‐

1994/06/30 ‐ ‐ ‐ 11.30% ‐11.98% 6.60% ‐ ‐ ‐ ‐1.01% ‐8.61% ‐ ‐ ‐

1994/07/29 ‐ ‐ ‐ ‐9.38% 2.96% 3.54% ‐ ‐ ‐ 15.31% ‐2.25% ‐ ‐ ‐

1994/08/31 ‐ ‐ ‐ 6.90% ‐0.57% ‐7.09% ‐ ‐ ‐ 15.04% ‐4.60% ‐ ‐ ‐

1994/09/30 ‐ ‐ ‐ 12.10% ‐2.89% ‐8.33% ‐ ‐ ‐ 10.62% ‐3.01% ‐ ‐ ‐

1994/10/31 ‐ ‐ ‐ ‐1.12% 11.90% 4.04% ‐ ‐ ‐ 0.06% 15.53% ‐ ‐ ‐

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Table11:JSEALSITop40totalreturns(Nov1994–Jul2000,ABL–EXX)

   

JSE CODE ABL ACL AGL AMS ANG APN ARI ASA ASR BIL BVT CFR CSO EXX1994/11/30 ‐13.34% 0.00% ‐2.12% ‐6.25% ‐11.90% ‐26.67% 5.38% 8.30% 6.90% ‐ ‐5.71% 1.29% ‐ ‐

1994/12/30 0.00% 0.00% 2.66% 2.99% 0.96% ‐9.09% ‐3.65% 6.15% 6.45% ‐ 0.00% 7.01% ‐ ‐

1995/01/31 ‐7.69% ‐11.11% ‐20.55% ‐25.22% ‐18.92% 10.00% ‐12.88% ‐3.02% 0.00% ‐ ‐1.52% ‐13.09% ‐ ‐

1995/02/28 266.67% 4.58% 3.33% 7.46% ‐9.10% ‐18.18% ‐6.09% ‐0.44% 6.06% ‐ 4.26% ‐0.68% ‐ ‐

1995/03/31 13.64% 6.90% 1.68% ‐10.28% ‐2.61% 33.34% 12.04% 5.36% 0.57% ‐ 2.99% 4.83% ‐ ‐

1995/04/28 30.00% ‐0.88% 4.06% 15.17% ‐11.88% 0.00% 2.83% 11.01% 0.00% ‐ 14.49% 7.89% ‐ ‐

1995/05/31 18.46% ‐2.00% ‐4.63% ‐11.29% 0.00% ‐16.67% 2.42% 3.06% 8.57% ‐ ‐7.60% 2.44% ‐ ‐

1995/06/30 ‐2.60% ‐6.14% 1.91% ‐9.09% 1.30% 0.00% 2.36% 5.33% ‐10.53% ‐ 2.74% 6.55% ‐ ‐

1995/07/31 20.00% 3.15% 0.13% 0.00% ‐1.29% 20.00% ‐4.62% 0.00% 0.00% ‐ ‐0.80% 1.12% ‐ ‐

1995/08/31 11.11% ‐1.41% ‐0.26% 10.67% 13.68% ‐3.42% 8.87% 2.16% ‐5.88% ‐ 7.40% ‐2.21% ‐ ‐

1995/09/29 38.00% ‐3.28% 3.45% ‐3.16% ‐6.61% 27.27% 0.00% 10.92% ‐9.38% ‐ 6.33% 5.67% ‐ ‐

1995/10/31 30.44% ‐6.33% 2.60% ‐19.50% ‐13.13% ‐10.72% 4.48% 9.52% ‐3.97% ‐ 3.57% 11.11% ‐ ‐

1995/11/30 5.56% ‐11.08% 3.86% ‐0.39% 12.71% 0.00% 3.57% 9.86% ‐5.45% ‐ 3.45% ‐0.97% ‐ ‐

1995/12/29 2.93% ‐0.31% 2.67% ‐5.88% 0.43% 0.00% 7.59% 8.18% 0.00% ‐ 8.89% 7.84% ‐ ‐

1996/01/31 24.32% ‐2.13% 19.55% 20.00% 59.32% 4.00% 5.77% 2.44% 0.00% ‐ 20.41% 11.36% ‐ ‐

1996/02/29 4.35% 2.18% ‐3.99% 0.69% 2.83% ‐30.77% ‐1.82% 3.57% 15.39% ‐ ‐2.71% ‐5.31% ‐ ‐

1996/03/29 0.00% 15.92% 2.18% ‐2.38% 2.37% 66.67% ‐4.34% ‐3.45% 0.83% ‐ ‐7.96% ‐0.43% ‐ ‐

1996/04/30 4.17% 5.05% 13.18% 22.14% 9.00% ‐20.00% ‐2.91% ‐3.57% ‐10.00% ‐ 9.62% 7.36% ‐ ‐

1996/05/31 6.00% ‐15.19% ‐3.42% ‐2.92% 5.42% 8.33% ‐0.67% 9.38% 0.00% ‐ ‐19.30% 2.82% ‐ ‐

1996/06/28 9.43% 1.49% ‐1.12% ‐18.67% ‐21.03% ‐7.69% 9.73% 10.05% 0.37% ‐ 12.61% 4.71% ‐ ‐

1996/07/31 3.45% ‐13.23% ‐9.38% 6.67% 0.85% ‐3.33% ‐4.59% ‐6.67% 3.32% ‐ ‐8.30% 1.13% ‐ ‐

1996/08/30 ‐2.00% ‐8.81% 9.55% 6.75% 8.39% ‐2.18% ‐8.01% ‐7.59% ‐0.18% ‐ ‐1.89% 0.00% ‐ ‐

1996/09/30 22.45% 15.25% 2.02% ‐4.98% ‐1.60% ‐10.91% ‐1.74% 18.12% 0.18% ‐ 9.50% 9.73% ‐ ‐

1996/10/31 3.89% 11.71% 1.53% 1.75% ‐1.35% ‐18.37% 6.00% ‐2.25% 19.73% ‐ 1.19% ‐1.70% ‐ ‐

1996/11/29 17.65% 0.90% ‐7.00% ‐10.31% ‐12.05% ‐7.50% ‐3.38% 4.60% 0.00% ‐ ‐4.90% ‐4.84% ‐ ‐

1996/12/31 4.55% ‐0.89% ‐1.29% ‐1.92% ‐6.54% ‐22.97% ‐3.50% ‐2.86% ‐9.09% ‐ 0.41% ‐5.46% ‐ ‐

1997/01/31 8.70% 6.29% ‐1.94% ‐4.30% 2.00% 19.30% ‐9.42% 7.71% 6.67% ‐ 2.67% ‐2.69% ‐ ‐

1997/02/28 20.00% ‐3.49% 11.88% 24.08% 15.32% ‐23.53% 12.40% 10.25% 0.00% ‐ 12.00% ‐1.97% ‐ ‐

1997/03/31 23.16% 5.88% ‐3.19% ‐5.30% ‐21.99% ‐13.46% ‐0.36% ‐1.75% 10.04% ‐ ‐2.50% ‐6.05% ‐ ‐

1997/04/30 10.76% ‐14.44% 3.84% 0.35% ‐0.56% 31.11% ‐7.48% 4.64% ‐14.29% ‐ 11.93% 11.16% ‐ ‐

1997/05/30 19.78% ‐1.62% ‐7.92% 2.09% 1.32% ‐15.25% 0.78% ‐5.80% 3.33% ‐ 2.79% ‐6.18% ‐ ‐

1997/06/30 30.33% ‐0.99% 6.60% 13.31% ‐18.28% ‐2.00% ‐4.23% 19.63% 0.00% ‐ 11.64% 9.88% ‐ ‐

1997/07/31 49.77% 10.00% ‐4.03% ‐3.61% 9.02% ‐26.53% ‐8.63% 7.22% ‐3.23% ‐ 13.57% 2.62% ‐ ‐

1997/08/29 8.08% ‐12.42% ‐8.20% ‐0.31% 1.10% 16.67% ‐10.77% ‐12.75% 3.33% 7.89% ‐6.16% ‐7.66% ‐ ‐

1997/09/30 ‐2.63% 4.24% ‐0.93% 2.59% 3.85% ‐4.77% 3.45% 4.27% ‐3.23% ‐0.80% 2.87% ‐1.65% ‐ ‐

1997/10/31 ‐14.47% ‐15.82% ‐12.79% ‐8.36% ‐14.81% 0.00% ‐26.52% ‐10.24% ‐15.83% ‐21.45% 4.61% ‐7.81% ‐ ‐

1997/11/28 7.69% ‐15.20% ‐2.88% 2.30% ‐18.84% 2.50% ‐17.11% 4.91% ‐4.00% ‐14.89% 2.52% ‐5.64% ‐ ‐

1997/12/31 20.63% ‐32.07% ‐1.92% ‐14.13% 16.07% ‐14.63% ‐3.17% ‐5.26% 0.00% 4.16% ‐1.23% ‐0.93% ‐ ‐

1998/01/30 63.82% 22.91% 11.51% 3.85% 18.46% ‐5.71% ‐11.48% 26.43% 0.00% ‐4.39% 9.32% 4.34% ‐ ‐

1998/02/27 22.09% ‐6.77% ‐5.48% 6.03% ‐8.79% 21.21% ‐16.67% 7.34% ‐8.33% 2.51% 12.95% ‐3.26% ‐ ‐

1998/03/31 ‐0.33% ‐15.77% 11.50% 9.94% 2.76% 0.00% 2.38% 20.39% 0.91% 11.57% 10.66% 24.86% ‐ ‐

1998/04/30 53.14% 17.27% 29.56% 4.39% 28.48% 47.50% 43.96% ‐4.37% ‐9.09% 5.93% 4.18% 3.89% ‐ ‐

1998/05/29 8.84% ‐7.97% ‐17.39% ‐22.65% ‐4.48% 15.25% ‐16.03% ‐7.43% ‐10.00% ‐10.49% ‐9.25% 4.32% ‐ ‐

1998/06/30 ‐1.19% ‐25.34% ‐16.61% 3.20% ‐6.64% 252.94% ‐29.18% ‐7.26% 0.00% ‐8.58% ‐12.98% 4.42% ‐ ‐

1998/07/31 13.23% 25.89% 9.00% 29.46% 8.37% 6.25% ‐10.14% ‐9.46% 11.11% 18.79% 7.73% 11.77% ‐ ‐

1998/08/31 ‐49.20% ‐9.92% ‐25.69% ‐1.92% ‐12.68% ‐9.80% ‐29.71% ‐46.42% ‐7.50% ‐24.45% ‐25.13% ‐21.66% ‐ ‐

1998/09/30 20.56% 10.77% 3.58% 7.50% 40.00% ‐13.48% 70.73% 19.22% 10.27% 28.30% ‐0.36% 13.53% ‐ ‐

1998/10/30 27.17% 7.58% 8.82% ‐1.16% ‐7.47% 13.07% ‐44.83% 42.52% 3.00% 5.39% 14.08% 0.54% ‐ ‐

1998/11/30 ‐19.09% ‐3.53% ‐0.11% 8.24% ‐2.46% 35.55% 0.93% ‐10.16% 6.80% ‐10.59% 6.91% 11.04% ‐ ‐

1998/12/31 12.36% ‐22.62% ‐7.61% ‐12.28% ‐17.55% ‐6.56% ‐17.05% 3.34% 18.18% ‐4.49% ‐1.39% 0.73% ‐ ‐

1999/01/29 ‐5.00% 5.66% 3.74% 10.90% 6.72% 31.58% 28.33% 6.63% 0.00% ‐2.56% 10.54% 23.47% ‐ ‐

1999/02/26 ‐4.21% ‐5.36% 14.09% 13.74% ‐4.45% 41.33% ‐0.43% ‐9.24% 1.93% 16.66% 3.87% ‐6.43% ‐ ‐

1999/03/31 15.38% 45.28% 10.77% ‐1.84% 9.73% 72.64% 13.26% 9.26% 2.64% 12.51% 5.65% 5.21% ‐ ‐

1999/04/30 0.00% 23.38% 46.92% 13.27% 15.32% ‐22.51% 32.44% 8.47% 1.85% 39.66% ‐1.58% 2.57% ‐ ‐

1999/05/31 ‐10.00% ‐20.01% ‐10.50% 4.50% ‐14.62% ‐21.16% ‐12.90% ‐7.97% 7.28% ‐8.74% ‐9.86% ‐3.28% ‐ ‐

1999/06/30 15.08% 24.35% 0.21% 21.38% 6.47% ‐8.77% 29.78% 18.06% 35.59% 10.90% 12.50% 16.97% ‐ ‐

1999/07/30 ‐11.72% 15.35% 12.91% 3.84% 1.08% ‐3.92% 0.00% 0.00% 5.00% 23.26% ‐3.77% 0.68% 9.78% ‐

1999/08/31 ‐34.11% 3.67% 5.15% ‐5.34% 19.55% 1.02% 20.26% ‐8.35% 28.57% ‐3.89% ‐10.10% ‐2.20% 4.20% ‐

1999/09/30 ‐23.72% 24.87% 1.25% 17.44% 23.93% ‐15.35% 6.61% ‐24.92% 4.95% 2.42% ‐7.48% 4.85% 2.86% ‐

1999/10/29 5.18% 2.59% ‐2.74% 11.18% ‐8.20% ‐7.16% ‐7.00% 6.59% 0.00% 7.63% 11.50% ‐1.98% 9.40% ‐

1999/11/30 17.24% ‐14.25% 10.76% 4.52% ‐9.22% 2.31% 3.63% ‐6.99% 0.00% 10.45% 17.94% 15.68% ‐11.62% ‐

1999/12/31 6.72% 14.22% 9.61% 1.08% 0.51% ‐0.75% 13.08% 20.29% 10.36% 19.43% 14.26% 10.93% 4.33% ‐

2000/01/31 10.24% 12.44% ‐10.43% 1.60% ‐3.66% 51.90% ‐0.37% ‐5.80% 8.41% ‐8.06% ‐9.32% ‐0.13% ‐3.56% ‐

2000/02/29 ‐5.36% ‐32.25% ‐20.02% ‐5.26% 11.55% 6.67% ‐15.26% ‐5.77% 1.49% ‐14.77% ‐3.26% ‐3.03% ‐7.85% ‐

2000/03/31 4.53% ‐1.40% 6.26% ‐0.58% ‐4.92% 3.91% 3.87% ‐2.45% ‐11.49% 12.32% ‐3.85% 11.26% 8.88% ‐

2000/04/28 5.78% ‐14.29% ‐2.71% ‐5.75% ‐17.52% ‐3.01% 0.43% 0.42% ‐16.67% ‐15.58% 0.00% 1.22% 3.65% ‐

2000/05/31 ‐4.44% 4.00% 5.29% 17.68% 7.67% ‐3.88% 2.97% 6.25% 2.00% ‐10.00% ‐10.00% 3.37% 9.07% ‐

2000/06/30 ‐36.71% ‐25.96% 6.48% 1.24% ‐0.29% ‐7.26% 7.00% 0.78% 0.20% 17.10% 4.00% 5.94% 11.16% ‐

2000/07/31 ‐8.01% 27.71% 1.99% 5.42% ‐0.51% 6.96% ‐5.05% ‐1.95% 5.68% ‐3.46% 6.30% 3.63% ‐2.37% ‐

Copyright UCT

75

Table12:JSEALSITop40totalreturns(Nov1994–Jul2000,FSR–NED)

   

JSE CODE FSR GFI GRT HAR IMP INL INP KIO LON MND MNP MSM MTN NED1994/11/30 0.00% ‐5.47% ‐0.62% ‐16.47% 0.51% 12.91% ‐ ‐ 16.00% ‐ ‐ ‐ ‐ 28.24%

1994/12/30 5.26% 3.31% 6.67% 15.11% 2.04% ‐2.13% ‐ ‐ ‐4.93% ‐ ‐ ‐ ‐ 5.78%

1995/01/31 ‐7.50% ‐23.16% ‐5.00% ‐17.50% ‐26.00% ‐4.35% ‐ ‐ 4.66% ‐ ‐ ‐ ‐ ‐14.29%

1995/02/28 ‐6.76% 6.88% 0.00% 1.51% 10.13% ‐12.12% ‐ ‐ ‐9.04% ‐ ‐ ‐ ‐ 5.33%

1995/03/31 ‐6.38% 0.50% 1.32% ‐8.95% 0.00% 12.07% ‐ ‐ ‐2.77% ‐ ‐ ‐ ‐ 10.76%

1995/04/28 6.25% 4.43% ‐1.30% 1.63% 3.09% 3.85% ‐ ‐ 9.72% ‐ ‐ ‐ ‐ 1.14%

1995/05/31 10.29% ‐4.72% 9.21% ‐6.45% 1.20% 12.59% ‐ ‐ ‐3.13% ‐ ‐ ‐ ‐ ‐0.33%

1995/06/30 ‐4.00% 5.94% ‐7.69% ‐0.86% 8.88% ‐4.11% ‐ ‐ ‐8.07% ‐ ‐ ‐ ‐ 0.57%

1995/07/31 2.78% ‐0.29% 0.00% 18.26% 9.24% ‐6.25% ‐ ‐ 4.68% ‐ ‐ ‐ ‐ 0.00%

1995/08/31 ‐3.24% 4.13% 0.00% ‐2.50% ‐6.47% 3.70% ‐ ‐ 4.60% ‐ ‐ ‐ ‐ 5.68%

1995/09/29 ‐2.23% ‐8.13% 2.78% 6.87% ‐2.43% 5.00% ‐ ‐ 2.71% ‐ ‐ ‐ ‐ ‐3.23%

1995/10/31 12.92% ‐18.09% 8.11% ‐11.43% ‐19.34% 2.72% ‐ ‐ ‐3.70% ‐ ‐ ‐ ‐ 15.56%

1995/11/30 7.69% ‐3.68% 1.25% 4.84% 5.14% 7.04% ‐ ‐ 3.30% ‐ ‐ ‐ ‐ 15.38%

1995/12/29 23.81% 17.83% ‐5.26% 1.54% ‐13.36% 5.00% ‐ ‐ 9.05% ‐ ‐ ‐ ‐ 6.43%

1996/01/31 8.65% 16.93% 2.77% 24.25% 13.53% 7.14% ‐ ‐ 12.68% ‐ ‐ ‐ ‐ 5.56%

1996/02/29 9.73% 9.35% 0.00% 23.16% ‐7.28% 1.39% ‐ ‐ 0.57% ‐ ‐ ‐ ‐6.42% 0.00%

1996/03/29 ‐16.33% 9.40% ‐1.35% 2.97% ‐5.31% ‐1.37% ‐ ‐ 14.03% ‐ ‐ ‐ 5.49% ‐9.02%

1996/04/30 12.62% 7.81% 0.00% ‐4.33% 21.21% 5.56% ‐ ‐ ‐2.70% ‐ ‐ ‐ ‐19.48% 0.41%

1996/05/31 ‐10.34% ‐7.25% ‐5.68% 2.01% ‐13.75% ‐1.05% ‐ ‐ ‐1.58% ‐ ‐ ‐ 4.84% ‐0.47%

1996/06/28 15.00% ‐9.37% 4.68% ‐18.42% ‐9.78% 0.55% ‐ ‐ ‐1.61% ‐ ‐ ‐ 6.15% 9.17%

1996/07/31 6.02% 2.10% 5.97% 8.70% 4.42% 1.61% ‐ ‐ ‐6.12% ‐ ‐ ‐ 5.79% ‐4.58%

1996/08/30 4.73% ‐1.29% 1.41% ‐0.89% ‐8.46% ‐0.79% ‐ ‐ 8.75% ‐ ‐ ‐ 10.96% ‐2.80%

1996/09/30 21.08% ‐13.74% 8.34% ‐14.80% ‐4.39% 15.43% ‐ ‐ ‐0.81% ‐ ‐ ‐ 1.23% 7.41%

1996/10/31 2.98% 25.50% ‐15.38% ‐5.26% 6.67% 1.84% ‐ ‐ ‐5.33% ‐ ‐ ‐ 0.00% 4.98%

1996/11/29 ‐0.98% ‐15.66% 3.03% 0.00% ‐9.58% 0.91% ‐ ‐ ‐8.66% ‐ ‐ ‐ 3.66% ‐0.52%

1996/12/31 ‐5.17% ‐4.75% ‐14.70% 7.63% ‐13.82% 3.62% ‐ ‐ ‐5.79% ‐ ‐ ‐ ‐7.06% ‐4.48%

1997/01/31 2.60% ‐15.23% 24.13% ‐2.58% ‐3.21% 7.45% ‐ ‐ 1.61% ‐ ‐ ‐ 7.59% 8.98%

1997/02/28 35.44% 22.75% 1.40% 2.12% 38.12% 13.82% ‐ ‐ 8.93% ‐ ‐ ‐ 14.12% 8.96%

1997/03/31 12.70% ‐21.85% 5.48% ‐6.62% ‐15.14% ‐1.43% ‐ ‐ ‐0.95% ‐ ‐ ‐ 14.43% 11.18%

1997/04/30 ‐2.67% ‐6.99% ‐61.04% ‐15.98% ‐5.21% 0.36% ‐ ‐ ‐4.28% ‐ ‐ ‐ ‐11.39% 7.10%

1997/05/30 0.34% 1.21% ‐36.68% 0.83% ‐7.00% 18.05% ‐ ‐ ‐0.50% ‐ ‐ ‐ 19.99% ‐3.87%

1997/06/30 19.45% ‐17.11% ‐5.26% ‐31.97% 9.14% 12.01% ‐ ‐ ‐2.80% ‐ ‐ ‐ ‐3.06% 16.26%

1997/07/31 4.86% 8.69% ‐1.12% 6.03% ‐0.49% 4.68% ‐ ‐ ‐6.17% ‐ ‐ ‐ 13.68% ‐4.48%

1997/08/29 ‐5.99% 3.32% 5.62% 3.40% 2.97% ‐10.13% ‐ ‐ 3.62% ‐ ‐ ‐ 0.31% ‐4.17%

1997/09/30 ‐1.45% ‐4.38% ‐4.25% ‐13.18% 5.99% 3.66% ‐ ‐ ‐6.05% ‐ ‐ ‐ ‐1.54% 9.24%

1997/10/31 4.53% 4.89% 5.55% ‐15.95% ‐10.60% 5.65% ‐ ‐ ‐10.92% ‐ ‐ ‐ ‐4.68% 0.50%

1997/11/28 4.40% ‐3.64% 9.95% ‐28.31% ‐8.04% 4.01% ‐ ‐ ‐5.80% ‐ ‐ ‐ 0.00% 10.37%

1997/12/31 4.62% ‐0.30% ‐5.25% 0.00% 4.26% ‐3.11% ‐ ‐ 1.37% ‐ ‐ ‐ 3.28% ‐1.82%

1998/01/30 18.18% ‐1.38% 11.11% 34.45% 0.54% 8.23% ‐ ‐ 4.05% ‐ ‐ ‐ 11.11% 13.70%

1998/02/27 34.07% ‐1.09% 6.00% 3.13% 4.81% 20.73% ‐ ‐ 3.36% ‐ ‐ ‐ 12.86% 17.26%

1998/03/31 ‐6.22% 1.41% 22.63% 4.55% 15.68% 4.66% ‐ ‐ 18.84% ‐ ‐ ‐ 18.11% 2.78%

1998/04/30 ‐2.50% 10.82% ‐17.70% 73.90% 17.32% ‐4.69% ‐ ‐ ‐0.55% ‐ ‐ ‐ 12.37% ‐2.70%

1998/05/29 0.28% ‐7.67% 2.21% ‐28.33% ‐16.29% 2.05% ‐ ‐ ‐18.29% ‐ ‐ ‐ ‐1.92% ‐4.17%

1998/06/30 ‐9.45% ‐7.25% ‐6.88% 13.96% ‐8.18% ‐6.85% ‐ ‐ 8.58% ‐ ‐ ‐ ‐3.41% ‐7.97%

1998/07/31 7.03% ‐5.37% ‐21.05% 5.10% 36.63% 8.26% ‐ ‐ 1.11% ‐ ‐ ‐ 17.17% ‐2.36%

1998/08/31 ‐40.45% ‐19.07% ‐22.67% ‐15.73% ‐11.59% ‐39.84% ‐ ‐ ‐6.30% ‐ ‐ ‐ ‐51.31% ‐32.66%

1998/09/30 ‐9.14% 34.78% 0.00% 27.87% 23.45% 18.82% ‐ ‐ 27.02% ‐ ‐ ‐ 11.61% 13.77%

1998/10/30 38.64% 8.87% ‐5.16% 1.80% ‐15.72% 16.85% ‐ ‐ ‐1.59% ‐ ‐ ‐ 32.80% 17.89%

1998/11/30 ‐3.58% ‐7.41% 18.04% 0.89% 27.82% 1.30% ‐ ‐ ‐1.94% ‐ ‐ ‐ ‐12.41% 4.11%

1998/12/31 ‐8.29% ‐24.80% 8.62% 3.33% 2.43% ‐4.31% ‐ ‐ 6.25% ‐ ‐ ‐ 6.60% ‐14.07%

1999/01/29 13.40% 15.96% ‐7.93% ‐7.98% 18.75% 7.50% ‐ ‐ 3.71% ‐ ‐ ‐ 7.10% 22.16%

1999/02/26 ‐10.03% ‐14.76% 0.00% 3.83% 17.05% 10.42% ‐ ‐ 23.34% ‐ ‐ ‐ 9.04% 2.45%

1999/03/31 ‐8.69% 6.19% 20.67% 4.70% ‐3.20% ‐3.54% ‐ ‐ 11.94% ‐ ‐ ‐ 6.52% 11.52%

1999/04/30 13.37% 2.29% 0.00% 21.46% 30.57% 2.62% ‐ ‐ 16.67% ‐ ‐ ‐ 0.52% ‐3.34%

1999/05/31 ‐11.79% ‐20.16% 23.18% ‐13.82% 9.10% ‐5.11% ‐ ‐ ‐9.52% ‐ ‐ ‐ ‐4.87% ‐6.02%

1999/06/30 16.75% 5.61% ‐6.25% ‐6.11% 0.53% 14.86% ‐ ‐ 17.68% ‐ ‐ ‐ 11.11% 8.80%

1999/07/30 ‐3.33% ‐13.77% 33.33% ‐13.20% 29.25% ‐3.95% ‐ ‐ 10.73% ‐ ‐ ‐ 10.30% ‐2.06%

1999/08/31 ‐7.50% 17.65% 5.00% 3.75% ‐0.61% ‐12.76% ‐ ‐ ‐8.61% ‐ ‐ ‐ ‐0.44% ‐7.85%

1999/09/30 0.49% 34.24% 2.86% 44.61% 10.19% ‐7.33% ‐ ‐ 11.65% ‐ ‐ ‐ ‐11.61% ‐2.81%

1999/10/29 15.87% 5.95% ‐7.41% 11.34% 2.80% 10.97% ‐ ‐ ‐1.92% ‐ ‐ ‐ 18.69% 2.72%

1999/11/30 5.49% ‐5.61% 2.48% ‐0.62% 5.73% 14.81% ‐ ‐ ‐8.35% ‐ ‐ ‐ 35.32% ‐6.29%

1999/12/31 17.49% 7.21% ‐10.54% ‐1.25% 10.67% 10.98% ‐ ‐ 11.60% ‐ ‐ ‐ 49.87% 21.02%

2000/01/31 ‐2.84% ‐13.28% 23.53% ‐10.38% 10.84% ‐6.59% ‐ ‐ 11.84% ‐ ‐ ‐ 25.21% 3.94%

2000/02/29 ‐7.25% 14.61% ‐4.77% 12.81% ‐18.04% 3.53% ‐ ‐ ‐4.14% ‐ ‐ ‐ 27.52% ‐5.90%

2000/03/31 0.79% ‐22.45% ‐9.99% ‐3.80% 2.07% ‐1.44% ‐ ‐ 1.32% ‐ ‐ ‐ ‐5.26% 0.88%

2000/04/28 1.27% ‐3.51% 0.00% ‐12.37% ‐5.29% ‐3.61% ‐ ‐ 4.95% ‐ ‐ ‐ 0.83% ‐3.45%

2000/05/31 ‐8.50% 14.55% 2.22% 2.11% 8.19% ‐8.37% ‐ ‐ ‐7.14% ‐ ‐ ‐ ‐2.48% 3.42%

2000/06/30 ‐4.37% 5.56% ‐7.61% 10.29% 8.43% 0.92% ‐ ‐ 18.46% ‐ ‐ ‐ ‐7.20% 7.07%

2000/07/31 0.29% ‐8.65% 10.59% ‐4.67% 5.23% 1.58% ‐ ‐ 14.28% ‐ ‐ ‐ ‐4.72% 4.35%

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Table13:JSEALSITop40totalreturns(Nov1994–Jul2000,NPN–WHL)

   

JSE CODE NPN OML REM RMH SAB SBK SHF SHP SLM SOL TBS TRU VOD WHL1994/11/30 ‐ ‐ ‐ 4.41% 4.88% 18.45% ‐ ‐ ‐ ‐9.86% 3.23% ‐ ‐ ‐

1994/12/30 ‐ ‐ ‐ 4.22% ‐0.77% ‐2.46% ‐ ‐ ‐ 5.47% 5.31% ‐ ‐ ‐

1995/01/31 ‐ ‐ ‐ ‐8.11% ‐10.39% ‐13.45% ‐ ‐ ‐ ‐14.07% ‐10.00% ‐ ‐ ‐

1995/02/28 ‐ ‐ ‐ ‐7.35% 8.12% 11.65% ‐ ‐ ‐ 1.03% 5.56% ‐ ‐ ‐

1995/03/31 ‐ ‐ ‐ 5.35% 7.24% 8.70% ‐ ‐ ‐ 18.45% 3.68% ‐ ‐ ‐

1995/04/28 ‐ ‐ ‐ 6.06% 0.00% 5.69% ‐ ‐ ‐ 2.19% 2.03% ‐ ‐ ‐

1995/05/31 ‐ ‐ ‐ ‐1.43% 5.54% 0.00% ‐ ‐ ‐ 0.00% 3.48% ‐ ‐ ‐

1995/06/30 ‐ ‐ ‐ ‐4.35% ‐0.24% 0.77% ‐ ‐ ‐ ‐0.43% 4.60% ‐ ‐ ‐

1995/07/31 ‐ ‐ ‐ ‐0.76% 0.00% ‐3.82% ‐ ‐ ‐ ‐11.39% ‐1.85% ‐ ‐ ‐

1995/08/31 ‐ ‐ ‐ 0.76% 6.99% ‐2.45% ‐ ‐ ‐ 4.93% 1.89% ‐ ‐ ‐

1995/09/29 ‐ ‐ ‐ 4.55% 3.60% 2.05% ‐ ‐ ‐ ‐4.00% ‐1.85% ‐ ‐ ‐

1995/10/31 ‐ ‐ ‐ 5.67% 4.13% 11.65% ‐ ‐ ‐ 6.98% 12.26% ‐ ‐ ‐

1995/11/30 ‐ ‐ ‐ 18.05% 4.03% 10.07% ‐ ‐ ‐ ‐12.70% 9.24% ‐ ‐ ‐

1995/12/29 ‐ ‐ ‐ 10.59% 7.66% 14.38% ‐ ‐ ‐ 8.55% ‐2.06% ‐ ‐ ‐

1996/01/31 ‐ ‐ ‐ 4.25% 1.87% 1.71% ‐ ‐ ‐ 9.72% 9.52% ‐ ‐ ‐

1996/02/29 ‐ ‐ ‐ 16.33% ‐0.74% ‐4.49% ‐ ‐ ‐ 2.29% ‐2.17% ‐ ‐ ‐

1996/03/29 ‐ ‐ ‐ ‐6.61% ‐6.67% 7.39% ‐ ‐ ‐ 17.46% ‐8.15% ‐ ‐ ‐

1996/04/30 11.90% ‐ ‐ ‐2.83% 0.20% ‐11.11% ‐ ‐ ‐ 15.98% ‐3.63% ‐ ‐ ‐

1996/05/31 ‐6.54% ‐ ‐ ‐1.94% 5.15% ‐0.63% ‐ ‐10.65% ‐ ‐3.78% 0.00% ‐ ‐ ‐

1996/06/28 19.99% ‐ ‐ 13.86% ‐2.93% 6.92% ‐ 13.41% ‐ 7.39% 2.46% ‐ ‐ ‐

1996/07/31 ‐1.71% ‐ ‐ 0.87% ‐5.91% ‐0.59% ‐ 2.27% ‐ ‐2.90% ‐8.64% ‐ ‐ ‐

1996/08/30 0.00% ‐ ‐ 3.45% ‐0.42% 2.74% ‐ ‐7.56% ‐ 10.74% 0.90% ‐ ‐ ‐

1996/09/30 ‐5.96% ‐ ‐ 17.50% 1.68% 8.41% ‐ 21.99% ‐ 7.00% 14.29% ‐ ‐ ‐

1996/10/31 ‐2.26% ‐ ‐ 2.31% 0.83% ‐3.74% ‐ ‐3.05% ‐ 8.36% ‐3.52% ‐ ‐ ‐

1996/11/29 ‐7.98% ‐ ‐ 2.10% ‐4.71% ‐4.17% ‐ 16.87% ‐ ‐0.44% 5.26% ‐ ‐ ‐

1996/12/31 8.80% ‐ ‐ ‐4.11% 2.50% 6.67% ‐ ‐13.92% ‐ ‐2.63% 0.51% ‐ ‐ ‐

1997/01/31 ‐8.78% ‐ ‐ 8.57% 2.32% 1.09% ‐ 6.06% ‐ ‐5.86% 10.47% ‐ ‐ ‐

1997/02/28 6.46% ‐ ‐ 26.32% 10.52% ‐1.88% ‐ ‐2.86% ‐ ‐7.18% 5.61% ‐ ‐ ‐

1997/03/31 9.53% ‐ ‐ 6.63% 4.48% 0.79% ‐ 2.95% ‐ ‐1.34% 3.65% ‐ ‐ ‐

1997/04/30 ‐7.61% ‐ ‐ 13.24% ‐6.43% 12.98% ‐ 7.02% ‐ 20.64% ‐0.32% ‐ ‐ ‐

1997/05/30 5.65% ‐ ‐ ‐6.49% ‐4.01% ‐2.20% ‐ 17.11% ‐ ‐3.95% ‐2.25% ‐ ‐ ‐

1997/06/30 15.81% ‐ ‐ 20.37% 12.68% 11.50% ‐ 7.69% ‐ 8.68% 5.96% ‐ ‐ ‐

1997/07/31 2.33% ‐ ‐ 2.31% 6.64% ‐2.24% ‐ 17.14% ‐ ‐7.14% ‐0.31% ‐ ‐ ‐

1997/08/29 ‐1.89% ‐ ‐ ‐1.13% ‐5.22% ‐3.06% ‐ ‐3.66% ‐ 13.12% ‐12.23% ‐ ‐ ‐

1997/09/30 ‐4.80% ‐ ‐ ‐7.98% ‐3.91% ‐1.19% ‐ 16.48% ‐ 4.14% ‐1.43% ‐ ‐ ‐

1997/10/31 ‐7.07% ‐ ‐ 15.43% ‐5.66% ‐1.69% ‐ 10.51% ‐ ‐9.73% ‐2.17% ‐ ‐ ‐

1997/11/28 ‐13.04% ‐ ‐ ‐2.53% ‐6.74% 3.92% ‐ ‐3.47% ‐ ‐15.60% 2.22% ‐ ‐ ‐

1997/12/31 0.00% ‐ ‐ 1.48% 1.45% 0.94% ‐ ‐13.85% ‐ 3.98% ‐1.14% ‐ ‐ ‐5.58%

1998/01/30 ‐1.25% ‐ ‐ 14.60% 8.50% 9.35% ‐ 11.31% ‐ ‐11.59% 17.56% ‐ ‐ 5.46%

1998/02/27 ‐16.45% ‐ ‐ 56.69% 6.45% 17.09% ‐ 20.86% ‐ ‐6.22% ‐4.43% ‐ ‐ ‐3.50%

1998/03/31 25.75% ‐ ‐ ‐25.60% 7.79% 12.94% ‐ ‐2.97% ‐ ‐1.71% 0.66% ‐ ‐ 12.64%

1998/04/30 16.98% ‐ ‐ ‐6.73% 13.52% ‐2.10% ‐ 12.38% ‐ 25.00% 5.53% ‐ ‐ ‐12.33%

1998/05/29 0.73% ‐ ‐ ‐6.36% ‐14.27% ‐9.70% ‐ ‐5.31% ‐ ‐19.61% ‐14.84% ‐ ‐ 8.89%

1998/06/30 ‐20.25% ‐ ‐ ‐15.53% ‐14.56% ‐6.30% ‐ ‐18.10% ‐ ‐16.22% ‐22.86% ‐49.05% ‐ ‐40.14%

1998/07/31 ‐3.49% ‐ ‐ 6.90% ‐0.66% ‐7.11% ‐ 3.68% ‐ 11.35% 4.21% 5.02% ‐ ‐13.64%

1998/08/31 ‐33.24% ‐ ‐ ‐42.29% ‐25.33% ‐42.06% ‐ ‐23.86% ‐ ‐29.41% ‐18.20% ‐28.58% ‐ ‐17.10%

1998/09/30 ‐26.21% ‐ ‐ 4.35% ‐2.10% ‐10.37% ‐ ‐4.43% ‐ ‐0.19% 2.25% ‐21.87% ‐ 15.56%

1998/10/30 16.27% ‐ ‐ 32.67% 22.80% 39.67% ‐9.09% 23.94% ‐ 5.38% 26.81% 85.25% ‐ 31.98%

1998/11/30 ‐2.10% ‐ ‐ ‐8.18% ‐10.75% ‐16.27% ‐18.75% 9.09% ‐ ‐19.31% 5.55% ‐10.80% ‐ ‐21.48%

1998/12/31 9.51% ‐ ‐ ‐5.94% 2.91% 27.21% 13.85% ‐14.59% ‐2.34% 0.45% ‐2.54% ‐13.15% ‐ 1.74%

1999/01/29 4.35% ‐ ‐ 22.10% ‐1.11% 5.28% ‐2.70% ‐4.88% ‐14.53% ‐3.82% ‐3.45% 48.49% ‐ 14.83%

1999/02/26 0.00% ‐ ‐ ‐12.07% ‐5.57% ‐7.12% ‐8.33% 12.18% ‐11.60% 12.85% ‐5.00% 24.47% ‐ 14.12%

1999/03/31 25.00% ‐ ‐ ‐10.64% 18.89% 1.64% 15.15% 3.67% 20.82% 29.07% 6.39% 7.38% ‐ 34.22%

1999/04/30 6.66% ‐ ‐ 8.29% ‐4.86% 5.71% 10.53% ‐8.78% 11.80% 40.98% ‐3.71% ‐3.82% ‐ 1.17%

1999/05/31 ‐10.15% ‐ ‐ ‐7.65% ‐2.75% ‐4.86% ‐8.33% ‐5.60% 2.84% ‐16.28% ‐8.72% ‐17.47% ‐ 0.78%

1999/06/30 26.09% ‐ ‐ 10.28% 5.86% 13.35% 2.86% 7.35% 16.46% 19.58% 11.81% 20.19% ‐ ‐14.62%

1999/07/30 ‐12.42% ‐ ‐ ‐1.30% ‐4.58% 4.76% ‐1.26% ‐26.68% 0.00% 6.39% ‐12.27% ‐16.00% ‐ ‐9.91%

1999/08/31 ‐6.02% 1.99% ‐ ‐8.63% 0.00% ‐9.09% 2.30% 9.01% 1.40% ‐3.49% 7.77% 23.80% ‐ 10.00%

1999/09/30 ‐3.87% ‐1.95% ‐ 1.67% 2.00% 1.99% 2.50% ‐1.34% ‐9.66% 6.52% ‐3.65% ‐11.54% ‐ ‐4.06%

1999/10/29 34.21% 3.18% ‐ 13.52% 5.49% 9.37% 10.45% 5.38% 9.17% ‐9.52% 9.38% 0.00% ‐ 3.62%

1999/11/30 43.78% 3.46% ‐ 12.74% 7.81% 2.86% 11.36% 17.52% 2.55% 12.08% 8.03% 0.00% ‐ 6.51%

1999/12/31 1.82% 20.07% ‐ 13.91% 8.66% 18.29% 24.49% 13.05% 18.95% 9.07% 22.38% 21.73% ‐ ‐10.49%

2000/01/31 35.17% ‐2.17% ‐ ‐4.58% ‐4.15% 5.48% 9.02% ‐23.08% 2.90% ‐2.54% 4.23% ‐14.28% ‐ ‐4.39%

2000/02/29 19.29% ‐6.33% ‐ ‐10.80% ‐18.33% ‐8.35% ‐1.05% ‐2.86% ‐9.60% ‐18.47% ‐8.11% ‐13.34% ‐ 4.59%

2000/03/31 ‐11.52% 4.39% ‐ 4.50% 2.04% 11.34% ‐11.86% 4.39% 3.88% 2.57% 0.00% 1.17% ‐ ‐9.75%

2000/04/28 ‐12.39% 0.06% ‐ ‐1.73% 0.00% ‐7.41% 3.28% 0.00% ‐3.13% ‐2.45% 1.18% ‐5.77% ‐ ‐12.96%

2000/05/31 ‐13.29% ‐3.93% ‐ ‐10.57% ‐15.00% 2.00% ‐7.85% ‐1.43% ‐4.72% 14.95% ‐4.07% 5.10% ‐ ‐5.91%

2000/06/30 ‐6.92% 2.39% ‐ ‐0.49% 19.06% 3.92% 8.70% ‐1.45% 6.38% ‐0.55% ‐6.95% 6.80% ‐ 13.87%

2000/07/31 7.26% 3.33% ‐ ‐2.67% ‐1.31% 1.70% 2.50% ‐2.21% 4.25% ‐3.08% 5.26% 1.83% ‐ ‐8.71%

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Table14:JSEALSITop40totalreturns(Aug2000–Apr2006,ABL–EXX)

   

JSE CODE ABL ACL AGL AMS ANG APN ARI ASA ASR BIL BVT CFR CSO EXX2000/08/31 ‐8.59% 9.83% 18.69% 32.33% 1.37% 2.44% ‐1.43% 14.29% 11.11% 4.53% 2.31% 5.10% 2.81% ‐

2000/09/29 ‐12.75% ‐7.10% ‐0.92% 4.72% ‐1.47% ‐3.17% ‐0.62% ‐4.86% 8.33% ‐5.84% ‐1.44% 6.06% 1.30% ‐

2000/10/31 ‐7.85% ‐20.27% 7.59% 5.97% ‐19.85% ‐8.20% ‐0.83% ‐6.20% 1.23% 14.06% ‐14.34% 1.48% 0.19% ‐

2000/11/30 ‐13.19% ‐15.42% ‐3.26% 5.83% ‐11.55% ‐10.71% 2.52% ‐5.45% 0.61% ‐13.87% ‐1.65% 0.57% ‐1.10% ‐

2000/12/29 2.88% 23.16% 2.87% 12.82% 16.32% ‐4.20% ‐5.74% 19.72% 2.72% 13.32% 9.47% ‐7.33% 5.32% ‐

2001/01/31 28.97% 37.61% 17.85% 2.84% 0.90% 10.65% 19.13% 14.86% ‐4.41% 14.39% 7.78% 4.87% 6.60% ‐

2001/02/28 1.45% 16.28% 5.73% 2.10% 14.60% ‐16.04% 22.26% ‐5.94% 4.61% 8.84% ‐6.50% ‐5.42% ‐1.17% ‐

2001/03/30 8.71% 9.00% ‐8.74% ‐23.81% ‐9.24% 1.12% 0.00% 3.88% 0.35% 2.99% ‐1.80% ‐10.02% 3.05% ‐

2001/04/30 14.32% 11.92% 11.91% 34.33% 26.11% 15.56% 10.45% 9.50% 0.00% 7.87% 5.29% 13.64% 2.54% ‐

2001/05/31 ‐4.02% 10.25% 1.76% 16.67% 3.86% 19.23% ‐2.70% ‐0.43% 9.12% 4.61% 1.39% 0.00% 0.99% ‐

2001/06/29 10.88% 7.81% ‐7.72% ‐14.52% 0.34% ‐4.03% 9.72% 10.21% 7.82% ‐4.53% 5.70% 2.80% ‐1.30% ‐

2001/07/31 ‐10.38% ‐10.69% ‐9.70% ‐25.35% 0.00% 9.24% ‐7.60% 3.04% 0.00% ‐2.56% ‐4.19% ‐4.47% ‐1.48% ‐

2001/08/31 ‐0.61% 13.13% 12.59% 25.34% 2.41% 3.08% 8.22% 0.00% ‐2.50% 5.79% ‐0.10% 4.38% 8.85% ‐

2001/09/28 ‐4.42% ‐14.33% ‐10.40% ‐7.69% ‐1.68% ‐2.99% ‐13.54% ‐4.49% 0.00% ‐10.20% ‐9.22% ‐14.63% ‐1.67% ‐

2001/10/31 12.32% 23.11% 13.22% 2.73% 8.97% ‐1.54% 0.73% ‐10.87% 3.09% 11.91% 4.42% 7.69% 2.71% ‐

2001/11/30 ‐6.86% 149.65% 26.97% 16.81% 7.79% 9.01% 4.07% 4.52% ‐0.38% 23.20% 6.24% 5.80% 13.02% ‐

2001/12/31 8.74% 43.67% 18.65% 24.11% 23.03% ‐12.92% 0.70% 2.67% 5.39% 25.25% ‐7.24% 10.66% 15.91% 10.87%

2002/01/31 ‐13.33% ‐6.61% 0.98% ‐1.07% 12.56% 12.50% ‐11.23% ‐25.50% 0.00% ‐0.81% ‐3.05% 3.67% ‐2.96% 15.91%

2002/02/28 ‐22.15% 44.34% 7.46% 6.11% 14.38% 4.44% 4.06% 4.40% 15.00% 6.89% ‐0.12% 5.31% 12.56% 36.21%

2002/03/29 ‐9.37% 13.24% ‐3.18% 9.42% 7.32% ‐0.71% 19.97% ‐7.32% 9.73% ‐1.38% ‐0.25% 9.66% ‐0.54% ‐4.48%

2002/04/30 40.98% 21.71% ‐10.83% 2.01% 1.05% 8.57% ‐6.13% 22.53% 6.22% ‐11.35% 11.96% ‐8.05% 1.19% ‐10.02%

2002/05/31 ‐6.67% ‐7.57% 6.85% ‐6.31% 8.82% 0.66% 6.67% 3.39% 7.34% ‐2.63% 5.77% 5.21% ‐3.63% 16.11%

2002/06/28 ‐12.80% 28.66% ‐4.19% ‐14.74% ‐12.88% ‐2.61% ‐7.48% 1.31% 8.33% ‐1.66% ‐7.07% ‐10.10% 5.48% ‐3.67%

2002/07/31 ‐3.17% ‐4.55% ‐26.44% ‐22.47% ‐19.53% ‐2.01% 4.03% ‐12.04% 3.08% ‐5.31% ‐6.52% ‐14.76% ‐2.27% ‐15.28%

2002/08/30 ‐1.03% 7.86% 5.14% 15.92% 14.37% ‐6.16% ‐1.30% ‐1.78% 0.00% 2.35% 4.65% 3.36% 9.99% ‐9.97%

2002/09/30 ‐8.70% ‐9.05% 1.59% ‐0.27% 16.27% ‐3.65% ‐2.63% 8.00% 5.97% ‐1.48% ‐2.90% ‐20.85% ‐6.67% 1.66%

2002/10/31 5.71% 14.36% ‐1.87% 1.84% ‐8.41% 9.29% 0.00% 7.07% 4.81% ‐1.82% 1.87% 4.64% ‐3.30% ‐2.10%

2002/11/29 6.31% ‐9.09% ‐1.15% ‐7.63% ‐6.67% 4.23% 0.00% 13.21% 2.70% 2.71% 5.75% 7.95% ‐2.27% ‐1.23%

2002/12/31 ‐1.10% 1.19% ‐2.32% ‐5.11% 19.30% 4.05% 6.76% ‐10.63% 5.26% ‐7.80% ‐2.17% ‐9.20% ‐8.38% ‐5.84%

2003/01/31 8.85% 6.82% ‐6.32% 3.80% 3.27% 0.00% 6.33% 4.11% 12.50% ‐11.77% ‐5.78% ‐10.38% ‐4.82% ‐3.22%

2003/02/28 4.39% ‐18.35% ‐1.22% ‐12.20% ‐11.59% ‐9.09% ‐5.83% 1.52% ‐2.22% 5.03% ‐4.84% ‐8.77% ‐2.65% ‐4.76%

2003/03/31 ‐9.81% ‐8.45% ‐0.58% ‐16.55% ‐8.54% ‐6.14% ‐10.24% ‐11.98% 0.00% ‐5.46% 0.19% ‐19.77% ‐2.74% ‐16.34%

2003/04/30 ‐5.01% ‐9.85% ‐7.05% ‐12.45% ‐12.30% 8.07% ‐9.86% 8.50% 0.26% ‐5.25% ‐0.75% 3.16% ‐3.27% ‐2.39%

2003/05/30 11.82% 9.22% 19.07% 33.33% 9.45% 5.92% 24.84% 8.12% ‐3.71% 12.97% 5.30% 19.42% 25.00% 32.17%

2003/06/30 4.87% 0.00% ‐7.66% ‐13.05% 4.36% 3.06% 0.13% 4.47% ‐4.39% ‐4.58% 3.12% ‐3.35% ‐7.15% ‐7.04%

2003/07/31 13.55% 5.62% 11.31% ‐0.21% 2.74% 8.39% ‐1.38% 4.30% 0.00% 11.33% 11.16% 7.89% ‐1.92% 6.31%

2003/08/29 2.98% 22.48% 7.51% 16.91% 18.27% 11.90% 14.14% ‐3.27% ‐2.72% 9.71% ‐8.58% 4.85% 3.27% 8.91%

2003/09/30 0.00% 2.83% ‐9.47% ‐5.62% ‐5.28% ‐4.26% ‐6.17% ‐2.79% ‐11.23% ‐4.32% ‐2.38% 1.14% ‐5.24% ‐2.45%

2003/10/31 13.79% 13.30% 12.71% 14.79% ‐0.89% 12.79% 3.20% 15.64% ‐5.31% 18.28% 1.08% 12.47% 1.30% 11.09%

2003/11/28 15.15% 1.52% ‐2.91% ‐7.12% 14.93% 20.60% ‐5.96% 2.26% ‐16.67% ‐10.27% 1.43% 0.51% ‐2.82% ‐0.43%

2003/12/31 14.59% 23.34% 4.95% 6.39% 2.48% 3.33% 2.68% 5.19% 14.55% 18.73% 17.37% ‐1.65% 10.50% ‐0.64%

2004/01/30 2.44% 5.90% 11.47% 12.52% ‐8.59% ‐11.69% 8.08% 5.13% ‐6.35% ‐0.17% ‐5.60% 15.41% 5.62% 17.00%

2004/02/27 12.20% 12.79% 4.37% ‐10.06% ‐0.58% 9.59% ‐5.49% 5.40% 0.00% 6.89% 12.29% ‐1.12% 6.51% ‐2.56%

2004/03/31 10.14% 7.28% ‐7.81% ‐4.91% ‐4.40% 5.83% 4.19% ‐0.11% 10.17% ‐6.28% 0.60% ‐4.18% ‐0.78% 1.68%

2004/04/30 ‐11.30% ‐8.01% ‐7.95% ‐13.67% ‐18.03% ‐3.94% ‐16.29% ‐3.84% 3.38% ‐3.74% 4.42% 4.95% 3.12% ‐2.12%

2004/05/31 9.43% 4.17% ‐0.73% 2.10% 3.17% 3.28% ‐3.95% 6.80% ‐4.48% 0.36% ‐2.76% ‐3.37% ‐2.39% ‐13.25%

2004/06/30 4.81% 11.27% ‐7.89% ‐3.13% ‐11.19% 0.79% ‐5.61% 8.82% 0.00% ‐3.03% ‐0.57% ‐5.76% ‐2.55% ‐8.33%

2004/07/30 ‐1.69% ‐2.07% 4.80% 2.13% 2.03% 8.66% ‐10.29% 0.14% ‐0.03% 6.56% 4.57% 0.00% 5.31% 8.18%

2004/08/31 2.07% 24.34% 14.11% 24.81% 14.60% 8.70% 14.75% 7.89% ‐1.53% 9.44% 9.02% 5.12% 11.21% 2.24%

2004/09/30 9.71% ‐1.09% 2.12% ‐7.95% 6.05% 0.33% 2.86% 18.15% 19.81% 9.41% 8.06% 6.25% ‐3.32% 8.51%

2004/10/29 10.01% 16.15% ‐13.05% ‐13.97% ‐9.12% 9.78% ‐18.06% 2.92% 0.00% ‐8.49% 6.57% ‐3.26% ‐0.52% 8.28%

2004/11/30 20.36% 20.72% 3.44% ‐8.97% 3.07% 4.94% 0.00% 5.00% ‐8.00% 8.07% 11.19% 2.91% 1.78% 11.18%

2004/12/31 13.32% 0.48% ‐3.61% ‐2.82% ‐14.75% 7.65% ‐10.17% 9.40% 6.52% ‐1.86% 7.43% 6.21% 8.48% ‐6.87%

2005/01/31 ‐8.20% ‐7.17% 3.37% 4.11% ‐1.67% 22.40% 0.00% 0.53% 14.29% 10.47% ‐0.25% ‐1.28% 3.31% 20.45%

2005/02/28 3.57% 10.44% 5.43% 6.72% 7.20% ‐4.69% 18.11% 4.06% 42.86% 19.35% ‐5.49% ‐1.24% ‐0.45% 20.00%

2005/03/31 ‐4.02% 0.61% 3.28% 3.23% 3.85% ‐3.98% 0.64% ‐5.15% ‐9.61% ‐2.73% ‐4.30% 6.44% 4.01% 7.48%

2005/04/29 ‐2.99% ‐20.00% ‐8.97% 2.14% ‐9.72% 8.29% ‐12.22% 3.18% ‐2.78% ‐11.63% ‐3.53% ‐6.82% ‐1.99% ‐11.10%

2005/05/31 1.85% ‐0.59% 20.30% 22.18% 15.89% 12.16% 21.16% 5.96% ‐0.95% 10.66% 1.19% 12.76% 9.92% 11.65%

2005/06/30 16.63% ‐6.93% ‐2.73% 2.05% 5.98% ‐5.11% 1.46% 2.50% 6.73% 4.02% 5.19% 9.51% ‐3.59% ‐13.14%

2005/07/29 6.79% 16.13% 5.71% ‐2.01% ‐5.21% 18.91% ‐1.44% 11.00% 16.22% 8.22% 14.44% 3.79% ‐3.42% 20.28%

2005/08/31 5.42% ‐11.78% ‐1.21% 7.94% 0.49% 5.94% 0.00% 0.60% 13.18% 3.53% 5.05% 4.29% 1.42% 15.71%

2005/09/30 4.37% 23.39% 17.90% 20.77% 21.81% 8.74% 16.42% 1.85% ‐4.46% 9.70% 7.91% 6.90% 1.19% 27.40%

2005/10/31 ‐5.84% ‐6.69% 2.98% 4.00% ‐3.04% ‐4.91% ‐3.85% ‐5.12% ‐5.80% ‐4.53% ‐2.44% 1.47% ‐2.43% 0.61%

2005/11/30 12.94% 6.93% 2.75% 9.75% 4.09% 7.37% 8.00% 3.15% 3.85% ‐2.62% ‐2.17% ‐0.47% ‐1.95% 1.01%

2005/12/30 13.23% 8.39% 5.74% 6.77% 12.77% 1.86% 3.68% 11.80% 11.11% 7.67% 5.05% 7.77% ‐0.09% 1.90%

2006/01/31 15.80% 15.76% 9.73% 10.28% 18.15% 22.75% 11.93% 10.79% ‐12.00% 8.77% 8.92% 0.36% 5.97% 13.23%

2006/02/28 2.26% ‐14.09% ‐2.69% ‐2.28% ‐14.12% ‐2.44% ‐8.51% 2.65% ‐10.61% ‐8.71% 3.23% ‐2.90% 3.55% ‐10.30%

2006/03/31 3.83% 6.25% 6.41% 15.22% 3.14% 8.00% 11.63% 2.18% ‐2.54% 10.18% 11.51% 9.31% 5.47% 9.17%

2006/04/28 11.55% 10.58% 9.37% 3.87% ‐0.61% ‐1.62% 4.17% 2.33% ‐2.81% 11.11% ‐3.61% 7.73% 2.11% 1.98%

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78

Table15:JSEALSITop40totalreturns(Aug2000–Apr2006,FDR–NED)

   

JSE CODE FSR GFI GRT HAR IMP INL INP KIO LON MND MNP MSM MTN NED2000/08/31 8.97% 5.76% 1.07% 4.06% 24.34% 7.76% ‐ ‐ 1.15% ‐ ‐ 11.96% ‐4.15% 7.45%

2000/09/29 ‐8.50% ‐10.89% ‐4.22% ‐1.35% ‐3.32% ‐7.60% ‐ ‐ 2.84% ‐ ‐ ‐6.28% ‐3.33% ‐1.77%

2000/10/31 ‐2.86% ‐2.40% ‐1.09% ‐21.39% 3.78% ‐2.16% ‐ ‐ 0.55% ‐ ‐ ‐8.15% ‐3.45% ‐8.51%

2000/11/30 2.94% ‐2.46% 6.74% ‐0.52% 12.41% 0.42% ‐ ‐ 14.28% ‐ ‐ ‐15.32% ‐28.57% 10.56%

2000/12/29 20.00% 17.89% 0.00% 22.83% 5.93% 12.50% ‐ ‐ 3.85% ‐ ‐ ‐3.81% 26.66% 8.92%

2001/01/31 2.38% 13.42% ‐4.44% 0.28% 1.56% 6.75% ‐ ‐ 13.56% ‐ ‐ 10.39% 3.95% 3.51%

2001/02/28 ‐10.93% 11.94% 0.00% 10.56% 7.15% ‐3.72% ‐ ‐ ‐2.50% ‐ ‐ ‐30.04% ‐16.35% ‐11.30%

2001/03/30 ‐2.01% ‐0.95% 0.00% 0.26% ‐23.44% ‐23.51% ‐ ‐ ‐13.68% ‐ ‐ 11.92% ‐15.45% ‐11.83%

2001/04/30 11.22% 12.34% 10.46% 2.34% 35.09% 1.52% ‐ ‐ 8.91% ‐ ‐ ‐6.97% 13.44% 7.93%

2001/05/31 3.28% ‐4.71% 17.19% 3.67% 22.86% 16.00% ‐ ‐ 7.64% ‐ ‐ 1.24% 0.71% 3.40%

2001/06/29 1.29% 8.53% 7.84% 14.53% ‐14.71% 5.13% ‐ ‐ ‐2.37% ‐ ‐ 14.82% ‐12.94% 3.95%

2001/07/31 ‐1.39% ‐7.03% ‐4.55% ‐14.71% ‐12.25% ‐15.06% ‐ ‐ ‐10.65% ‐ ‐ 5.38% ‐24.04% ‐6.84%

2001/08/31 0.47% 8.61% 1.24% 1.62% 3.39% ‐1.48% ‐ ‐ 10.26% ‐ ‐ 26.54% 4.29% 0.00%

2001/09/28 ‐12.66% 12.43% ‐5.00% 22.50% ‐7.20% ‐18.60% ‐ ‐ ‐3.40% ‐ ‐ 0.12% ‐9.25% ‐10.33%

2001/10/31 4.42% 5.16% 2.11% 12.04% 5.53% ‐1.97% ‐ ‐ 2.59% ‐ ‐ 2.46% 12.83% 3.32%

2001/11/30 ‐7.31% 10.28% 2.06% 6.56% 28.13% 7.14% ‐ ‐ 27.62% ‐ ‐ 8.00% 9.70% ‐11.61%

2001/12/31 4.93% 21.82% ‐13.12% 34.19% 30.79% ‐4.35% ‐ ‐ 23.76% ‐ ‐ ‐5.56% ‐19.51% 4.55%

2002/01/31 ‐12.21% 25.91% 0.00% 13.50% ‐8.11% 1.00% ‐ ‐ ‐8.05% ‐ ‐ ‐4.31% 4.92% ‐1.77%

2002/02/28 5.50% 37.69% ‐3.48% 35.18% 14.94% ‐13.12% ‐ ‐ 36.28% ‐ ‐ ‐9.84% ‐4.69% 0.82%

2002/03/29 ‐2.21% 20.24% 8.64% 6.52% 3.37% ‐7.41% ‐ ‐ 2.00% ‐ ‐ 2.28% 0.76% ‐6.50%

2002/04/30 19.34% 7.91% 5.88% 7.38% 14.43% 22.77% ‐ ‐ ‐7.12% ‐ ‐ 15.00% ‐2.25% 22.20%

2002/05/31 2.15% 1.01% 11.11% 12.57% ‐7.30% 6.52% ‐ ‐ ‐5.50% ‐ ‐ 20.55% 0.38% ‐4.74%

2002/06/28 ‐5.20% ‐5.95% ‐6.99% ‐7.79% ‐10.60% ‐3.97% ‐ ‐ 6.83% ‐ ‐ ‐11.47% ‐10.35% ‐10.34%

2002/07/31 ‐12.42% ‐10.51% ‐1.09% ‐16.83% ‐25.15% ‐11.95% ‐ ‐ ‐21.58% ‐ ‐ 2.59% ‐7.69% ‐4.70%

2002/08/30 ‐3.43% 17.08% 2.18% 29.64% 24.77% ‐15.71% ‐13.08% ‐ 0.71% ‐ ‐ 12.72% ‐13.89% ‐6.01%

2002/09/30 1.08% 8.62% 2.84% 12.46% 9.78% 2.84% 6.78% ‐ 0.00% ‐ ‐ ‐0.35% ‐10.75% ‐3.21%

2002/10/31 7.73% ‐15.72% 10.37% ‐19.16% 2.64% ‐4.00% ‐5.86% ‐ ‐2.48% ‐ ‐ 8.55% 33.38% 9.26%

2002/11/29 13.04% ‐13.18% 3.01% ‐12.60% ‐1.57% 3.00% 2.60% ‐ ‐10.55% ‐ ‐ 10.91% 23.03% 7.93%

2002/12/31 ‐5.64% 20.50% 2.91% 24.59% ‐3.71% ‐2.65% ‐4.03% ‐ ‐2.44% ‐ ‐ 0.00% ‐10.06% ‐5.21%

2003/01/31 ‐2.85% ‐7.17% 4.71% ‐10.89% 8.44% ‐9.73% ‐10.63% ‐ ‐8.87% ‐ ‐ 2.73% 7.02% ‐1.89%

2003/02/28 ‐1.40% ‐7.95% 4.51% ‐14.78% ‐17.06% ‐16.57% ‐15.37% ‐ ‐4.72% ‐ ‐ ‐2.13% ‐2.75% ‐11.93%

2003/03/31 ‐5.50% ‐16.63% 4.65% ‐11.68% ‐16.50% ‐10.11% ‐11.08% ‐ ‐16.04% ‐ ‐ ‐2.71% ‐6.04% ‐5.17%

2003/04/30 9.23% ‐12.23% ‐6.08% ‐21.11% ‐10.22% 13.20% 13.15% ‐ ‐5.37% ‐ ‐ 3.96% 1.84% 11.36%

2003/05/30 1.55% 21.79% 0.92% 36.87% 36.11% 8.54% 11.63% ‐ 36.32% ‐ ‐ 8.84% 12.30% ‐7.14%

2003/06/30 5.96% ‐0.48% 10.52% ‐6.54% ‐8.98% 4.79% 2.60% ‐ ‐11.33% ‐ ‐ 6.60% 18.83% ‐1.65%

2003/07/31 5.89% ‐0.41% 1.38% ‐6.20% 5.38% 7.19% 8.20% ‐ 5.50% ‐ ‐ 4.76% 1.35% ‐4.25%

2003/08/29 ‐6.06% 13.31% ‐4.58% 13.05% 21.28% ‐9.81% ‐10.48% ‐ 7.49% ‐ ‐ 12.73% 10.00% ‐2.92%

2003/09/30 ‐3.95% ‐0.30% ‐0.36% ‐3.40% 5.04% 6.52% 6.29% ‐ ‐0.92% ‐ ‐ 4.40% 9.64% ‐14.74%

2003/10/31 14.16% ‐1.19% 16.42% 6.53% 9.04% 9.90% 10.30% ‐ 11.03% ‐ ‐ 12.20% 24.12% ‐8.96%

2003/11/28 5.52% ‐10.67% ‐5.80% ‐4.53% ‐5.29% 7.24% 6.57% ‐ 1.06% ‐ ‐ 5.61% 5.22% 4.92%

2003/12/31 3.72% 8.52% 2.83% 7.21% ‐3.33% 13.50% 14.07% ‐ 8.79% ‐ ‐ 1.33% 9.47% ‐6.16%

2004/01/30 0.22% ‐4.70% ‐1.29% 0.47% ‐1.38% 8.98% 8.34% ‐ 13.55% ‐ ‐ ‐10.49% 4.92% 5.59%

2004/02/27 1.79% ‐9.48% 2.46% ‐7.07% ‐3.50% ‐2.51% ‐2.13% ‐ 3.17% ‐ ‐ 3.30% ‐0.34% ‐2.29%

2004/03/31 10.10% 2.74% ‐2.06% ‐2.29% ‐5.79% ‐7.65% ‐6.80% ‐ ‐11.04% ‐ ‐ 12.27% 10.79% ‐0.16%

2004/04/30 ‐2.24% ‐16.62% 5.17% ‐21.86% ‐8.17% ‐2.07% ‐1.42% ‐ ‐9.02% ‐ ‐ ‐0.32% ‐11.71% 3.28%

2004/05/31 6.04% 9.74% 0.00% 1.88% 1.37% ‐2.03% ‐3.20% ‐ ‐6.61% ‐ ‐ 0.32% 4.81% 4.82%

2004/06/30 0.10% ‐15.28% ‐1.64% ‐16.88% ‐1.87% 2.90% 4.96% ‐ 0.65% ‐ ‐ 5.49% ‐5.20% ‐1.58%

2004/07/30 ‐1.47% ‐1.07% 3.33% 5.75% 5.29% ‐3.57% ‐4.59% ‐ ‐1.68% ‐ ‐ ‐1.22% ‐5.61% ‐3.16%

2004/08/31 6.47% 25.63% 4.51% 19.23% 12.62% 2.71% 2.98% ‐ 16.36% ‐ ‐ 8.08% 13.38% ‐6.26%

2004/09/30 13.38% 8.36% 1.16% 7.47% ‐4.28% 7.91% 6.61% ‐ 1.87% ‐ ‐ 15.35% 1.05% 7.02%

2004/10/29 2.50% ‐1.70% 0.49% ‐18.90% ‐4.97% 8.99% 8.53% ‐ ‐9.51% ‐ ‐ 9.18% 8.05% 11.93%

2004/11/30 9.46% ‐4.43% 23.11% ‐13.22% 0.57% 17.14% 18.57% ‐ ‐8.90% ‐ ‐ 20.09% 21.62% 14.11%

2004/12/31 0.38% ‐15.45% 1.05% ‐17.42% ‐3.43% 12.54% 11.41% ‐ ‐7.91% ‐ ‐ ‐11.89% 7.41% 2.37%

2005/01/31 2.25% ‐1.58% 3.23% ‐3.71% 4.30% ‐4.28% ‐3.52% ‐ 10.60% ‐ ‐ ‐7.71% 3.43% ‐6.43%

2005/02/28 2.49% 1.39% 8.62% 1.42% 2.28% ‐0.72% ‐0.58% ‐ 3.27% ‐ ‐ 8.85% 6.22% 9.92%

2005/03/31 ‐2.79% 5.00% ‐1.30% ‐0.60% 3.79% 3.49% 4.13% ‐ 4.07% ‐ ‐ ‐5.56% ‐7.93% ‐5.10%

2005/04/29 ‐2.85% ‐15.86% 3.03% ‐21.93% ‐3.81% ‐1.69% ‐1.65% ‐ ‐3.48% ‐ ‐ 4.52% ‐2.05% ‐0.27%

2005/05/31 4.66% 21.33% 2.35% 28.09% 12.89% 11.43% 12.23% ‐ 12.61% ‐ ‐ ‐3.76% 4.06% 1.07%

2005/06/30 1.39% 2.96% 4.13% 17.20% 4.72% 1.79% 3.75% ‐ 0.00% ‐ ‐ 5.96% 0.13% ‐1.86%

2005/07/29 14.28% ‐5.52% 3.76% ‐5.58% 1.93% 7.53% 4.78% ‐ 8.09% ‐ ‐ 9.90% 5.02% 14.26%

2005/08/31 ‐4.10% 2.93% 7.45% ‐14.00% 10.11% ‐2.63% ‐0.71% ‐ 3.05% ‐ ‐ ‐2.95% ‐0.15% 3.40%

2005/09/30 11.51% 29.34% 2.82% 51.16% 10.72% 17.08% 16.26% ‐ 7.30% ‐ ‐ 14.67% 13.56% 6.12%

2005/10/31 ‐5.14% ‐5.27% ‐1.00% ‐0.42% 1.67% 1.15% ‐0.93% ‐ 4.25% ‐ ‐ ‐4.07% ‐5.11% ‐7.27%

2005/11/30 0.06% 9.91% 0.20% 12.15% 15.09% 7.47% 6.73% ‐ 18.11% ‐ ‐ ‐3.18% 8.00% 2.34%

2005/12/30 16.77% 12.64% 10.89% 6.32% 10.17% 8.34% 7.97% ‐ ‐1.94% ‐ ‐ 2.99% 15.09% 14.29%

2006/01/31 4.88% 27.01% 7.46% 30.45% 12.66% 9.60% 10.08% ‐ 29.79% ‐ ‐ 14.60% 1.53% 7.00%

2006/02/28 ‐3.36% ‐4.65% 8.80% ‐23.75% 0.00% 2.31% 2.64% ‐ 8.54% ‐ ‐ 2.55% ‐4.91% 11.68%

2006/03/31 8.63% ‐0.45% 8.53% 18.41% 18.06% 1.13% 0.96% ‐ 15.98% ‐ ‐ ‐1.67% 2.50% 8.95%

2006/04/28 ‐1.00% 12.55% ‐2.21% ‐1.00% ‐2.15% 9.43% 9.56% ‐ 5.10% ‐ ‐ 0.68% ‐1.36% ‐2.26%

Copyright UCT

79

Table16:JSEALSITop40totalreturns(Aug2000–Apr2006,NPN–WHL)

   

JSE CODE NPN OML REM RMH SAB SBK SHF SHP SLM SOL TBS TRU VOD WHL2000/08/31 5.86% 12.58% ‐ 11.39% 5.04% 9.46% 2.44% 10.53% 0.60% 29.25% ‐13.13% 0.89% ‐ 30.16%

2000/09/29 ‐7.67% ‐0.86% ‐ ‐7.76% ‐4.31% ‐5.24% 1.74% 2.70% ‐1.19% 2.40% 1.62% ‐6.89% ‐ ‐16.72%

2000/10/31 ‐4.75% ‐1.01% 8.44% ‐0.92% ‐7.36% ‐4.50% ‐7.96% ‐4.83% ‐5.43% 1.58% ‐7.08% ‐24.99% ‐ ‐11.95%

2000/11/30 ‐43.06% ‐2.36% ‐4.64% 0.51% 1.77% 0.57% 3.39% ‐4.23% 2.93% ‐5.53% 4.76% ‐2.57% ‐ 3.06%

2000/12/29 ‐3.90% 12.39% 18.85% 19.29% 16.51% 14.45% 8.20% 16.18% 18.32% ‐10.51% 21.02% ‐2.63% ‐ ‐4.61%

2001/01/31 28.46% 5.37% ‐2.89% 2.98% 3.95% 2.62% 10.76% ‐1.90% 1.99% 16.24% ‐3.23% 27.29% ‐ 28.96%

2001/02/28 ‐19.25% ‐5.87% 4.37% ‐9.92% 5.42% ‐3.51% ‐13.13% ‐10.58% ‐4.21% 7.21% ‐3.02% ‐7.64% ‐ ‐13.91%

2001/03/30 ‐15.83% ‐8.67% ‐10.48% ‐2.20% ‐9.95% ‐2.32% ‐3.94% ‐3.45% ‐2.57% 10.29% ‐13.93% 6.96% ‐ ‐0.19%

2001/04/30 ‐1.29% 3.48% 10.00% 10.90% 4.19% 11.39% 11.31% ‐9.85% 9.42% 9.26% 8.32% 2.61% ‐ 9.53%

2001/05/31 13.20% 4.09% 6.38% 4.27% 8.41% 4.82% ‐5.01% ‐2.52% 2.18% 9.72% 5.84% 5.33% ‐ ‐1.45%

2001/06/29 5.17% 2.25% 5.09% 3.69% 2.87% 4.15% 0.78% ‐1.55% 11.56% ‐6.84% 9.12% 2.81% ‐ 5.87%

2001/07/31 ‐11.88% ‐2.75% 1.21% 0.00% 4.06% ‐3.13% 6.93% ‐3.68% ‐2.73% ‐9.65% 3.04% 15.92% ‐ 4.16%

2001/08/31 ‐3.40% ‐3.95% 3.87% ‐1.98% 0.65% 0.44% 4.31% 11.82% 0.00% 17.59% ‐4.65% ‐11.01% ‐ 4.28%

2001/09/28 ‐44.73% ‐12.06% ‐0.33% ‐13.31% ‐11.22% ‐8.76% ‐1.38% 2.62% ‐12.25% ‐3.48% ‐5.37% ‐0.57% ‐ ‐2.81%

2001/10/31 23.12% 2.20% 7.73% 4.94% 6.14% 0.32% 10.99% 8.06% ‐6.28% 11.82% 5.67% 4.46% ‐ ‐0.53%

2001/11/30 22.11% 2.65% ‐2.02% ‐4.98% 14.97% ‐5.81% ‐0.13% 2.24% 2.73% 3.28% 6.34% 4.10% ‐ 9.45%

2001/12/31 ‐10.85% ‐2.58% 3.50% 6.19% 17.97% 6.85% 14.10% ‐8.03% 1.65% 24.00% ‐6.04% ‐16.07% ‐ ‐4.94%

2002/01/31 ‐16.25% 2.65% ‐3.06% ‐15.69% ‐4.18% ‐12.66% ‐7.87% 3.97% ‐6.52% ‐0.38% ‐4.00% ‐5.33% ‐ ‐2.58%

2002/02/28 ‐19.99% ‐2.91% 2.73% 7.98% 1.45% 0.18% ‐2.44% 4.58% ‐6.29% 6.29% 1.39% 5.63% ‐ 5.32%

2002/03/29 ‐6.81% 7.67% ‐1.57% ‐3.10% 2.34% 7.33% ‐3.13% ‐3.49% ‐8.08% 12.90% 7.88% ‐1.02% ‐ ‐0.68%

2002/04/30 40.23% 8.57% 9.37% 17.53% 8.78% 20.51% ‐0.64% 14.62% 25.13% ‐8.95% 9.52% 1.10% ‐ 7.79%

2002/05/31 22.90% ‐7.45% 1.31% 3.51% ‐3.27% ‐1.48% 3.24% 8.72% ‐1.35% ‐3.81% 5.22% 19.31% ‐ 8.44%

2002/06/28 ‐11.33% ‐9.38% ‐0.58% ‐8.31% ‐1.45% ‐5.85% 3.78% ‐4.32% ‐2.17% 1.20% ‐3.58% 8.90% ‐ ‐2.44%

2002/07/31 ‐6.38% ‐10.42% ‐2.01% ‐11.92% ‐12.10% ‐11.72% ‐10.91% ‐5.81% ‐9.78% ‐7.27% ‐1.71% ‐1.00% ‐ ‐6.61%

2002/08/30 0.86% 6.48% 4.72% ‐1.36% 3.57% 1.06% 1.50% ‐8.36% 6.06% 13.73% 1.16% ‐1.34% ‐ 2.44%

2002/09/30 8.45% ‐15.33% ‐5.47% 0.85% ‐3.17% 1.70% ‐8.72% ‐0.68% ‐8.76% 2.41% 5.38% 1.25% ‐ 13.72%

2002/10/31 6.88% 10.82% ‐3.06% 7.02% ‐4.42% 2.61% 7.20% 3.08% 0.67% ‐5.95% ‐4.83% ‐3.27% ‐ ‐3.23%

2002/11/29 19.16% 8.94% 3.44% 12.18% ‐4.02% 9.00% ‐1.40% 16.42% 12.58% ‐1.13% 7.97% 14.09% ‐ 15.57%

2002/12/31 ‐2.48% ‐11.79% ‐6.50% ‐7.33% ‐4.66% ‐6.07% ‐0.71% ‐8.98% ‐10.59% ‐2.79% ‐4.16% 3.89% ‐ ‐0.96%

2003/01/31 1.69% ‐3.90% ‐2.90% ‐0.88% ‐8.72% ‐0.66% ‐10.72% 0.00% ‐3.29% ‐13.62% ‐6.88% ‐4.51% ‐ ‐7.58%

2003/02/28 ‐4.58% ‐10.28% ‐1.35% ‐3.74% ‐9.50% ‐4.01% ‐13.60% ‐8.45% ‐3.39% 4.69% ‐1.94% ‐2.36% ‐ 8.20%

2003/03/31 ‐15.49% ‐7.70% ‐12.05% ‐3.05% ‐2.35% ‐5.56% ‐7.41% ‐11.07% ‐14.37% ‐8.37% ‐9.32% ‐0.23% ‐ 1.14%

2003/04/30 12.35% 15.38% 2.04% 6.99% 1.94% 10.95% 6.00% ‐0.88% 4.91% ‐7.08% 11.24% 4.13% ‐ 1.96%

2003/05/30 14.99% 6.36% 16.48% 6.03% 7.78% 10.24% 25.47% ‐4.64% 8.62% 19.28% 4.31% 6.34% ‐ 5.77%

2003/06/30 4.00% ‐2.73% 4.66% 0.95% ‐5.64% 1.89% ‐0.75% 19.85% 6.88% ‐11.21% 0.89% 8.96% ‐ 4.36%

2003/07/31 1.73% 2.17% 2.35% 7.04% 4.04% 3.38% 5.90% 3.12% 6.99% ‐3.08% 8.42% 9.59% ‐ 12.37%

2003/08/29 3.96% ‐2.12% ‐4.52% ‐5.70% 6.71% ‐2.98% 7.30% 5.30% ‐3.20% 4.96% ‐0.13% 0.63% ‐ 1.54%

2003/09/30 3.79% ‐4.07% ‐4.75% ‐1.86% 0.26% ‐1.47% ‐5.99% 13.30% 5.25% ‐2.12% ‐4.73% ‐2.38% ‐ ‐6.41%

2003/10/31 15.04% 13.13% 8.61% 17.31% 6.20% 4.41% ‐0.71% ‐2.47% 11.40% 11.19% 7.01% 10.46% ‐ 7.55%

2003/11/28 17.82% ‐8.04% 6.16% 5.08% 10.87% 10.33% ‐0.43% 18.51% ‐0.59% ‐10.01% 7.44% 4.27% ‐ 17.02%

2003/12/31 8.43% 2.58% 5.39% 3.65% 5.85% 6.29% 12.67% 5.06% 4.14% 17.30% 0.32% 6.69% ‐ ‐3.20%

2004/01/30 9.46% 9.97% 4.89% 4.13% 1.31% 3.37% 16.34% ‐3.74% 0.00% 10.37% 6.48% ‐4.36% ‐ 0.69%

2004/02/27 ‐8.69% ‐3.92% 0.34% 5.80% 1.16% ‐0.49% ‐0.45% 3.89% 3.98% ‐4.82% 0.92% 5.67% ‐ ‐6.30%

2004/03/31 6.02% ‐0.60% ‐1.70% 5.35% 4.45% 4.22% ‐9.71% 8.82% 0.55% ‐1.80% 3.99% 11.09% ‐ 8.68%

2004/04/30 6.82% 5.15% 2.98% ‐0.07% 3.43% ‐1.99% 8.13% ‐3.00% ‐0.71% 8.90% 0.00% ‐3.11% ‐ ‐1.92%

2004/05/31 ‐0.42% ‐3.52% ‐0.34% 6.71% 5.18% 4.66% ‐1.97% ‐4.64% 1.83% ‐3.50% 4.65% ‐4.50% ‐ 0.70%

2004/06/30 ‐2.03% 1.22% 0.14% 1.57% 0.88% 2.38% ‐1.53% 1.62% ‐1.34% ‐4.62% ‐2.22% 5.86% ‐ ‐1.39%

2004/07/30 ‐1.85% 2.06% 4.06% ‐0.37% 1.91% ‐0.23% ‐3.59% 0.21% ‐0.57% 7.96% 1.11% 1.38% ‐ 7.74%

2004/08/31 8.80% 6.98% 10.65% 0.37% 4.13% 3.47% 1.74% 0.85% 2.51% 9.87% 8.64% 3.42% ‐ 3.66%

2004/09/30 5.40% 4.40% 1.36% 16.35% 2.54% 14.48% 19.05% 10.59% 22.18% 5.71% 2.52% 23.64% ‐ 15.76%

2004/10/29 9.75% ‐1.18% 0.61% 2.92% 3.44% 5.68% 9.43% 12.72% ‐1.64% 2.75% 10.04% 9.29% ‐ 7.87%

2004/11/30 19.04% 13.78% 6.54% 11.70% 9.70% 15.24% 13.83% 15.85% 12.24% ‐4.90% 15.33% 19.73% ‐ 6.25%

2004/12/31 12.11% ‐2.72% 7.23% 3.62% ‐0.57% 6.13% 5.88% ‐4.09% 7.44% 4.72% ‐3.09% 2.09% ‐ 11.67%

2005/01/31 0.56% ‐0.35% 0.82% ‐1.19% ‐3.97% ‐1.50% 5.16% 3.49% ‐3.00% ‐0.41% 1.90% ‐0.59% ‐ ‐3.07%

2005/02/28 4.02% 10.74% ‐3.62% 1.16% 3.64% ‐0.83% 2.87% 5.99% 5.87% 21.16% 6.04% 2.35% ‐ ‐5.52%

2005/03/31 ‐8.54% ‐0.25% 3.53% 0.47% 3.16% ‐2.16% ‐2.42% ‐0.63% ‐9.06% ‐0.52% ‐2.85% ‐4.53% ‐ ‐2.36%

2005/04/29 2.77% ‐4.10% ‐2.45% ‐3.64% ‐8.27% ‐0.63% ‐3.01% 1.01% ‐1.32% ‐0.05% ‐3.44% ‐1.53% ‐ ‐3.01%

2005/05/31 14.10% ‐1.70% 13.72% 4.36% 14.99% 1.99% 4.65% 0.79% ‐2.52% 17.55% 13.14% 4.36% ‐ 7.87%

2005/06/30 ‐0.60% 1.17% 1.10% 3.25% 0.70% 4.38% 14.08% 3.90% 4.82% 7.56% 5.51% 3.88% ‐ 0.86%

2005/07/29 15.72% 2.40% 10.93% 12.58% 12.20% 9.36% 7.79% 8.53% 5.20% 8.55% 6.99% 8.05% ‐ 10.86%

2005/08/31 8.28% 8.90% ‐2.61% ‐3.99% ‐2.14% ‐1.70% ‐0.60% 0.94% 7.45% 9.55% 7.58% 1.06% ‐ ‐0.77%

2005/09/30 0.66% ‐3.87% 3.73% 8.94% 11.07% 2.47% 19.40% 9.24% ‐3.54% 14.56% 7.83% 8.89% ‐ 16.69%

2005/10/31 ‐6.87% 1.32% 1.77% ‐1.76% 0.80% ‐1.14% ‐10.86% ‐8.99% ‐3.61% ‐12.72% ‐4.84% ‐6.40% ‐ ‐4.20%

2005/11/30 7.40% 7.87% 0.99% ‐0.83% ‐7.58% ‐1.01% ‐1.48% 7.64% 6.96% 1.42% 3.17% 5.26% ‐ 2.39%

2005/12/30 7.68% 6.40% 7.95% 16.25% 1.86% 10.67% 10.17% 9.05% 14.99% 5.35% 5.24% 20.00% ‐ 10.51%

2006/01/31 16.06% 16.04% 2.72% 2.15% 4.97% 8.15% 12.32% 5.10% 5.99% 9.93% 12.55% 6.46% ‐ 11.27%

2006/02/28 ‐5.73% ‐6.39% 4.48% ‐1.75% ‐1.94% ‐3.63% ‐3.85% 3.36% ‐0.31% ‐15.26% ‐4.32% 2.15% ‐ ‐0.44%

2006/03/31 2.40% 10.11% 4.21% 5.86% ‐0.17% 7.33% 9.63% 13.77% 2.80% 10.43% 13.66% 10.85% ‐ 5.79%

2006/04/28 5.18% 1.54% ‐1.78% ‐0.51% 5.71% 2.93% 7.34% 12.44% ‐2.00% 9.86% ‐3.68% 1.93% ‐ 2.81%

Copyright UCT

80

Table17:JSEALSITop40totalreturns(May2006–Oct2011,ABL–EXX)

   

JSE CODE ABL ACL AGL AMS ANG APN ARI ASA ASR BIL BVT CFR CSO EXX2006/05/31 ‐14.88% ‐10.00% 3.26% 2.75% ‐5.22% ‐12.00% ‐2.00% ‐6.49% 3.59% 4.89% ‐8.99% ‐0.95% 3.56% 1.74%

2006/06/30 0.81% 18.65% 9.64% 26.47% 14.88% ‐2.41% ‐1.53% ‐9.64% 4.36% 5.84% ‐1.26% 4.17% 9.08% 10.63%

2006/07/31 ‐11.58% ‐6.35% ‐1.10% ‐5.96% ‐6.55% ‐3.40% 6.11% 2.21% 0.00% ‐5.49% 1.22% ‐4.00% 3.62% 0.00%

2006/08/31 2.75% 11.09% 9.44% 15.87% ‐0.85% ‐5.47% 17.29% 2.83% 15.00% 5.24% 9.15% 9.94% 7.24% 13.65%

2006/09/29 ‐13.09% 2.88% 3.78% ‐2.60% ‐10.92% 4.41% 14.15% ‐3.59% 9.88% ‐2.24% 5.80% 11.42% 13.92% ‐8.11%

2006/10/31 24.39% 12.10% 3.88% 0.38% 7.35% ‐3.71% 7.94% 14.56% 9.93% 6.99% 7.96% ‐0.27% 6.27% 7.35%

2006/11/30 2.84% 3.75% ‐0.75% 4.80% 9.88% 2.69% 2.78% ‐1.13% 0.00% ‐3.85% 4.59% 4.40% ‐2.73% 49.83%

2006/12/29 5.75% 7.61% 2.86% 3.40% ‐3.93% ‐3.88% 32.81% 11.00% ‐6.06% ‐6.22% 4.86% 5.74% 3.44% 1.36%

2007/01/31 1.40% 10.03% ‐1.61% 6.07% 3.64% 6.47% ‐9.82% 5.88% 16.77% 5.00% 0.90% ‐1.66% ‐4.85% 26.79%

2007/02/28 ‐4.83% 1.62% 2.23% 13.44% ‐7.89% 1.94% 6.50% 3.48% 13.81% 8.26% 4.44% ‐0.82% ‐4.56% ‐13.75%

2007/03/30 9.78% 9.44% 13.01% 13.23% 3.98% 5.05% 6.19% 3.78% 0.73% 11.87% ‐0.74% 1.03% 2.55% 6.96%

2007/04/30 12.38% 8.48% ‐1.57% 0.04% ‐2.98% 4.49% 15.53% 4.51% 15.00% ‐2.12% 7.11% 7.00% ‐3.53% ‐7.46%

2007/05/31 ‐7.49% ‐1.09% 12.99% 4.26% ‐7.38% 0.88% 2.73% ‐7.34% 16.08% 9.06% ‐2.90% 1.34% 1.36% 14.67%

2007/06/29 ‐2.22% 0.63% ‐3.86% ‐2.49% ‐8.54% ‐5.13% 1.01% ‐2.66% ‐1.82% 12.44% 0.34% ‐3.59% ‐4.90% ‐4.32%

2007/07/31 10.70% ‐2.28% ‐1.85% ‐15.12% 12.77% ‐9.46% 4.45% 4.18% 12.59% 7.70% 1.17% 5.79% ‐7.38% 7.52%

2007/08/31 ‐4.86% 9.74% ‐0.03% ‐0.15% ‐7.00% 5.73% ‐8.91% ‐3.25% 26.64% 0.23% ‐4.52% ‐0.07% 16.58% 1.75%

2007/09/28 ‐0.57% 10.97% 11.32% 9.29% 16.83% ‐3.46% 13.22% ‐3.99% ‐0.76% 16.85% ‐0.82% 4.13% ‐7.75% 20.54%

2007/10/31 15.30% 9.68% ‐2.19% 6.94% ‐6.81% 13.25% 14.07% 4.00% 13.16% 1.60% 0.68% 2.31% 0.97% 20.82%

2007/11/30 ‐3.24% ‐5.31% 1.68% ‐12.91% 11.19% ‐5.14% ‐0.17% ‐1.92% ‐7.44% ‐9.50% ‐12.03% 1.15% ‐1.07% ‐1.07%

2007/12/31 ‐1.91% ‐1.27% ‐8.79% 4.02% ‐13.31% 5.56% 1.50% ‐12.94% 10.55% ‐7.32% 0.42% ‐1.05% ‐7.27% ‐0.52%

2008/01/31 ‐16.67% 6.23% ‐4.10% 5.44% 6.45% ‐16.58% ‐0.99% ‐9.19% 2.27% 4.77% ‐15.35% ‐9.31% 4.20% 8.26%

2008/02/29 13.09% 28.97% 25.27% 16.43% ‐8.93% ‐2.84% 35.38% 11.11% 42.22% 18.18% 13.74% 8.11% ‐4.25% ‐8.93%

2008/03/31 ‐14.31% 6.43% ‐2.38% ‐2.24% ‐4.05% 3.57% 10.43% ‐6.49% ‐3.20% ‐6.20% ‐3.46% ‐0.33% 4.96% 9.09%

2008/04/30 ‐0.38% 16.19% 3.01% 1.89% ‐6.99% ‐2.66% 14.21% ‐6.41% 29.66% 12.97% 1.81% 1.77% ‐5.05% 13.28%

2008/05/30 ‐7.72% 9.22% 4.18% 9.28% 13.24% 5.70% 16.53% ‐10.00% 3.75% 8.15% ‐5.95% 4.24% ‐7.19% 26.00%

2008/06/30 0.51% ‐10.80% 6.27% ‐1.36% 0.24% ‐3.11% ‐6.50% ‐4.08% ‐3.62% 1.53% ‐8.27% ‐10.35% ‐0.67% ‐8.29%

2008/07/31 17.58% ‐12.11% ‐22.99% ‐26.17% ‐10.27% 32.04% ‐11.43% 24.68% ‐12.50% ‐17.49% 3.17% 2.98% 3.20% ‐24.53%

2008/08/29 0.00% ‐5.38% ‐2.54% 4.95% ‐13.36% 11.34% 4.84% 9.24% 7.14% ‐2.19% 12.32% 1.42% 1.70% 5.49%

2008/09/30 ‐9.19% ‐9.89% ‐31.85% ‐23.61% ‐7.91% ‐9.09% ‐38.41% ‐0.82% ‐18.10% ‐20.34% ‐5.93% ‐15.83% ‐0.40% ‐24.49%

2008/10/31 5.56% ‐44.21% ‐13.90% ‐46.24% ‐1.83% ‐18.60% ‐36.86% ‐6.48% ‐17.36% ‐10.69% ‐0.38% 21.38% ‐20.44% ‐24.48%

2008/11/28 2.44% ‐6.01% ‐3.53% 16.00% 16.19% 10.15% 1.82% 2.48% ‐20.00% 7.38% ‐8.46% ‐16.67% ‐24.08% 10.87%

2008/12/31 ‐1.85% 2.85% ‐8.63% 11.55% 15.07% ‐10.28% 10.12% 4.49% 21.25% ‐1.46% 10.24% 3.22% ‐16.92% 0.70%

2009/01/30 2.33% ‐8.48% ‐11.86% ‐17.89% 13.59% 26.04% 8.11% ‐14.01% ‐18.56% ‐1.90% ‐4.73% ‐16.43% ‐21.45% ‐4.81%

2009/02/27 ‐19.96% ‐8.65% ‐24.03% ‐9.21% 3.93% ‐2.01% ‐5.83% ‐4.30% ‐13.92% ‐7.95% ‐16.99% ‐10.67% ‐11.12% ‐1.37%

2009/03/31 19.72% 4.24% 13.05% 23.36% 16.15% 9.88% 22.56% 12.39% 33.01% 19.99% 8.18% 9.85% 10.00% 5.61%

2009/04/30 7.42% 9.44% 18.03% ‐3.78% ‐24.12% ‐5.26% ‐16.60% 2.34% 2.05% ‐4.19% 2.33% 4.55% 1.33% ‐9.47%

2009/05/29 ‐3.95% 18.66% 21.58% 21.14% 32.16% 11.11% 8.96% 3.15% 6.90% 7.01% 3.56% 13.84% ‐6.53% 27.79%

2009/06/30 10.18% 0.05% ‐2.70% ‐1.68% ‐18.20% 14.06% 3.22% 8.32% 0.03% ‐9.05% 3.80% ‐7.76% 7.22% ‐5.43%

2009/07/31 7.92% 4.71% 11.96% 1.65% 4.59% 8.68% 1.21% 6.82% 10.38% 17.03% 11.11% 17.76% 13.62% 8.25%

2009/08/31 ‐3.74% 16.80% 0.13% 24.44% 0.90% ‐1.68% 22.46% 9.81% 10.19% ‐1.57% 5.13% 11.61% 15.65% 12.68%

2009/09/30 2.25% 2.74% ‐4.53% ‐3.33% 1.16% 5.73% ‐5.83% ‐5.33% 9.62% 2.90% 4.91% ‐0.03% ‐12.43% ‐1.56%

2009/10/30 4.41% ‐11.25% 22.34% 2.55% ‐3.85% 7.03% 1.93% 3.76% 2.86% 5.76% 3.75% 4.55% 1.32% ‐1.67%

2009/11/30 ‐6.23% ‐3.57% 9.25% 11.40% 11.77% 2.72% 3.92% 2.40% 8.02% 5.86% ‐0.99% 8.39% ‐2.29% 2.83%

2009/12/31 6.74% 0.29% 0.15% 4.00% ‐5.47% 8.24% 9.36% 0.78% 0.43% 3.69% 7.62% 4.10% 2.48% 14.84%

2010/01/29 ‐0.37% 2.33% ‐11.11% ‐8.39% ‐8.93% ‐8.42% ‐3.32% 4.47% ‐1.14% ‐3.80% 1.68% 4.26% ‐6.23% 1.44%

2010/02/26 4.31% 10.69% ‐2.64% ‐1.58% ‐0.70% 5.34% 9.52% ‐1.08% 3.60% 1.34% 0.63% ‐1.50% ‐0.36% 8.49%

2010/03/31 14.95% ‐20.67% 15.35% 6.55% 0.60% 12.04% 4.18% 8.86% 7.63% 10.60% 4.73% 11.15% 1.81% 9.48%

2010/04/30 ‐0.14% ‐8.06% ‐0.47% 9.40% 12.07% 4.97% 4.20% ‐1.62% 1.82% ‐8.97% 1.28% ‐4.05% ‐1.25% ‐1.16%

2010/05/31 ‐11.53% ‐6.82% ‐8.33% ‐5.01% 5.30% ‐5.15% ‐12.43% ‐8.56% ‐13.27% ‐9.33% ‐4.11% ‐6.94% ‐13.17% ‐10.04%

2010/06/30 ‐1.08% ‐4.30% ‐7.56% ‐5.20% 1.21% ‐3.91% ‐7.73% ‐5.09% 1.47% ‐3.43% ‐7.89% 5.88% ‐2.69% ‐0.67%

2010/07/30 10.67% 12.08% 9.09% ‐3.57% ‐11.19% 7.10% 5.98% 11.94% 11.23% 12.19% 8.70% 6.52% 11.30% 9.65%

2010/08/31 ‐3.28% ‐1.36% ‐9.09% ‐13.16% 7.55% 3.19% ‐9.80% ‐7.74% ‐9.05% ‐8.47% 2.80% ‐0.49% ‐5.39% ‐5.42%

2010/09/30 10.65% ‐0.07% 6.89% 8.27% 2.20% 11.77% 10.17% 8.72% 13.57% 10.84% 9.79% 20.45% 10.17% 6.95%

2010/10/29 0.25% ‐2.30% 14.31% 4.84% 0.97% 0.22% 6.37% 1.48% 7.73% 9.57% 1.54% 2.38% 5.46% 9.63%

2010/11/30 ‐2.25% ‐6.71% ‐4.26% ‐4.55% 0.58% ‐0.53% 4.45% ‐5.14% 0.00% 1.63% 0.93% 11.17% 1.45% ‐4.55%

2010/12/31 13.27% 5.56% 10.65% 4.93% ‐0.45% ‐1.06% 12.55% 8.53% 12.51% 5.89% 3.93% 0.83% ‐2.16% 8.13%

2011/01/31 ‐5.81% 3.51% 1.34% 1.28% ‐6.28% ‐7.40% 0.19% ‐5.00% 5.54% 3.03% ‐2.07% 0.00% ‐0.71% 5.33%

2011/02/28 ‐1.92% 9.96% 8.46% ‐3.70% 10.81% ‐4.34% 0.33% ‐2.44% 2.76% 1.28% 1.64% 2.10% 5.00% 6.24%

2011/03/31 5.75% ‐0.19% ‐5.96% 3.97% ‐4.18% ‐3.07% 5.59% 7.08% 6.62% ‐1.42% ‐3.25% ‐0.58% ‐5.50% 8.53%

2011/04/29 1.16% ‐0.22% ‐1.78% ‐4.30% 2.55% 2.53% ‐4.22% ‐0.37% ‐1.15% 1.67% 1.90% 6.97% 8.52% 9.12%

2011/05/31 ‐7.05% ‐8.91% ‐1.16% ‐2.40% ‐5.64% 7.72% ‐4.31% 0.96% 1.17% ‐1.63% 2.10% 5.19% 2.25% ‐8.96%

2011/06/30 ‐0.88% ‐3.44% ‐1.95% ‐3.53% ‐9.08% ‐3.72% ‐7.78% ‐1.78% 1.41% ‐1.78% ‐2.69% ‐1.14% ‐4.42% 10.51%

2011/07/29 ‐2.09% ‐12.89% ‐4.43% ‐8.76% ‐1.58% ‐0.82% 0.27% ‐2.46% 2.03% ‐5.54% 4.25% ‐1.38% ‐5.54% 0.86%

2011/08/31 5.52% ‐9.06% ‐8.15% 3.13% 13.49% 1.43% 0.50% 8.44% ‐1.79% ‐4.11% 0.01% ‐6.76% ‐7.41% 4.52%

2011/09/30 ‐7.20% ‐4.21% ‐5.78% ‐5.38% 6.57% 7.99% ‐6.45% ‐3.69% ‐9.37% ‐9.24% ‐3.00% ‐10.14% 5.36% ‐7.91%

2011/10/31 4.36% 13.57% 8.08% 3.69% 5.78% 5.60% 5.72% 6.30% 9.90% 17.82% 5.61% 26.77% 5.95% 5.28%

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81

Table18:JSEALSITop40totalreturns(May2006–Oct2011,FSR–NED)

   

JSE CODE FSR GFI GRT HAR IMP INL INP KIO LON MND MNP MSM MTN NED2006/05/31 ‐10.56% ‐2.49% ‐8.68% ‐4.85% ‐0.44% 0.43% 1.15% ‐ 8.37% ‐ ‐ ‐12.75% ‐7.17% ‐8.40%

2006/06/30 ‐4.57% 9.83% ‐11.49% 21.13% 16.28% ‐7.03% ‐4.03% ‐ 14.04% ‐ ‐ ‐8.38% ‐5.03% ‐1.74%

2006/07/31 2.19% ‐11.66% ‐1.87% ‐13.67% ‐3.02% 8.41% 9.08% ‐ 2.37% ‐ ‐ 1.06% 0.38% ‐2.65%

2006/08/31 3.36% ‐1.41% 12.76% ‐0.51% 4.30% 3.53% 1.74% ‐ ‐1.92% ‐ ‐ 16.02% 7.72% 0.40%

2006/09/29 ‐0.84% ‐1.79% ‐4.39% 2.64% ‐2.00% 3.41% 4.52% ‐ 1.19% ‐ ‐ 4.92% 10.14% 5.48%

2006/10/31 10.84% ‐11.27% 13.58% 11.03% 0.78% 1.65% ‐1.86% ‐ 7.75% ‐ ‐ 4.20% 6.35% 6.74%

2006/11/30 2.59% 8.89% 2.59% 8.57% 11.81% 11.47% 14.58% ‐ 8.29% ‐ ‐ 10.40% 9.25% 2.95%

2006/12/29 12.29% ‐0.08% ‐0.40% ‐8.30% 1.66% 8.21% 6.19% ‐2.84% ‐5.68% ‐ ‐ 7.22% 16.53% 6.37%

2007/01/31 3.60% ‐8.69% 10.93% ‐11.90% 12.80% ‐1.97% ‐0.85% 6.60% 3.52% ‐ ‐ 8.11% 1.64% 3.37%

2007/02/28 4.13% 3.83% 7.30% ‐1.21% ‐0.75% ‐0.59% ‐1.19% 7.50% 5.07% ‐ ‐ 10.55% 1.50% ‐2.35%

2007/03/30 4.58% 7.63% 2.04% 4.61% 12.13% 9.12% 7.04% 17.58% 6.18% ‐ ‐ 3.10% 11.93% 6.75%

2007/04/30 2.44% ‐4.83% 7.07% 11.58% 0.87% 7.23% 7.80% 3.43% ‐0.60% ‐ ‐ 16.35% 6.25% 7.34%

2007/05/31 ‐9.17% ‐5.85% ‐2.83% ‐8.05% ‐5.21% ‐7.10% ‐5.14% 25.24% 18.91% ‐ ‐ ‐5.34% ‐5.73% ‐2.21%

2007/06/29 ‐1.27% ‐9.23% ‐3.88% ‐3.48% ‐0.92% ‐1.78% ‐4.42% ‐4.15% 1.99% ‐ ‐ ‐7.10% ‐1.43% ‐10.81%

2007/07/31 2.57% 7.30% 6.06% ‐2.02% ‐2.78% ‐0.47% ‐1.24% 3.24% ‐11.67% ‐ ‐ ‐2.66% 5.13% 1.82%

2007/08/31 0.73% ‐5.87% ‐1.84% ‐34.76% 1.00% ‐9.70% ‐11.22% 8.90% ‐10.17% 14.36% 13.42% 9.52% 7.35% 0.26%

2007/09/28 ‐5.35% 13.38% 7.98% 27.29% 16.96% ‐8.09% ‐8.25% 10.47% 12.78% ‐0.87% ‐6.28% ‐9.37% ‐3.95% ‐4.97%

2007/10/31 18.40% ‐5.86% 1.30% ‐9.86% 1.67% 9.27% 8.21% 12.39% ‐7.91% ‐3.66% ‐6.92% ‐1.23% 20.81% 13.99%

2007/11/30 ‐10.73% ‐1.53% ‐2.17% ‐0.75% ‐2.93% ‐10.33% ‐8.22% 6.30% ‐3.57% ‐9.71% ‐8.58% ‐10.00% 8.99% ‐5.19%

2007/12/31 ‐8.14% ‐13.98% ‐2.74% ‐3.48% 0.16% ‐7.95% ‐10.65% 5.56% ‐8.17% 8.40% 6.76% ‐1.37% ‐6.93% 0.67%

2008/01/31 ‐15.95% 13.32% ‐10.26% 5.74% 17.18% ‐3.46% ‐2.02% ‐0.35% 2.63% 0.78% ‐3.88% ‐5.56% ‐8.25% ‐19.85%

2008/02/29 12.65% ‐2.40% 4.07% 29.13% 18.01% ‐4.75% ‐6.33% 18.66% 22.43% 0.47% 7.97% 5.88% 5.53% 7.34%

2008/03/31 ‐11.98% 5.02% ‐2.54% 1.09% ‐3.68% ‐4.28% ‐6.39% ‐7.14% ‐3.59% 4.90% 10.26% ‐4.17% ‐0.81% ‐0.17%

2008/04/30 ‐2.13% ‐13.04% ‐6.37% ‐11.26% ‐1.60% ‐3.62% 0.31% 6.62% ‐4.84% ‐6.03% ‐7.67% 5.91% 18.68% 0.79%

2008/05/30 ‐6.13% ‐1.65% ‐5.39% 4.87% 5.52% ‐4.14% ‐2.20% 3.03% 10.57% ‐6.71% ‐10.02% ‐1.07% 5.32% ‐12.99%

2008/06/30 ‐9.52% 1.79% ‐8.34% 4.97% ‐4.93% ‐11.04% ‐10.46% ‐7.35% ‐4.89% ‐18.25% ‐15.75% ‐11.84% ‐18.19% ‐7.71%

2008/07/31 25.71% ‐11.09% 18.92% ‐15.53% ‐20.45% 10.52% 9.02% ‐18.73% ‐28.36% ‐6.84% ‐17.94% 21.56% 1.85% 13.24%

2008/08/29 ‐1.79% ‐18.29% 9.47% ‐15.89% ‐11.34% 14.77% 13.09% 1.88% 38.40% 14.16% 23.58% 10.93% ‐6.44% 0.08%

2008/09/30 1.77% 13.38% ‐1.31% 22.59% ‐18.97% ‐17.39% ‐18.05% ‐25.00% ‐35.38% ‐10.00% ‐12.60% ‐8.13% ‐3.07% 2.32%

2008/10/31 ‐13.85% ‐14.29% ‐5.11% ‐10.94% ‐39.22% 0.61% ‐3.49% ‐32.28% ‐40.67% ‐8.88% ‐10.00% 16.00% ‐5.22% ‐9.47%

2008/11/28 17.94% 21.30% 16.92% 16.69% 22.89% ‐10.02% ‐6.97% 23.44% ‐30.00% ‐25.62% ‐25.84% ‐7.92% ‐4.04% ‐0.21%

2008/12/31 ‐2.36% 9.80% 0.10% 13.61% 8.87% 0.82% 0.08% 2.54% 0.01% 10.83% 12.37% 5.55% 3.73% 2.14%

2009/01/30 ‐7.51% 17.94% ‐3.27% 23.28% ‐11.91% ‐10.45% ‐11.41% ‐8.03% ‐3.23% ‐5.33% ‐6.66% ‐4.21% ‐9.68% ‐4.71%

2009/02/27 ‐19.13% ‐3.33% ‐7.30% 1.91% ‐0.28% ‐19.68% ‐18.31% 8.05% 12.67% ‐30.63% ‐32.72% ‐10.62% ‐12.24% ‐17.31%

2009/03/31 2.94% 0.00% 0.90% ‐18.20% 34.72% 28.68% 34.58% 10.75% 34.75% 24.75% 16.76% ‐0.04% 24.23% 12.96%

2009/04/30 8.21% ‐15.45% 3.98% ‐21.31% 3.54% 4.22% 5.97% ‐0.39% ‐4.71% 5.45% 5.60% 5.60% 5.71% 6.09%

2009/05/29 4.60% 24.52% ‐4.32% 23.01% 17.79% 8.25% 8.19% 18.81% 7.88% 26.34% 27.70% 4.76% 3.92% 2.61%

2009/06/30 3.00% ‐14.99% ‐3.70% ‐17.69% ‐11.68% ‐3.28% ‐6.92% ‐6.70% ‐18.07% ‐5.85% ‐5.51% 3.90% 2.57% 9.84%

2009/07/31 7.89% ‐1.14% 4.85% ‐12.25% 10.29% 32.10% 29.26% 14.37% 18.94% 5.60% 26.74% ‐5.27% 8.19% 9.18%

2009/08/31 4.68% 3.33% 1.25% 3.98% ‐3.29% 5.48% 4.33% 25.48% 1.40% 9.68% 8.07% 2.27% ‐0.39% 7.68%

2009/09/30 3.97% 7.15% 2.20% 10.25% ‐2.71% ‐2.06% ‐1.61% ‐1.39% 10.20% 0.03% 2.03% 15.59% ‐4.20% 5.67%

2009/10/30 9.21% ‐0.99% 3.04% ‐1.88% ‐0.40% 1.87% 4.65% ‐4.84% ‐3.75% 13.33% 16.56% 2.76% ‐3.81% ‐0.92%

2009/11/30 ‐2.36% 7.56% ‐0.14% 4.46% ‐1.46% ‐3.75% ‐6.43% 6.78% 12.47% ‐7.25% ‐6.81% ‐6.99% 1.11% ‐4.56%

2009/12/31 5.58% ‐9.36% 0.72% ‐7.57% 18.19% ‐3.23% ‐2.75% 21.03% 7.16% 2.45% ‐2.43% 6.15% ‐0.76% 9.78%

2010/01/29 1.69% ‐9.11% ‐2.14% ‐5.00% ‐2.70% 2.22% 2.94% 6.55% ‐4.53% 5.95% 9.02% ‐2.52% ‐7.17% ‐1.65%

2010/02/26 ‐2.47% 0.32% 6.28% ‐4.10% ‐4.89% 0.04% ‐0.59% 12.93% ‐4.84% ‐1.13% 1.35% 5.23% 2.24% ‐1.64%

2010/03/31 12.95% 3.77% 5.58% ‐0.36% 14.63% 14.77% 13.91% ‐1.81% 7.33% 22.28% 16.51% 21.25% 0.09% 16.67%

2010/04/30 1.14% 7.03% 3.19% 4.80% ‐1.50% ‐0.14% ‐0.94% ‐0.31% ‐4.61% ‐2.05% ‐1.52% 1.37% ‐0.72% ‐2.80%

2010/05/31 ‐4.85% 9.18% ‐0.46% 6.92% ‐9.15% ‐10.19% ‐9.66% ‐5.61% ‐12.81% ‐9.62% ‐8.20% 7.45% ‐1.25% ‐0.58%

2010/06/30 ‐7.10% ‐3.66% 2.44% 5.59% ‐6.02% ‐3.91% ‐2.46% ‐3.92% ‐13.38% ‐3.85% ‐3.04% ‐0.17% ‐6.44% ‐9.84%

2010/07/30 12.13% ‐5.25% 6.96% ‐10.26% 9.72% 12.15% 11.33% 15.97% 11.35% 14.63% 16.39% 8.42% 15.79% 12.67%

2010/08/31 ‐4.54% 8.52% 1.50% 4.67% ‐11.89% ‐6.86% ‐5.87% ‐5.79% ‐4.68% 5.51% 2.99% ‐4.28% 3.04% 3.81%

2010/09/30 11.02% ‐0.38% 5.60% 2.65% 5.00% 7.29% 5.69% 8.25% 8.09% 5.55% 7.17% 21.94% 5.83% 6.65%

2010/10/29 ‐1.95% 3.81% 1.17% 2.82% 10.00% ‐3.06% ‐1.50% 9.66% 4.54% 2.11% 2.22% ‐3.61% 0.00% ‐11.17%

2010/11/30 ‐2.72% 5.51% 0.86% ‐1.56% 2.23% ‐2.86% ‐1.40% ‐0.18% ‐4.23% ‐11.80% ‐10.04% ‐1.73% ‐3.89% ‐4.98%

2010/12/31 12.79% 4.27% 4.74% 5.13% 15.09% 1.92% 1.51% 6.85% 8.96% 4.82% 2.91% 4.79% 11.00% 4.70%

2011/01/31 ‐0.10% ‐6.43% ‐6.11% ‐6.02% ‐12.48% ‐3.72% ‐1.16% 6.07% ‐5.84% 6.50% 7.63% ‐2.62% ‐8.50% ‐2.38%

2011/02/28 0.51% 10.59% ‐1.40% 4.14% 0.79% 0.43% ‐0.74% 4.61% 9.07% 8.21% 8.00% 0.81% ‐0.08% 0.43%

2011/03/31 4.50% ‐4.53% 5.83% 22.24% ‐4.04% ‐2.76% ‐2.60% 6.46% ‐10.05% 6.94% 4.67% ‐0.82% 14.08% 10.75%

2011/04/29 2.79% ‐0.99% 5.38% ‐0.14% 4.75% 0.57% 1.47% 0.42% ‐3.99% ‐2.38% 1.64% 2.70% 6.90% 5.27%

2011/05/31 ‐0.77% ‐3.65% ‐0.66% ‐4.44% ‐7.82% 7.95% 7.10% ‐3.37% ‐0.01% 5.60% 6.36% ‐1.00% ‐0.85% 2.18%

2011/06/30 ‐3.17% ‐12.22% 1.16% ‐5.07% ‐3.60% ‐2.67% ‐3.68% 4.34% ‐12.22% ‐1.05% ‐2.75% ‐1.94% ‐0.59% ‐1.96%

2011/07/29 ‐2.92% 4.45% 0.49% 0.89% ‐5.92% ‐1.48% ‐1.99% 5.42% ‐10.96% 4.84% ‐1.63% 3.43% 0.70% ‐4.10%

2011/08/31 4.93% 13.93% 4.08% 4.67% 4.88% ‐7.62% ‐6.57% ‐0.60% 6.63% ‐4.45% ‐3.99% 9.82% ‐0.46% 1.25%

2011/09/30 ‐3.07% 6.72% ‐3.82% 1.01% ‐6.26% ‐11.35% ‐11.59% ‐11.89% ‐12.40% ‐5.92% ‐6.11% ‐11.90% ‐6.32% ‐2.02%

2011/10/31 6.60% 9.88% 4.00% 9.61% 11.70% 10.27% 10.70% 10.57% 7.12% 5.63% 2.67% 14.49% 4.54% 3.12%

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82

Table19:JSEALSITop40totalreturns(May2006–Oct2011,NPN–WHL)

JSE CODE NPN OML REM RMH SAB SBK SHF SHP SLM SOL TBS TRU VOD WHL2006/05/31 ‐6.82% ‐2.29% 1.06% ‐8.28% ‐2.87% ‐9.06% ‐9.90% ‐1.58% ‐1.42% ‐0.67% ‐8.96% ‐16.72% ‐ ‐9.61%

2006/06/30 ‐0.92% 3.59% 0.75% ‐7.14% 3.20% ‐1.32% ‐0.56% 2.01% ‐5.29% 9.43% ‐5.90% ‐10.97% ‐ ‐10.05%

2006/07/31 ‐0.01% ‐3.46% 5.84% 3.04% 10.54% ‐0.78% ‐0.23% ‐4.33% 5.93% ‐9.11% 5.77% 4.65% ‐ ‐4.02%

2006/08/31 2.17% 7.65% 4.81% 6.72% 1.65% 1.87% 10.47% 1.65% ‐1.37% 0.02% 1.67% 1.87% ‐ 0.61%

2006/09/29 ‐3.01% 7.51% 7.50% ‐0.59% 1.96% 1.95% 6.72% 0.82% 12.87% 2.40% ‐7.21% 3.80% ‐ 6.84%

2006/10/31 11.45% 0.43% 0.94% 9.74% ‐0.68% 11.17% ‐4.42% 10.11% 2.34% 0.48% 8.12% 10.68% ‐ 15.33%

2006/11/30 9.53% ‐1.46% 3.25% 4.52% 4.40% 1.73% ‐7.02% ‐5.20% 1.71% ‐0.51% 1.64% 15.93% ‐ 5.38%

2006/12/29 13.70% 1.10% 10.91% 10.23% 7.97% 7.39% 13.06% 0.59% 2.81% 2.90% 9.97% 7.12% ‐ 8.11%

2007/01/31 9.69% 2.85% 1.18% 0.30% 2.84% 4.76% 0.20% 3.70% 1.91% ‐5.15% 3.29% 7.34% ‐ 11.67%

2007/02/28 ‐5.82% 1.30% ‐3.67% 2.30% ‐2.70% 1.52% 4.62% 1.50% 1.61% ‐5.07% 1.33% ‐1.13% ‐ 1.29%

2007/03/30 2.33% ‐6.22% 5.26% 7.04% ‐0.87% 6.27% ‐10.36% 4.11% 5.54% 5.21% 1.37% 6.36% ‐ 9.19%

2007/04/30 1.99% 8.27% 4.42% 4.42% 5.76% 5.44% 7.28% 14.59% 23.21% 0.85% 12.03% 10.59% ‐ 9.04%

2007/05/31 5.00% ‐0.84% ‐3.55% ‐7.80% 0.78% ‐5.01% ‐5.79% 5.09% ‐3.36% 5.30% ‐5.19% 5.71% ‐ ‐6.91%

2007/06/29 ‐3.17% ‐3.10% 3.62% ‐5.17% 4.38% ‐6.60% 2.58% ‐2.30% ‐2.22% 3.48% ‐3.46% ‐12.05% ‐ ‐3.73%

2007/07/31 ‐1.65% ‐1.98% ‐4.84% 3.47% 3.97% 3.87% ‐5.74% ‐3.52% 1.87% 2.26% 4.02% 0.14% ‐ ‐8.46%

2007/08/31 0.06% ‐1.25% 3.98% 1.62% 8.01% 2.34% 0.74% 8.25% ‐5.89% 6.25% 0.29% ‐10.34% ‐ 0.56%

2007/09/28 7.56% ‐3.00% ‐4.89% ‐3.42% ‐1.40% ‐3.10% ‐15.18% 5.57% 3.29% 2.42% ‐2.88% ‐1.75% ‐ ‐5.75%

2007/10/31 7.84% 11.98% 8.49% 16.49% 0.39% 17.94% 3.59% 14.41% 6.42% 14.24% 3.05% 3.13% ‐ 4.14%

2007/11/30 ‐12.62% ‐5.18% 8.44% ‐10.53% ‐0.11% ‐10.49% ‐3.16% 0.00% ‐1.35% 3.62% ‐3.42% ‐12.27% ‐ ‐17.83%

2007/12/31 ‐10.00% ‐1.89% ‐3.55% ‐12.94% ‐1.39% ‐4.69% 1.68% 6.30% ‐2.69% ‐1.46% ‐7.18% ‐5.59% ‐ 3.29%

2008/01/31 ‐15.43% ‐20.38% ‐9.52% ‐12.16% ‐17.21% ‐10.47% ‐15.98% ‐18.70% ‐14.55% 4.72% ‐7.66% ‐3.70% ‐ ‐26.56%

2008/02/29 8.90% 6.85% 14.04% 7.69% 3.62% 16.32% 10.37% 16.43% ‐3.55% 13.38% ‐7.28% 1.96% ‐ 5.70%

2008/03/31 ‐5.49% ‐9.34% ‐3.48% ‐10.04% 8.60% ‐10.46% 0.61% ‐6.02% 1.87% ‐3.46% ‐4.65% ‐1.04% ‐ ‐0.10%

2008/04/30 16.50% 9.57% 2.07% 1.55% ‐0.80% 4.27% 2.49% 13.62% 9.44% 11.67% 8.43% 0.39% ‐ ‐1.32%

2008/05/30 8.06% ‐4.92% 5.01% ‐4.66% 11.98% ‐7.67% 5.66% ‐2.21% ‐3.50% 10.00% 8.32% ‐10.51% ‐ ‐5.44%

2008/06/30 ‐3.66% ‐18.99% ‐10.52% ‐11.47% ‐9.45% ‐8.18% ‐18.78% ‐5.98% ‐13.99% ‐2.54% ‐8.51% 0.17% ‐ ‐9.73%

2008/07/31 4.85% ‐0.91% 2.98% 23.81% ‐12.14% 19.14% 0.19% 7.50% 6.02% ‐14.32% 2.84% 26.67% ‐ 15.49%

2008/08/29 8.06% ‐4.49% ‐1.72% 0.65% 7.33% ‐0.99% 15.67% 8.36% 0.91% 7.58% 14.85% 7.26% ‐ 6.71%

2008/09/30 ‐16.12% ‐15.50% 1.63% ‐0.65% ‐2.76% 6.20% ‐14.64% 3.58% ‐0.90% ‐17.66% 1.37% ‐4.18% ‐ ‐3.26%

2008/10/31 0.62% ‐26.18% 14.98% ‐9.72% ‐2.50% ‐17.67% ‐9.46% 10.75% ‐9.66% ‐14.78% 3.31% 13.57% ‐ ‐3.42%

2008/11/28 ‐4.82% ‐0.54% 3.54% 17.63% 6.68% 12.44% ‐25.31% ‐12.19% 3.77% ‐0.41% ‐4.19% ‐4.34% ‐ 8.41%

2008/12/31 7.81% ‐5.59% 4.00% ‐3.71% ‐1.41% ‐4.14% 25.28% 17.20% 3.03% ‐2.54% 5.47% 7.54% ‐ 12.06%

2009/01/30 ‐5.53% 2.63% ‐6.12% ‐10.70% 1.34% ‐14.58% ‐4.38% 2.83% ‐4.71% ‐1.44% 2.06% 3.37% ‐ 5.82%

2009/02/27 ‐1.94% ‐22.18% ‐6.62% ‐16.12% ‐12.46% ‐8.32% ‐6.50% ‐8.48% ‐5.68% ‐8.70% ‐10.28% ‐11.66% ‐ ‐11.52%

2009/03/31 3.90% 15.33% 1.81% 9.92% ‐2.03% 25.38% ‐10.07% 3.02% 10.21% 9.13% 6.99% 6.45% ‐ ‐1.20%

2009/04/30 8.64% 19.71% 7.41% 8.74% 2.42% 3.77% 1.29% 0.95% 0.13% ‐5.34% ‐2.10% 5.82% ‐ 5.27%

2009/05/29 9.66% 13.48% 0.39% ‐1.56% 13.27% 0.00% 27.20% 8.67% 7.86% 16.67% 5.06% 6.76% ‐ 4.17%

2009/06/30 6.50% 6.52% 1.83% 6.35% ‐4.12% 7.52% 3.08% ‐0.90% 0.76% ‐10.31% 5.29% 1.93% 10.00% 3.60%

2009/07/31 14.04% 21.61% 8.54% 7.68% 15.63% 5.28% 14.92% 3.64% 14.47% 2.97% 8.95% 8.08% 2.62% 20.23%

2009/08/31 9.94% ‐2.76% 8.37% 4.75% ‐0.31% 7.62% 13.12% 1.74% 3.64% 5.40% ‐0.98% ‐1.60% ‐1.87% 1.16%

2009/09/30 1.68% ‐0.42% 3.02% 3.29% 1.69% ‐1.91% ‐5.28% 9.31% 0.05% ‐3.62% ‐3.19% 10.35% ‐2.52% 5.98%

2009/10/30 10.82% 15.26% 3.84% 6.61% 15.93% 1.08% 15.21% 3.23% 5.07% 6.93% 4.31% 5.88% ‐3.11% 8.30%

2009/11/30 ‐2.51% 2.47% ‐5.96% ‐2.27% 3.95% ‐2.44% ‐2.00% ‐3.19% 2.79% ‐1.69% 2.92% ‐7.53% 6.80% ‐4.80%

2009/12/31 8.18% ‐6.46% 3.10% 5.71% 0.07% 6.47% 15.20% 5.26% 2.71% 2.48% 5.90% 4.78% ‐0.90% 7.21%

2010/01/29 ‐10.00% ‐3.87% 1.80% 4.36% ‐3.60% 6.72% ‐6.21% 7.10% 0.57% ‐3.69% 6.26% ‐2.75% ‐3.52% 2.41%

2010/02/26 6.67% 3.39% 0.06% ‐4.86% ‐5.08% ‐1.28% ‐1.85% 7.23% 6.77% ‐1.76% ‐0.56% 16.60% ‐1.38% 12.75%

2010/03/31 9.90% 3.51% 8.89% 12.00% 8.20% 6.64% 4.60% ‐1.93% 1.80% 7.37% 4.20% 7.83% 3.45% 11.14%

2010/04/30 ‐5.21% ‐2.65% 0.51% 4.02% 8.06% 2.27% 1.50% 8.67% 1.79% 0.34% 2.97% 1.72% 1.97% 4.08%

2010/05/31 0.43% ‐4.77% ‐2.39% 0.21% ‐8.73% ‐7.93% ‐5.37% ‐1.00% ‐2.68% ‐7.05% ‐6.80% 2.18% 9.53% ‐1.28%

2010/06/30 ‐13.74% ‐3.95% ‐1.55% ‐7.53% 1.70% ‐3.04% ‐7.29% 5.93% ‐3.18% ‐1.85% ‐3.27% ‐1.34% ‐3.01% 3.46%

2010/07/30 19.66% 17.55% 5.64% 10.58% 3.30% 10.85% 7.24% 10.32% 9.45% 5.24% 8.01% 8.73% 5.99% 8.52%

2010/08/31 ‐4.25% 3.57% 0.78% ‐3.39% ‐3.83% ‐7.90% ‐1.57% ‐1.09% ‐6.95% ‐2.82% ‐0.14% 0.41% ‐0.50% ‐5.35%

2010/09/30 15.32% 6.90% 9.88% 13.86% 8.02% 7.61% 9.20% 11.12% 12.97% 11.40% 4.90% 21.50% 12.26% 12.84%

2010/10/29 7.93% ‐5.47% ‐0.37% ‐2.97% ‐0.02% ‐6.94% 7.16% 0.07% ‐0.15% 3.25% ‐0.94% ‐1.41% ‐2.82% 1.52%

2010/11/30 ‐3.76% ‐8.05% ‐4.61% ‐2.30% ‐0.16% ‐1.23% 4.37% ‐2.56% ‐1.14% ‐0.03% ‐1.29% 4.33% 1.43% ‐3.75%

2010/12/31 9.59% ‐2.84% 8.95% 9.03% 4.68% 5.41% 13.85% 3.27% 7.55% 9.83% 4.44% ‐0.49% 15.00% 1.97%

2011/01/31 ‐3.85% 9.85% ‐2.18% ‐0.34% ‐1.75% ‐2.17% ‐4.98% ‐10.59% ‐2.58% 0.24% ‐1.58% ‐10.97% ‐8.47% ‐12.77%

2011/02/28 7.23% 4.98% 2.24% 0.18% 1.39% ‐5.10% 6.36% 8.19% ‐0.55% 9.76% ‐1.94% ‐0.05% 7.00% 13.62%

2011/03/31 ‐8.99% ‐0.07% ‐0.57% 10.39% 3.41% 4.16% 1.78% 8.64% 2.03% 2.76% ‐4.05% 12.71% 5.98% 6.65%

2011/04/29 8.52% 4.55% 2.31% 1.18% 2.22% 1.40% 0.40% ‐0.26% 6.30% ‐2.41% 9.99% 7.76% 1.16% 7.16%

2011/05/31 2.22% ‐3.59% ‐0.95% ‐0.46% 2.04% ‐0.51% ‐4.19% ‐3.77% ‐1.21% ‐4.39% ‐1.42% ‐4.70% 3.99% ‐0.70%

2011/06/30 ‐5.40% ‐2.51% ‐1.06% ‐5.50% ‐3.19% ‐2.47% ‐5.16% 2.21% ‐0.93% ‐1.76% 5.60% 1.23% 3.97% 0.03%

2011/07/29 ‐6.22% ‐2.91% ‐0.81% ‐5.25% 2.42% ‐2.62% 1.61% 2.17% ‐1.89% ‐5.64% 2.96% ‐1.24% 1.32% 6.08%

2011/08/31 2.18% ‐2.72% 2.91% 0.79% 2.72% 2.52% ‐1.11% 5.91% 1.15% 0.77% 0.41% 7.14% 6.28% 15.49%

2011/09/30 ‐3.37% ‐4.11% ‐2.78% ‐0.24% 2.88% ‐5.65% ‐2.60% 4.56% ‐1.10% ‐1.09% 2.85% ‐7.48% ‐0.04% ‐1.62%

2011/10/31 8.27% 8.72% 8.81% 4.58% 12.54% 5.40% 5.78% 2.48% 9.61% 10.07% 8.91% 13.76% ‐0.51% 15.40%

‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐

‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐

‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐

Copyright UCT

83

AppendixC:SourceData—JSEALSITotalReturns

Table20:JSEAllShareIndex(ALSI)totalreturns(Apr1986–Oct2011)

   

1986/04/30 ‐6.86% 1992/01/31 5.08% 1997/10/31 ‐8.54% 2003/07/31 5.68% 2009/04/30 1.58%

1986/05/31 5.00% 1992/02/29 0.04% 1997/11/30 ‐4.39% 2003/08/31 5.14% 2009/05/31 10.33%

1986/06/30 6.06% 1992/03/31 ‐1.05% 1997/12/31 ‐1.54% 2003/09/30 ‐2.86% 2009/06/30 ‐3.06%

1986/07/31 7.95% 1992/04/30 ‐2.44% 1998/01/31 6.78% 2003/10/31 9.78% 2009/07/31 10.10%

1986/08/31 15.84% 1992/05/31 8.34% 1998/02/28 7.85% 2003/11/30 ‐0.23% 2009/08/31 3.20%

1986/09/30 3.54% 1992/06/30 ‐1.81% 1998/03/31 7.80% 2003/12/31 6.93% 2009/09/30 0.25%

1986/10/31 ‐0.83% 1992/07/31 ‐5.87% 1998/04/30 9.57% 2004/01/31 4.64% 2009/10/31 6.02%

1986/11/30 5.66% 1992/08/31 ‐7.86% 1998/05/31 ‐7.93% 2004/02/29 0.48% 2009/11/30 2.13%

1986/12/31 ‐0.59% 1992/09/30 2.18% 1998/06/30 ‐10.89% 2004/03/31 ‐1.39% 2009/12/31 2.92%

1987/01/31 7.85% 1992/10/31 ‐5.75% 1998/07/31 5.23% 2004/04/30 ‐2.36% 2010/01/31 ‐3.50%

1987/02/28 ‐1.30% 1992/11/30 6.13% 1998/08/31 ‐29.30% 2004/05/31 0.31% 2010/02/28 0.37%

1987/03/31 3.51% 1992/12/31 2.41% 1998/09/30 5.60% 2004/06/30 ‐2.71% 2010/03/31 7.87%

1987/04/30 8.97% 1993/01/31 5.65% 1998/10/31 13.96% 2004/07/31 2.15% 2010/04/30 ‐0.06%

1987/05/31 ‐0.48% 1993/02/28 ‐0.15% 1998/11/30 ‐2.71% 2004/08/31 8.75% 2010/05/31 ‐5.11%

1987/06/30 0.24% 1993/03/31 4.44% 1998/12/31 ‐3.19% 2004/09/30 5.71% 2010/06/30 ‐3.17%

1987/07/31 13.18% 1993/04/30 5.13% 1999/01/31 8.24% 2004/10/31 ‐0.61% 2010/07/31 8.05%

1987/08/31 3.04% 1993/05/31 7.20% 1999/02/28 2.53% 2004/11/30 7.26% 2010/08/31 ‐3.58%

1987/09/30 ‐0.74% 1993/06/30 2.40% 1999/03/31 8.36% 2004/12/31 1.44% 2010/09/30 8.74%

1987/10/31 ‐23.53% 1993/07/31 2.67% 1999/04/30 11.82% 2005/01/31 1.35% 2010/10/31 3.55%

1987/11/30 ‐5.30% 1993/08/31 ‐3.19% 1999/05/31 ‐7.88% 2005/02/28 5.46% 2010/11/30 ‐0.45%

1987/12/31 ‐5.20% 1993/09/30 ‐6.31% 1999/06/30 9.54% 2005/03/31 ‐0.87% 2010/12/31 6.20%

1988/01/31 ‐13.44% 1993/10/31 4.14% 1999/07/31 1.59% 2005/04/30 ‐5.17% 2011/01/31 ‐2.15%

1988/02/29 ‐2.76% 1993/11/30 6.59% 1999/08/31 ‐2.10% 2005/05/31 9.84% 2011/02/28 2.80%

1988/03/31 11.15% 1993/12/31 17.76% 1999/09/30 ‐0.15% 2005/06/30 2.96% 2011/03/31 0.52%

1988/04/30 ‐4.06% 1994/01/31 ‐2.62% 1999/10/31 5.08% 2005/07/31 7.17% 2011/04/30 2.24%

1988/05/31 4.87% 1994/02/28 2.13% 1999/11/30 6.65% 2005/08/31 2.05% 2011/05/31 ‐0.77%

1988/06/30 5.15% 1994/03/31 2.13% 1999/12/31 13.11% 2005/09/30 9.98% 2011/06/30 ‐2.03%

1988/07/31 3.66% 1994/04/30 8.71% 2000/01/31 ‐1.29% 2005/10/31 ‐2.37% 2011/07/31 ‐1.99%

1988/08/31 ‐4.47% 1994/05/31 0.88% 2000/02/29 ‐6.17% 2005/11/30 2.14% 2011/08/31 ‐0.32%

1988/09/30 7.68% 1994/06/30 0.34% 2000/03/31 0.82% 2005/12/31 8.05% 2011/09/30 ‐3.61%

1988/10/31 6.84% 1994/07/31 4.79% 2000/04/30 ‐6.13% 2006/01/31 9.24% 2011/10/31 9.35%

1988/11/30 0.01% 1994/08/31 3.41% 2000/05/31 ‐0.97% 2006/02/28 ‐3.22% ‐ ‐

1988/12/31 1.86% 1994/09/30 ‐2.53% 2000/06/30 5.68% 2006/03/31 7.13% ‐ ‐

1989/01/31 8.83% 1994/10/31 1.03% 2000/07/31 0.84% 2006/04/30 4.23% ‐ ‐

1989/02/28 6.24% 1994/11/30 0.75% 2000/08/31 9.83% 2006/05/31 ‐2.67% ‐ ‐

1989/03/31 11.21% 1994/12/31 2.11% 2000/09/30 ‐1.86% 2006/06/30 3.37% ‐ ‐

1989/04/30 2.73% 1995/01/31 ‐13.69% 2000/10/31 ‐1.40% 2006/07/31 ‐1.46% ‐ ‐

1989/05/31 ‐7.25% 1995/02/28 2.05% 2000/11/30 ‐4.17% 2006/08/31 5.44% ‐ ‐

1989/06/30 9.96% 1995/03/31 2.83% 2000/12/31 6.51% 2006/09/30 2.34% ‐ ‐

1989/07/31 2.11% 1995/04/30 3.95% 2001/01/31 9.54% 2006/10/31 4.57% ‐ ‐

1989/08/31 4.40% 1995/05/31 0.06% 2001/02/28 ‐0.14% 2006/11/30 2.68% ‐ ‐

1989/09/30 ‐0.33% 1995/06/30 ‐0.72% 2001/03/31 ‐8.22% 2006/12/31 4.16% ‐ ‐

1989/10/31 ‐2.21% 1995/07/31 0.89% 2001/04/30 10.07% 2007/01/31 2.23% ‐ ‐

1989/11/30 6.38% 1995/08/31 1.92% 2001/05/31 4.17% 2007/02/28 1.50% ‐ ‐

1989/12/31 4.41% 1995/09/30 2.80% 2001/06/30 ‐1.56% 2007/03/31 6.37% ‐ ‐

1990/01/31 7.63% 1995/10/31 2.16% 2001/07/31 ‐6.84% 2007/04/30 3.48% ‐ ‐

1990/02/28 ‐3.17% 1995/11/30 2.81% 2001/08/31 5.38% 2007/05/31 1.75% ‐ ‐

1990/03/31 5.91% 1995/12/31 4.41% 2001/09/30 ‐9.21% 2007/06/30 ‐0.95% ‐ ‐

1990/04/30 ‐6.63% 1996/01/31 10.53% 2001/10/31 6.11% 2007/07/31 0.96% ‐ ‐

1990/05/31 5.46% 1996/02/29 ‐2.60% 2001/11/30 11.12% 2007/08/31 0.67% ‐ ‐

1990/06/30 ‐3.20% 1996/03/31 1.35% 2001/12/31 11.37% 2007/09/30 4.99% ‐ ‐

1990/07/31 2.74% 1996/04/30 4.49% 2002/01/31 ‐1.04% 2007/10/31 4.79% ‐ ‐

1990/08/31 ‐4.76% 1996/05/31 ‐1.90% 2002/02/28 5.33% 2007/11/30 ‐3.19% ‐ ‐

1990/09/30 ‐8.02% 1996/06/30 0.38% 2002/03/31 1.93% 2007/12/31 ‐4.36% ‐ ‐

1990/10/31 ‐2.47% 1996/07/31 ‐3.77% 2002/04/30 0.35% 2008/01/31 ‐5.61% ‐ ‐

1990/11/30 ‐2.13% 1996/08/31 1.98% 2002/05/31 1.77% 2008/02/29 12.45% ‐ ‐

1990/12/31 4.94% 1996/09/30 2.88% 2002/06/30 ‐4.71% 2008/03/31 ‐3.04% ‐ ‐

1991/01/31 ‐5.70% 1996/10/31 1.11% 2002/07/31 ‐13.14% 2008/04/30 4.19% ‐ ‐

1991/02/28 10.04% 1996/11/30 ‐3.36% 2002/08/31 5.11% 2008/05/31 3.72% ‐ ‐

1991/03/31 2.95% 1996/12/31 ‐1.13% 2002/09/30 ‐1.54% 2008/06/30 ‐4.36% ‐ ‐

1991/04/30 5.75% 1997/01/31 0.48% 2002/10/31 ‐0.60% 2008/07/31 ‐8.72% ‐ ‐

1991/05/31 3.01% 1997/02/28 6.97% 2002/11/30 2.15% 2008/08/31 0.31% ‐ ‐

1991/06/30 6.43% 1997/03/31 ‐0.63% 2002/12/31 ‐2.85% 2008/09/30 ‐13.24% ‐ ‐

1991/07/31 5.88% 1997/04/30 1.22% 2003/01/31 ‐4.97% 2008/10/31 ‐11.65% ‐ ‐

1991/08/31 ‐3.81% 1997/05/31 ‐2.09% 2003/02/28 ‐4.31% 2008/11/30 1.27% ‐ ‐

1991/09/30 ‐1.28% 1997/06/30 6.43% 2003/03/31 ‐7.93% 2008/12/31 1.52% ‐ ‐

1991/10/31 7.24% 1997/07/31 1.07% 2003/04/30 ‐1.66% 2009/01/31 ‐4.25% ‐ ‐

1991/11/30 0.72% 1997/08/31 ‐2.99% 2003/05/31 14.07% 2009/02/28 ‐9.87% ‐ ‐

1991/12/31 ‐2.62% 1997/09/30 ‐2.10% 2003/06/30 ‐2.22% 2009/03/31 11.02% ‐ ‐

I‐NET BRIDGE: AJ203[TR]

Copyright UCT

84

AppendixD:SourceData—ZARtoUSDExchangeRates

Table21:ZARtoUSDexchangerates(Apr1986–Oct2011)

   

1986/04/30 ‐2.47% 1992/01/31 2.21% 1997/10/31 3.29% 2003/07/31 ‐1.74% 2009/04/30 ‐11.87%

1986/05/31 14.08% 1992/02/29 1.52% 1997/11/30 0.80% 2003/08/31 0.07% 2009/05/31 ‐6.05%

1986/06/30 5.31% 1992/03/31 1.14% 1997/12/31 0.24% 2003/09/30 ‐5.35% 2009/06/30 ‐2.67%

1986/07/31 3.59% 1992/04/30 ‐0.06% 1998/01/31 1.49% 2003/10/31 ‐0.74% 2009/07/31 0.74%

1986/08/31 ‐0.13% 1992/05/31 ‐1.50% 1998/02/28 ‐0.02% 2003/11/30 ‐7.23% 2009/08/31 ‐0.05%

1986/09/30 ‐12.92% 1992/06/30 ‐2.11% 1998/03/31 1.97% 2003/12/31 3.56% 2009/09/30 ‐3.28%

1986/10/31 2.75% 1992/07/31 ‐0.23% 1998/04/30 0.44% 2004/01/31 6.19% 2009/10/31 3.93%

1986/11/30 ‐3.10% 1992/08/31 ‐0.99% 1998/05/31 1.97% 2004/02/29 ‐5.33% 2009/11/30 ‐5.19%

1986/12/31 ‐1.53% 1992/09/30 2.69% 1998/06/30 14.81% 2004/03/31 ‐5.31% 2009/12/31 ‐0.06%

1987/01/31 ‐4.58% 1992/10/31 5.30% 1998/07/31 3.63% 2004/04/30 9.98% 2010/01/31 2.94%

1987/02/28 ‐0.27% 1992/11/30 2.05% 1998/08/31 4.56% 2004/05/31 ‐5.84% 2010/02/28 0.98%

1987/03/31 ‐2.89% 1992/12/31 0.99% 1998/09/30 ‐8.50% 2004/06/30 ‐4.74% 2010/03/31 ‐5.22%

1987/04/30 ‐0.70% 1993/01/31 0.53% 1998/10/31 ‐3.66% 2004/07/31 0.94% 2010/04/30 1.25%

1987/05/31 0.81% 1993/02/28 2.64% 1998/11/30 0.57% 2004/08/31 5.80% 2010/05/31 3.81%

1987/06/30 1.28% 1993/03/31 0.81% 1998/12/31 3.03% 2004/09/30 ‐2.44% 2010/06/30 0.07%

1987/07/31 1.29% 1993/04/30 ‐0.50% 1999/01/31 3.24% 2004/10/31 ‐5.20% 2010/07/31 ‐4.95%

1987/08/31 ‐1.57% 1993/05/31 0.68% 1999/02/28 1.82% 2004/11/30 ‐5.57% 2010/08/31 1.12%

1987/09/30 1.98% 1993/06/30 4.64% 1999/03/31 0.49% 2004/12/31 ‐2.79% 2010/09/30 ‐5.60%

1987/10/31 ‐3.12% 1993/07/31 1.55% 1999/04/30 ‐1.37% 2005/01/31 5.72% 2010/10/31 0.39%

1987/11/30 ‐3.31% 1993/08/31 0.03% 1999/05/31 1.79% 2005/02/28 ‐2.75% 2010/11/30 1.55%

1987/12/31 ‐0.87% 1993/09/30 1.64% 1999/06/30 ‐2.83% 2005/03/31 7.44% 2010/12/31 ‐6.68%

1988/01/31 3.09% 1993/10/31 ‐2.38% 1999/07/31 1.89% 2005/04/30 ‐2.37% 2011/01/31 8.40%

1988/02/29 5.17% 1993/11/30 0.36% 1999/08/31 ‐1.24% 2005/05/31 11.19% 2011/02/28 ‐2.98%

1988/03/31 1.49% 1993/12/31 0.95% 1999/09/30 ‐1.14% 2005/06/30 ‐1.57% 2011/03/31 ‐3.01%

1988/04/30 1.37% 1994/01/31 0.74% 1999/10/31 2.16% 2005/07/31 ‐1.55% 2011/04/30 ‐2.91%

1988/05/31 4.02% 1994/02/28 1.52% 1999/11/30 0.47% 2005/08/31 ‐2.36% 2011/05/31 3.72%

1988/06/30 3.93% 1994/03/31 0.13% 1999/12/31 ‐0.45% 2005/09/30 ‐1.05% 2011/06/30 ‐0.58%

1988/07/31 4.94% 1994/04/30 1.20% 2000/01/31 2.68% 2005/10/31 5.98% 2011/07/31 ‐1.10%

1988/08/31 0.23% 1994/05/31 3.29% 2000/02/29 0.42% 2005/11/30 ‐3.93% 2011/08/31 4.61%

1988/09/30 2.00% 1994/06/30 0.47% 2000/03/31 3.48% 2005/12/31 ‐1.92% 2011/09/30 15.70%

1988/10/31 ‐0.26% 1994/07/31 0.53% 2000/04/30 3.47% 2006/01/31 ‐3.56% 2011/10/31 ‐1.76%

1988/11/30 ‐7.73% 1994/08/31 ‐2.33% 2000/05/31 2.74% 2006/02/28 1.04% ‐ ‐

1988/12/31 3.63% 1994/09/30 ‐0.53% 2000/06/30 ‐2.70% 2006/03/31 ‐0.47% ‐ ‐

1989/01/31 0.85% 1994/10/31 ‐1.84% 2000/07/31 2.69% 2006/04/30 ‐1.91% ‐ ‐

1989/02/28 3.59% 1994/11/30 1.41% 2000/08/31 0.22% 2006/05/31 11.48% ‐ ‐

1989/03/31 2.93% 1994/12/31 ‐0.23% 2000/09/30 3.84% 2006/06/30 6.74% ‐ ‐

1989/04/30 0.06% 1995/01/31 ‐0.28% 2000/10/31 4.59% 2006/07/31 ‐3.37% ‐ ‐

1989/05/31 8.64% 1995/02/28 1.84% 2000/11/30 1.90% 2006/08/31 4.10% ‐ ‐

1989/06/30 ‐0.27% 1995/03/31 ‐0.25% 2000/12/31 ‐1.98% 2006/09/30 7.60% ‐ ‐

1989/07/31 ‐4.63% 1995/04/30 0.73% 2001/01/31 2.47% 2006/10/31 ‐4.66% ‐ ‐

1989/08/31 4.55% 1995/05/31 1.78% 2001/02/28 ‐0.81% 2006/11/30 ‐2.95% ‐ ‐

1989/09/30 ‐2.09% 1995/06/30 ‐1.21% 2001/03/31 4.43% 2006/12/31 ‐2.62% ‐ ‐

1989/10/31 ‐2.82% 1995/07/31 ‐0.45% 2001/04/30 ‐0.25% 2007/01/31 3.94% ‐ ‐

1989/11/30 ‐1.04% 1995/08/31 1.01% 2001/05/31 0.27% 2007/02/28 ‐0.13% ‐ ‐

1989/12/31 ‐2.09% 1995/09/30 ‐0.19% 2001/06/30 0.50% 2007/03/31 0.50% ‐ ‐

1990/01/31 0.25% 1995/10/31 ‐0.07% 2001/07/31 1.86% 2007/04/30 ‐3.41% ‐ ‐

1990/02/28 ‐0.18% 1995/11/30 0.45% 2001/08/31 2.15% 2007/05/31 1.33% ‐ ‐

1990/03/31 3.76% 1995/12/31 ‐0.47% 2001/09/30 7.31% 2007/06/30 ‐1.17% ‐ ‐

1990/04/30 0.47% 1996/01/31 0.13% 2001/10/31 4.95% 2007/07/31 0.78% ‐ ‐

1990/05/31 ‐0.41% 1996/02/29 5.76% 2001/11/30 8.65% 2007/08/31 0.77% ‐ ‐

1990/06/30 0.25% 1996/03/31 3.13% 2001/12/31 16.78% 2007/09/30 ‐3.94% ‐ ‐

1990/07/31 ‐2.61% 1996/04/30 8.49% 2002/01/31 ‐4.44% 2007/10/31 ‐4.83% ‐ ‐

1990/08/31 ‐0.64% 1996/05/31 1.04% 2002/02/28 ‐0.35% 2007/11/30 3.84% ‐ ‐

1990/09/30 ‐0.27% 1996/06/30 ‐0.79% 2002/03/31 ‐0.35% 2007/12/31 0.39% ‐ ‐

1990/10/31 ‐0.84% 1996/07/31 4.04% 2002/04/30 ‐6.31% 2008/01/31 9.94% ‐ ‐

1990/11/30 ‐0.90% 1996/08/31 ‐0.43% 2002/05/31 ‐8.28% 2008/02/29 3.54% ‐ ‐

1990/12/31 1.49% 1996/09/30 1.09% 2002/06/30 4.97% 2008/03/31 4.27% ‐ ‐

1991/01/31 ‐0.74% 1996/10/31 3.72% 2002/07/31 ‐1.00% 2008/04/30 ‐6.71% ‐ ‐

1991/02/28 1.00% 1996/11/30 ‐2.17% 2002/08/31 3.30% 2008/05/31 0.79% ‐ ‐

1991/03/31 6.45% 1996/12/31 1.68% 2002/09/30 0.47% 2008/06/30 2.96% ‐ ‐

1991/04/30 2.00% 1997/01/31 ‐2.44% 2002/10/31 ‐5.45% 2008/07/31 ‐6.48% ‐ ‐

1991/05/31 0.81% 1997/02/28 ‐1.95% 2002/11/30 ‐6.98% 2008/08/31 5.06% ‐ ‐

1991/06/30 2.81% 1997/03/31 ‐1.16% 2002/12/31 ‐7.42% 2008/09/30 7.14% ‐ ‐

1991/07/31 ‐0.78% 1997/04/30 0.49% 2003/01/31 ‐0.58% 2008/10/31 18.55% ‐ ‐

1991/08/31 0.31% 1997/05/31 0.53% 2003/02/28 ‐4.68% 2008/11/30 2.88% ‐ ‐

1991/09/30 ‐2.43% 1997/06/30 1.36% 2003/03/31 ‐3.13% 2008/12/31 ‐5.22% ‐ ‐

1991/10/31 1.01% 1997/07/31 1.69% 2003/04/30 ‐9.91% 2009/01/31 6.88% ‐ ‐

1991/11/30 ‐1.11% 1997/08/31 1.83% 2003/05/31 12.55% 2009/02/28 ‐1.08% ‐ ‐

1991/12/31 ‐2.12% 1997/09/30 ‐0.61% 2003/06/30 ‐6.70% 2009/03/31 ‐4.92% ‐ ‐

I‐NET BRIDGE: USDZAR[CL] CONVERTED TO %CHANGE

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AppendixE:SourceData—CadizFSGBetas

Table22:CadizFSGbetas(firstquarter2001tothirdquarter2011)JSE CDE ABL ACL AGL AMS ANG APN ARI ASA ASR BIL BVT CFR CSO EXX FSR GFI GRT HAR IMP INL INP2001Q1 1.31 ‐ 1.25 0.70 0.64 ‐0.02 ‐ 1.39 0.71 1.14 0.94 ‐ ‐ ‐ 1.26 0.64 0.31 0.77 0.86 ‐ ‐2001Q2 1.29 ‐ 1.23 0.82 0.72 0.01 ‐ 1.36 0.71 1.13 0.89 ‐ ‐ ‐ 1.24 0.65 0.33 0.76 0.97 ‐ ‐2001Q3 1.26 ‐ 1.25 0.91 0.69 0.04 ‐ 1.28 0.68 1.12 0.88 ‐ ‐ ‐ 1.22 0.60 0.32 0.69 1.02 ‐ ‐2001Q4 1.19 ‐ 1.30 0.93 0.72 ‐0.04 ‐ 1.21 0.60 1.18 0.82 ‐ ‐ ‐ 1.12 0.63 0.28 0.77 1.08 ‐ ‐2002Q1 1.15 ‐ 1.29 0.89 0.70 0.09 ‐ 1.21 0.65 1.18 0.80 ‐ ‐ ‐ 1.08 0.61 0.28 0.80 1.02 ‐ ‐2002Q2 1.05 ‐ 1.32 0.95 0.79 0.05 ‐ 1.10 0.58 1.18 0.75 ‐ ‐ ‐ 0.99 0.64 0.22 0.89 1.09 0.92 ‐2002Q3 1.03 ‐ 1.31 0.95 0.76 0.00 ‐ 1.08 0.57 1.14 0.79 ‐ ‐ ‐ 1.01 0.65 0.22 0.85 1.09 0.94 ‐2002Q4 1.00 ‐ 1.32 0.96 0.72 ‐0.02 ‐ 1.08 0.57 1.17 0.79 ‐ ‐ ‐ 1.02 0.65 ‐ 0.77 1.11 0.95 ‐2003Q1 0.83 ‐ 1.29 1.03 0.74 ‐0.08 ‐ 1.07 0.51 1.20 0.76 ‐ ‐ ‐ 1.02 0.73 0.18 0.70 1.16 0.98 0.492003Q2 0.88 ‐ 1.26 1.09 0.73 0.46 ‐ 1.06 0.48 1.17 0.71 ‐ ‐ ‐ 0.98 0.83 0.16 0.78 1.17 0.97 1.002003Q3 0.54 ‐ 1.48 1.56 0.87 0.50 ‐ 0.70 0.46 1.35 0.65 ‐ ‐ ‐ 0.73 0.85 ‐0.08 0.88 1.65 0.77 0.822003Q4 0.57 ‐ 1.47 1.52 0.78 0.45 ‐ 0.71 0.51 1.40 0.66 ‐ ‐ ‐ 0.70 0.73 0.02 0.90 1.59 0.79 0.832004Q1 0.55 ‐ 1.35 1.61 0.74 0.34 ‐ 0.71 0.53 1.29 0.68 ‐ ‐ ‐ 0.71 0.77 0.11 0.87 1.58 0.84 0.892004Q2 0.50 ‐ 1.42 1.70 0.76 0.31 ‐ 0.65 0.59 1.31 0.63 ‐ ‐ ‐ 0.64 0.79 0.04 0.99 1.77 0.82 0.872004Q3 0.44 ‐ 1.45 1.70 0.86 0.32 ‐ 0.65 0.14 1.30 0.61 ‐ ‐ ‐ 0.64 0.90 0.05 1.05 1.75 0.79 0.832004Q4 0.46 ‐ 1.48 1.79 0.96 0.32 1.63 0.62 0.14 1.27 0.54 ‐ ‐ ‐ 0.59 0.92 0.16 1.10 1.81 0.77 0.822005Q1 0.49 ‐ 1.45 1.83 0.96 0.33 1.59 0.63 0.25 1.24 0.54 ‐ ‐ ‐ 0.60 0.97 0.28 1.14 1.79 0.80 0.852005Q2 0.56 ‐ 1.48 1.84 1.02 0.34 1.80 0.61 0.23 1.22 0.51 ‐ ‐ ‐ 0.60 1.06 0.25 1.25 1.76 0.81 0.862005Q3 0.58 ‐ 1.49 1.78 1.05 0.39 1.75 0.56 0.13 1.24 0.54 ‐ ‐ ‐ 0.62 1.09 0.23 1.35 1.67 0.84 0.882005Q4 0.49 ‐ 1.46 1.84 1.06 0.36 1.62 0.51 0.17 1.19 0.52 ‐ ‐ ‐ 0.66 1.08 0.25 1.38 1.78 0.83 0.872006Q1 0.57 ‐ 1.45 1.73 1.10 0.43 1.57 0.54 0.14 1.28 0.53 ‐ ‐ ‐ 0.66 1.14 0.26 1.50 1.64 0.72 0.762006Q2 0.60 ‐ 1.44 1.61 1.05 0.38 1.53 0.54 0.13 1.28 0.55 ‐ ‐ ‐ 0.65 1.18 0.24 1.58 1.52 0.73 0.772006Q3 0.60 ‐ 1.46 1.62 1.16 0.40 1.46 0.57 0.15 1.34 0.52 ‐ ‐ ‐ 0.62 1.36 0.23 1.90 1.53 0.59 0.642006Q4 0.75 ‐ 1.37 1.64 1.17 0.54 1.25 0.66 0.18 1.23 0.61 ‐ ‐ 1.50 0.74 1.46 0.32 2.07 1.44 0.74 0.782007Q1 0.83 ‐ 1.38 1.63 1.13 0.54 1.13 0.66 0.15 1.23 0.60 ‐ ‐ 1.33 0.73 1.35 0.33 1.89 1.40 0.79 0.832007Q2 0.84 ‐ 1.38 1.61 1.12 0.55 1.13 0.70 0.16 1.20 0.59 ‐ ‐ 1.35 0.74 1.39 0.32 1.97 1.41 0.81 0.862007Q3 0.87 ‐ 1.32 1.62 1.16 0.59 1.40 0.65 0.16 1.29 0.57 ‐ ‐ 1.47 0.70 1.55 0.33 2.23 1.35 0.84 0.872007Q4 0.89 1.47 1.29 1.59 1.19 0.62 1.40 0.69 0.21 1.29 0.60 ‐ ‐ 1.49 0.79 1.62 0.38 2.22 1.31 0.88 0.902008Q1 1.09 1.41 1.43 1.46 0.96 0.54 1.50 0.76 0.56 1.30 0.75 ‐ ‐ 1.06 0.94 1.24 0.55 2.10 1.13 0.61 0.612008Q2 1.10 1.56 1.32 1.22 0.98 0.62 1.47 0.83 0.75 1.31 0.85 ‐ ‐ 0.94 1.15 1.08 0.67 1.83 0.86 0.73 0.692008Q3 0.86 1.45 1.51 1.39 0.89 0.34 1.63 0.50 0.96 1.37 0.71 ‐ ‐ 1.19 0.71 0.81 0.43 1.33 1.05 0.72 0.712008Q4 0.73 1.64 1.48 1.58 0.86 0.49 1.82 0.47 0.96 1.26 0.65 0.66 ‐ 1.31 0.74 0.84 0.39 1.26 1.28 0.62 0.642009Q1 0.88 1.54 1.52 1.57 0.76 0.45 1.69 0.55 1.15 1.26 0.75 0.67 ‐ 1.18 0.83 0.71 0.44 0.94 1.31 0.82 0.862009Q2 0.78 1.56 1.53 1.57 0.86 0.43 1.59 0.53 1.14 1.23 0.73 1.03 ‐ 1.21 0.81 0.76 0.40 0.96 1.34 0.83 0.882009Q3 0.78 1.51 1.52 1.51 0.81 0.43 1.54 0.50 1.17 1.24 0.72 1.20 ‐ 1.22 0.79 0.66 0.41 0.84 1.34 0.94 0.982009Q4 0.67 1.30 1.46 1.41 0.79 0.43 1.38 0.44 ‐ 1.19 0.63 1.02 ‐ 1.11 0.69 0.68 0.31 0.81 1.24 0.82 0.872010Q1 0.78 1.39 1.64 1.63 0.81 0.49 1.59 0.49 1.20 1.23 0.72 0.96 ‐ 1.27 0.82 0.69 0.33 0.91 1.44 0.96 1.002010Q2 0.83 1.41 1.62 1.62 0.69 0.54 1.58 0.54 1.25 1.23 0.77 0.92 0.45 1.29 0.85 0.54 0.34 0.69 1.47 0.99 1.022010Q3 0.88 1.30 1.60 1.59 0.55 0.50 1.61 0.60 1.34 1.27 0.74 0.99 0.55 1.18 0.85 0.37 0.38 0.43 1.50 0.98 1.012010Q4 0.87 1.30 1.67 1.63 0.50 0.48 1.66 0.58 1.36 1.28 0.74 0.96 0.55 1.24 0.82 0.32 0.35 0.42 1.54 0.97 0.942011Q1 0.86 1.26 1.72 1.63 0.41 0.38 1.66 0.57 1.53 1.27 0.74 0.78 0.55 1.21 0.81 0.23 0.35 0.18 1.56 1.00 1.032011Q2 0.82 1.22 1.73 1.62 0.41 0.39 1.69 0.58 1.56 1.27 0.74 0.77 0.56 1.22 0.82 0.21 0.37 0.16 1.57 1.00 1.022011Q3 0.84 1.23 1.73 1.60 0.39 0.42 1.68 0.59 1.57 1.30 0.72 0.78 0.52 1.23 0.83 0.17 0.35 0.22 1.59 1.03 1.07

JSE CDE KIO LON MND MNP MSM MTN NED NPN OML REM RMH SAB SBK SHF SHP SLM SOL TBS TRU VOD WHL2001Q1 ‐ 0.67 ‐ ‐ 0.64 ‐ 0.97 1.20 1.06 ‐ 1.30 0.99 ‐ 0.62 0.78 0.83 1.09 0.78 1.69 ‐ 0.892001Q2 ‐ 0.67 ‐ ‐ 0.32 ‐ 0.95 1.16 0.92 ‐ 1.29 0.98 ‐ 0.63 0.70 0.76 1.09 0.76 1.63 ‐ 0.882001Q3 ‐ 0.73 ‐ ‐ 0.33 ‐ 0.95 1.28 0.90 0.88 1.26 0.95 ‐ 0.54 0.68 0.79 1.09 0.70 1.47 ‐ 0.832001Q4 ‐ 0.79 ‐ ‐ 0.27 ‐ 0.86 1.26 0.74 0.82 1.18 0.99 ‐ 0.55 0.64 0.69 1.11 0.67 1.32 ‐ 0.802002Q1 ‐ 0.82 ‐ ‐ 0.26 ‐ 0.86 1.24 0.71 0.82 1.16 0.98 ‐ 0.57 0.66 0.68 1.14 0.67 1.31 ‐ 0.802002Q2 ‐ 0.86 ‐ ‐ 0.21 ‐ 0.78 1.13 0.70 0.77 1.07 0.93 0.94 0.54 0.62 0.61 1.09 0.60 1.15 ‐ 0.732002Q3 ‐ 0.84 ‐ ‐ 0.24 ‐ 0.80 1.13 0.74 0.76 1.11 0.94 0.95 0.55 0.66 0.63 1.10 0.60 1.14 ‐ 0.712002Q4 ‐ 0.85 ‐ ‐ 0.24 1.26 0.81 1.13 0.76 0.76 1.11 0.94 0.96 0.54 0.65 0.65 1.13 0.59 1.14 ‐ 0.692003Q1 ‐ 0.92 ‐ ‐ 0.26 1.21 0.82 1.14 0.78 0.79 1.10 0.92 0.95 0.61 0.63 0.69 1.16 0.64 1.12 ‐ 0.722003Q2 ‐ 0.95 ‐ ‐ 0.29 1.17 0.76 1.10 0.73 0.57 1.03 0.87 0.96 0.70 0.52 0.67 1.11 0.53 0.94 ‐ 0.652003Q3 ‐ 1.23 ‐ ‐ 0.30 0.88 0.58 1.18 0.72 0.54 0.78 0.82 0.65 0.81 0.32 0.66 1.23 0.40 0.63 ‐ 0.602003Q4 ‐ 1.25 ‐ ‐ 0.33 0.90 0.45 1.15 0.74 0.55 0.73 0.82 0.67 0.83 0.31 0.73 1.24 0.43 0.48 ‐ 0.502004Q1 ‐ 1.25 ‐ ‐ 0.29 0.94 0.46 1.15 0.75 0.55 0.78 0.85 0.70 0.85 0.35 0.67 1.08 0.46 0.48 ‐ 0.432004Q2 ‐ 1.24 ‐ ‐ 0.28 0.99 0.44 1.12 0.73 0.55 0.76 0.87 0.68 0.85 0.32 0.67 1.01 0.42 0.36 ‐ 0.532004Q3 ‐ 1.26 ‐ ‐ 0.31 0.96 0.41 1.06 0.75 0.54 0.74 0.85 0.67 0.86 0.33 0.69 1.05 0.43 0.42 ‐ 0.552004Q4 ‐ 1.30 ‐ ‐ 0.35 0.73 0.36 1.10 0.71 0.55 0.71 0.87 0.65 0.78 0.24 0.66 1.02 0.38 0.37 ‐ 0.662005Q1 ‐ 1.37 ‐ ‐ 0.38 0.89 0.37 1.18 0.74 0.52 0.68 0.83 0.60 0.82 0.25 0.66 1.02 0.39 0.30 ‐ 0.622005Q2 ‐ 1.33 ‐ ‐ 0.32 0.88 0.35 1.17 0.71 0.56 0.67 0.82 0.59 0.79 0.24 0.62 1.07 0.45 0.30 ‐ 0.592005Q3 ‐ 1.35 ‐ ‐ 0.30 0.94 0.38 1.15 0.65 0.57 0.67 0.84 0.55 0.86 0.24 0.60 1.01 0.54 0.28 ‐ 0.492005Q4 ‐ 1.32 ‐ ‐ 0.29 0.87 0.44 1.02 0.63 0.57 0.70 0.83 0.56 0.89 0.25 0.63 1.05 0.56 0.27 ‐ 0.452006Q1 ‐ 1.33 ‐ ‐ 0.33 0.77 0.38 0.95 0.68 0.51 0.68 0.79 0.59 0.91 0.25 0.64 1.17 0.55 0.30 ‐ 0.462006Q2 ‐ 1.32 ‐ ‐ 0.43 0.73 0.37 1.00 0.70 0.48 0.67 0.81 0.60 0.94 0.33 0.64 1.17 0.57 0.34 ‐ 0.472006Q3 ‐ 1.39 ‐ ‐ 0.44 0.62 0.32 0.75 0.71 0.52 0.65 0.81 0.57 1.07 0.31 0.60 1.18 0.61 0.43 ‐ 0.492006Q4 1.23 1.31 ‐ ‐ 0.53 0.81 0.39 0.78 0.81 0.62 0.74 0.74 0.65 1.15 0.40 0.63 1.19 0.73 0.60 ‐ 0.622007Q1 1.33 1.30 ‐ ‐ 0.56 0.85 0.42 0.83 0.79 0.63 0.73 0.73 0.67 1.10 0.40 0.66 1.17 0.73 0.60 ‐ 0.632007Q2 ‐ 1.35 0.88 ‐ 0.55 0.81 0.42 0.84 0.78 0.64 0.73 0.74 0.69 1.15 0.41 0.71 1.18 0.75 0.68 ‐ 0.652007Q3 0.89 1.35 0.83 ‐ 0.57 0.80 0.42 0.91 0.72 0.67 0.69 0.65 0.63 1.14 0.40 0.67 1.27 0.83 0.76 ‐ 0.682007Q4 0.71 1.33 0.76 ‐ 0.62 0.85 0.45 1.01 0.72 0.61 0.79 0.60 0.69 1.12 0.36 0.64 1.21 0.84 0.83 ‐ 0.712008Q1 1.00 1.25 0.10 0.33 0.66 0.85 0.51 1.01 0.78 0.64 0.89 0.55 0.82 1.07 0.45 0.51 1.14 0.69 0.79 ‐ 0.902008Q2 1.07 1.00 0.25 0.35 0.77 1.07 0.71 1.10 0.98 0.66 1.03 0.59 0.92 1.07 0.70 0.63 1.05 0.85 0.86 ‐ 1.032008Q3 1.49 1.31 0.38 0.60 0.55 0.95 0.42 1.05 0.94 0.52 0.67 0.60 0.55 0.96 0.55 0.50 1.16 0.61 0.54 ‐ 0.702008Q4 1.66 1.47 0.42 0.59 0.38 0.84 0.57 0.95 1.03 0.47 0.65 0.58 0.68 0.96 0.50 0.52 1.14 0.52 0.39 ‐ 0.712009Q1 1.34 1.32 0.81 0.87 0.46 0.98 0.68 0.87 1.09 0.48 0.77 0.59 0.82 0.81 0.54 0.56 1.08 0.56 0.47 ‐ 0.682009Q2 1.38 1.28 0.97 1.04 0.45 0.91 0.63 0.86 1.10 0.45 0.71 0.65 0.76 0.90 0.53 0.57 1.14 0.53 0.47 ‐ 0.652009Q3 1.38 1.28 0.97 1.16 0.36 0.89 0.67 0.89 1.15 0.45 0.71 0.69 0.75 0.93 0.52 0.57 1.10 0.53 0.43 0.24 0.682009Q4 1.18 1.14 0.87 0.99 0.30 0.77 0.57 0.78 1.02 0.41 0.62 0.67 0.65 0.83 0.45 0.50 1.10 0.47 0.36 0.36 0.602010Q1 1.35 1.43 1.12 1.34 0.34 0.83 0.67 0.91 1.15 0.47 0.72 0.73 0.71 0.99 0.44 0.51 1.13 0.48 0.39 0.02 0.722010Q2 1.36 1.47 1.14 1.34 0.37 0.86 0.73 0.94 1.19 0.44 0.73 0.69 0.76 1.01 0.46 0.56 1.11 0.47 0.39 ‐0.12 0.702010Q3 1.36 1.51 1.13 1.34 0.40 0.86 0.71 1.04 1.28 0.45 0.75 0.65 0.82 0.96 0.48 0.67 1.08 0.45 0.45 0.21 0.692010Q4 1.36 1.60 1.13 1.33 0.39 0.83 0.65 1.05 1.28 0.45 0.72 0.67 0.79 0.97 0.44 0.63 1.09 0.44 0.35 0.30 0.662011Q1 1.35 1.62 1.12 1.32 0.39 0.88 0.67 1.04 1.21 0.56 0.73 0.70 0.77 0.95 0.45 0.64 1.04 0.36 0.34 0.39 0.682011Q2 1.34 1.64 1.11 1.31 0.37 0.89 0.68 1.05 1.23 0.58 0.75 0.69 0.76 0.94 0.42 0.67 1.03 0.36 0.34 0.42 0.682011Q3 1.36 1.69 1.11 1.32 0.37 0.89 0.68 1.08 1.21 0.58 0.75 0.69 0.78 0.91 0.44 0.70 1.03 0.37 0.37 0.41 0.67

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86

Table23:CadizFSGno.ofmonthsusedinbetacalculations(2001Q1to2011Q3)

 

JSE CDE ABL ACL AGL AMS ANG APN ARI ASA ASR BIL BVT CFR CSO EXX FSR GFI GRT HAR IMP INL INP2001Q1 60 ‐ 60 60 60 60 ‐ 60 60 45 60 ‐ ‐ ‐ 60 60 60 60 60 ‐ ‐2001Q2 60 ‐ 60 60 60 60 ‐ 60 60 48 60 ‐ ‐ ‐ 60 60 60 60 60 ‐ ‐2001Q3 60 ‐ 60 60 60 60 ‐ 60 60 51 60 ‐ ‐ ‐ 60 60 60 60 60 ‐ ‐2001Q4 60 ‐ 60 60 60 60 ‐ 60 60 54 60 ‐ ‐ ‐ 60 60 60 60 60 ‐ ‐2002Q1 60 ‐ 60 60 60 60 ‐ 60 60 57 60 ‐ ‐ ‐ 60 60 60 60 60 ‐ ‐2002Q2 60 ‐ 60 60 60 60 ‐ 60 60 60 60 ‐ ‐ ‐ 60 60 60 60 60 60 ‐2002Q3 60 ‐ 60 60 60 60 ‐ 60 60 60 60 ‐ ‐ ‐ 60 60 60 60 60 60 ‐2002Q4 60 ‐ 60 60 60 60 ‐ 60 60 60 60 ‐ ‐ ‐ 60 60 ‐ 60 60 60 ‐2003Q1 60 ‐ 60 60 60 60 ‐ 60 59 60 60 ‐ ‐ ‐ 60 60 60 60 60 60 92003Q2 60 ‐ 60 60 60 60 ‐ 60 60 60 60 ‐ ‐ ‐ 60 60 60 60 60 60 602003Q3 60 ‐ 60 60 60 60 ‐ 60 60 60 60 ‐ ‐ ‐ 60 60 60 60 60 60 602003Q4 60 ‐ 60 60 60 60 ‐ 60 60 60 60 ‐ ‐ ‐ 60 60 60 60 60 60 602004Q1 60 ‐ 60 60 60 60 ‐ 60 60 60 60 ‐ ‐ ‐ 60 60 60 60 60 60 602004Q2 60 ‐ 60 60 60 60 ‐ 60 60 60 60 ‐ ‐ ‐ 60 60 60 60 60 60 602004Q3 60 ‐ 60 60 60 60 ‐ 60 60 60 60 ‐ ‐ ‐ 60 60 60 60 60 60 602004Q4 60 ‐ 60 60 60 60 9 60 60 60 60 ‐ ‐ ‐ 60 60 60 60 60 60 602005Q1 60 ‐ 60 60 60 60 12 60 60 60 60 ‐ ‐ ‐ 60 60 60 60 60 60 602005Q2 60 ‐ 60 60 60 60 15 60 60 60 60 ‐ ‐ ‐ 60 60 60 60 60 60 602005Q3 60 ‐ 60 60 60 60 18 60 60 60 60 ‐ ‐ ‐ 60 60 60 60 60 60 602005Q4 60 ‐ 60 60 60 60 21 60 60 60 60 ‐ ‐ ‐ 60 60 60 60 60 60 602006Q1 60 ‐ 60 60 60 60 23 60 60 60 60 ‐ ‐ ‐ 60 60 60 60 60 60 602006Q2 60 ‐ 60 60 60 60 26 60 60 60 60 ‐ ‐ ‐ 60 60 60 60 60 60 602006Q3 60 ‐ 60 60 60 60 29 60 60 60 60 ‐ ‐ ‐ 60 60 60 60 60 60 602006Q4 59 ‐ 59 59 59 59 59 59 58 59 59 ‐ ‐ 59 59 59 59 59 59 59 592007Q1 60 ‐ 60 60 60 60 60 60 60 60 60 ‐ ‐ 60 60 60 60 60 60 60 602007Q2 60 ‐ 60 60 60 60 60 60 60 60 60 ‐ ‐ 60 60 60 60 60 60 60 602007Q3 60 ‐ 60 60 60 60 60 60 60 60 60 ‐ ‐ 60 60 60 60 60 60 60 602007Q4 60 60 60 60 60 60 60 60 60 60 60 ‐ ‐ 60 60 60 60 60 60 60 602008Q1 60 60 60 60 60 60 60 60 60 60 60 ‐ ‐ 60 60 60 60 60 60 60 602008Q2 60 60 60 60 60 60 60 60 60 60 60 ‐ ‐ 60 60 60 60 60 60 60 602008Q3 60 60 60 60 60 60 60 60 60 60 60 ‐ ‐ 60 60 60 60 60 60 60 602008Q4 60 60 60 60 60 60 60 60 60 60 60 ‐ ‐ 60 60 60 60 60 60 60 602009Q1 60 60 60 60 60 60 60 60 60 60 60 ‐ ‐ 60 60 60 60 60 60 60 602009Q2 60 60 60 60 60 60 60 60 60 60 60 8 ‐ 60 60 60 60 60 60 60 602009Q3 60 60 60 60 60 60 60 60 60 60 60 11 ‐ 60 60 60 60 60 60 60 602009Q4 60 60 60 60 60 60 60 60 ‐ 60 60 14 ‐ 60 60 60 60 60 60 60 602010Q1 60 60 60 60 60 60 60 60 60 60 60 60 ‐ 60 60 60 60 60 60 60 602010Q2 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 602010Q3 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 602010Q4 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 602011Q1 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 602011Q2 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 602011Q3 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60

JSE CDE KIO LON MND MNP MSM MTN NED NPN OML REM RMH SAB SBK SHF SHP SLM SOL TBS TRU VOD WHL2001Q1 ‐ 60 ‐ ‐ 9 ‐ 60 60 21 ‐ 60 60 ‐ 31 60 29 60 60 35 ‐ 422001Q2 ‐ 60 ‐ ‐ 12 ‐ 60 60 24 ‐ 60 60 ‐ 34 60 32 60 60 38 ‐ 452001Q3 ‐ 60 ‐ ‐ 15 ‐ 60 60 27 60 60 60 ‐ 37 60 35 60 60 41 ‐ 482001Q4 ‐ 60 ‐ ‐ 18 ‐ 60 60 30 60 60 60 ‐ 40 60 38 60 60 44 ‐ 512002Q1 ‐ 60 ‐ ‐ 21 ‐ 60 60 33 60 60 60 ‐ 43 60 41 60 60 47 ‐ 542002Q2 ‐ 60 ‐ ‐ 25 ‐ 60 60 37 60 60 60 60 47 60 45 60 60 51 ‐ 582002Q3 ‐ 60 ‐ ‐ 27 ‐ 60 60 39 60 60 60 60 49 60 47 60 60 53 ‐ 602002Q4 ‐ 60 ‐ ‐ 30 60 60 60 42 60 60 60 60 52 60 50 60 60 56 ‐ 602003Q1 ‐ 60 ‐ ‐ 33 60 60 60 45 60 60 60 60 55 60 53 60 60 59 ‐ 602003Q2 ‐ 60 ‐ ‐ 36 60 60 60 48 34 60 60 60 58 60 55 60 60 60 ‐ 602003Q3 ‐ 60 ‐ ‐ 39 60 60 60 51 37 60 60 60 60 60 58 60 60 60 ‐ 602003Q4 ‐ 60 ‐ ‐ 42 60 60 60 54 40 60 60 60 60 60 60 60 60 60 ‐ 602004Q1 ‐ 60 ‐ ‐ 45 60 60 60 57 43 60 60 60 60 60 60 60 60 60 ‐ 602004Q2 ‐ 60 ‐ ‐ 48 60 60 60 60 46 60 60 60 60 60 60 60 60 60 ‐ 602004Q3 ‐ 60 ‐ ‐ 51 60 60 60 60 49 60 60 60 60 60 60 60 60 60 ‐ 602004Q4 ‐ 60 ‐ ‐ 54 60 60 60 60 52 60 60 60 60 60 60 60 60 60 ‐ 602005Q1 ‐ 60 ‐ ‐ 57 60 60 60 60 55 60 60 60 60 60 60 60 60 60 ‐ 602005Q2 ‐ 60 ‐ ‐ 60 60 60 60 60 58 60 60 60 60 60 60 60 60 60 ‐ 602005Q3 ‐ 60 ‐ ‐ 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 ‐ 602005Q4 ‐ 60 ‐ ‐ 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 ‐ 602006Q1 ‐ 60 ‐ ‐ 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 ‐ 602006Q2 ‐ 60 ‐ ‐ 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 ‐ 602006Q3 ‐ 60 ‐ ‐ 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 ‐ 602006Q4 59 59 ‐ ‐ 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 ‐ 592007Q1 60 60 ‐ ‐ 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 ‐ 602007Q2 ‐ 60 60 ‐ 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 ‐ 602007Q3 10 60 60 ‐ 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 ‐ 602007Q4 13 60 60 ‐ 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 ‐ 602008Q1 16 60 8 8 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 ‐ 602008Q2 19 60 11 11 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 ‐ 602008Q3 22 60 14 14 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 ‐ 602008Q4 25 60 17 17 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 ‐ 602009Q1 28 60 20 20 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 ‐ 602009Q2 31 60 23 23 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 ‐ 602009Q3 34 60 26 26 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 19 602009Q4 37 60 29 29 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 7 602010Q1 40 60 32 32 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 10 602010Q2 43 60 35 35 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 13 602010Q3 46 60 38 38 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 16 602010Q4 49 60 41 41 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 19 602011Q1 52 60 44 44 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 22 602011Q2 55 60 47 47 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 25 602011Q3 58 60 50 50 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 28 60

Copyright UCT

87

Table24:CadizFSGR²valuesofbetaregressions(2001Q1to2011Q3)

 

JSE CDE ABL ACL AGL AMS ANG APN ARI ASA ASR BIL BVT CFR CSO EXX FSR GFI GRT HAR IMP INL INP2001Q1 0.22 ‐ 0.55 0.19 0.12 0.00 ‐ 0.54 0.11 0.45 0.49 ‐ ‐ ‐ 0.44 0.12 0.02 0.10 0.18 ‐ ‐2001Q2 0.22 ‐ 0.55 0.24 0.15 0.00 ‐ 0.54 0.11 0.44 0.53 ‐ ‐ ‐ 0.45 0.12 0.02 0.10 0.21 ‐ ‐2001Q3 0.22 ‐ 0.57 0.27 0.15 0.00 ‐ 0.53 0.10 0.46 0.54 ‐ ‐ ‐ 0.47 0.12 0.02 0.08 0.24 ‐ ‐2001Q4 0.21 ‐ 0.59 0.30 0.17 0.00 ‐ 0.49 0.08 0.49 0.49 ‐ ‐ ‐ 0.42 0.14 0.02 0.11 0.28 ‐ ‐2002Q1 0.19 ‐ 0.59 0.29 0.16 0.00 ‐ 0.47 0.10 0.49 0.49 ‐ ‐ ‐ 0.44 0.12 0.02 0.11 0.28 ‐ ‐2002Q2 0.20 ‐ 0.64 0.33 0.23 0.00 ‐ 0.42 0.09 0.53 0.49 ‐ ‐ ‐ 0.41 0.15 0.02 0.16 0.33 0.43 ‐2002Q3 0.19 ‐ 0.63 0.33 0.21 0.00 ‐ 0.41 0.09 0.52 0.53 ‐ ‐ ‐ 0.42 0.15 0.03 0.15 0.32 0.42 ‐2002Q4 0.21 ‐ 0.63 0.33 0.19 0.00 ‐ 0.41 0.09 0.54 0.52 ‐ ‐ ‐ 0.41 0.14 ‐ 0.12 0.33 0.43 ‐2003Q1 0.17 ‐ 0.65 0.35 0.21 0.00 ‐ 0.41 0.07 0.55 0.51 ‐ ‐ ‐ 0.49 0.16 0.02 0.13 0.34 0.46 0.062003Q2 0.20 ‐ 0.64 0.39 0.20 0.05 ‐ 0.41 0.07 0.55 0.47 ‐ ‐ ‐ 0.45 0.20 0.02 0.16 0.35 0.45 0.472003Q3 0.06 ‐ 0.65 0.53 0.24 0.04 ‐ 0.21 0.06 0.56 0.32 ‐ ‐ ‐ 0.29 0.15 0.00 0.14 0.48 0.26 0.292003Q4 0.08 ‐ 0.65 0.54 0.20 0.04 ‐ 0.22 0.06 0.59 0.33 ‐ ‐ ‐ 0.28 0.13 0.00 0.16 0.50 0.27 0.292004Q1 0.07 ‐ 0.68 0.56 0.18 0.04 ‐ 0.22 0.07 0.58 0.31 ‐ ‐ ‐ 0.30 0.14 0.00 0.14 0.50 0.29 0.322004Q2 0.05 ‐ 0.72 0.58 0.17 0.04 ‐ 0.18 0.08 0.61 0.27 ‐ ‐ ‐ 0.25 0.14 0.00 0.16 0.59 0.27 0.292004Q3 0.05 ‐ 0.75 0.58 0.24 0.05 ‐ 0.20 0.01 0.61 0.28 ‐ ‐ ‐ 0.26 0.19 0.00 0.21 0.58 0.26 0.282004Q4 0.05 ‐ 0.74 0.58 0.27 0.06 0.58 0.19 0.01 0.58 0.24 ‐ ‐ ‐ 0.22 0.18 0.02 0.20 0.59 0.23 0.252005Q1 0.05 ‐ 0.74 0.59 0.27 0.05 0.43 0.18 0.02 0.56 0.22 ‐ ‐ ‐ 0.22 0.21 0.06 0.21 0.57 0.24 0.262005Q2 0.09 ‐ 0.76 0.62 0.31 0.06 0.59 0.18 0.02 0.58 0.22 ‐ ‐ ‐ 0.24 0.26 0.05 0.25 0.58 0.25 0.282005Q3 0.10 ‐ 0.77 0.62 0.34 0.07 0.58 0.16 0.00 0.63 0.25 ‐ ‐ ‐ 0.25 0.26 0.05 0.26 0.55 0.26 0.282005Q4 0.08 ‐ 0.75 0.63 0.34 0.06 0.53 0.14 0.01 0.61 0.23 ‐ ‐ ‐ 0.28 0.25 0.06 0.26 0.59 0.25 0.272006Q1 0.10 ‐ 0.75 0.61 0.36 0.09 0.59 0.16 0.00 0.67 0.24 ‐ ‐ ‐ 0.29 0.27 0.05 0.31 0.58 0.21 0.232006Q2 0.11 ‐ 0.74 0.57 0.34 0.07 0.57 0.15 0.00 0.66 0.24 ‐ ‐ ‐ 0.27 0.29 0.04 0.33 0.56 0.21 0.242006Q3 0.09 ‐ 0.72 0.57 0.35 0.07 0.47 0.15 0.00 0.65 0.20 ‐ ‐ ‐ 0.23 0.34 0.03 0.42 0.53 0.14 0.172006Q4 0.12 ‐ 0.69 0.53 0.33 0.12 0.35 0.21 0.01 0.58 0.25 ‐ ‐ 0.41 0.30 0.34 0.07 0.41 0.48 0.19 0.212007Q1 0.17 ‐ 0.70 0.52 0.32 0.12 0.33 0.22 0.01 0.58 0.25 ‐ ‐ 0.26 0.30 0.36 0.07 0.41 0.47 0.24 0.262007Q2 0.22 ‐ 0.69 0.51 0.31 0.12 0.31 0.26 0.01 0.54 0.25 ‐ ‐ 0.26 0.32 0.36 0.07 0.42 0.48 0.27 0.292007Q3 0.20 ‐ 0.63 0.46 0.29 0.11 0.39 0.21 0.01 0.51 0.20 ‐ ‐ 0.26 0.25 0.39 0.06 0.43 0.44 0.26 0.262007Q4 0.22 0.43 0.62 0.46 0.32 0.13 0.40 0.25 0.02 0.52 0.21 ‐ ‐ 0.38 0.30 0.47 0.08 0.46 0.43 0.28 0.282008Q1 0.29 0.41 0.66 0.41 0.21 0.09 0.42 0.29 0.05 0.53 0.28 ‐ ‐ 0.20 0.35 0.29 0.16 0.43 0.35 0.15 0.152008Q2 0.26 0.45 0.58 0.33 0.20 0.10 0.38 0.29 0.07 0.50 0.30 ‐ ‐ 0.15 0.46 0.21 0.20 0.34 0.25 0.19 0.172008Q3 0.20 0.48 0.67 0.44 0.21 0.03 0.48 0.11 0.15 0.58 0.27 ‐ ‐ 0.26 0.20 0.14 0.09 0.22 0.39 0.21 0.212008Q4 0.16 0.53 0.66 0.48 0.20 0.06 0.56 0.11 0.17 0.57 0.24 0.40 ‐ 0.32 0.20 0.15 0.08 0.21 0.43 0.17 0.192009Q1 0.24 0.53 0.71 0.51 0.17 0.06 0.54 0.15 0.24 0.61 0.35 0.36 ‐ 0.30 0.27 0.12 0.11 0.12 0.45 0.27 0.282009Q2 0.20 0.56 0.68 0.52 0.19 0.05 0.50 0.15 0.24 0.60 0.34 0.60 ‐ 0.31 0.26 0.14 0.09 0.13 0.47 0.28 0.302009Q3 0.20 0.54 0.68 0.49 0.17 0.05 0.48 0.14 0.26 0.60 0.34 0.63 ‐ 0.36 0.26 0.10 0.09 0.10 0.47 0.31 0.342009Q4 0.17 0.51 0.72 0.55 0.19 0.04 0.51 0.11 ‐ 0.65 0.29 0.58 ‐ 0.34 0.22 0.12 0.05 0.11 0.49 0.29 0.312010Q1 0.21 0.42 0.70 0.53 0.17 0.08 0.49 0.14 0.28 0.63 0.37 0.53 ‐ 0.33 0.27 0.12 0.08 0.10 0.48 0.33 0.352010Q2 0.24 0.44 0.70 0.52 0.12 0.10 0.48 0.16 0.31 0.62 0.39 0.49 0.09 0.35 0.27 0.07 0.08 0.06 0.49 0.33 0.352010Q3 0.26 0.41 0.69 0.50 0.08 0.09 0.49 0.19 0.35 0.63 0.38 0.53 0.13 0.31 0.28 0.04 0.10 0.03 0.50 0.33 0.352010Q4 0.25 0.40 0.70 0.51 0.07 0.08 0.51 0.18 0.34 0.63 0.38 0.48 0.12 0.33 0.26 0.03 0.09 0.03 0.51 0.32 0.132011Q1 0.24 0.37 0.71 0.50 0.04 0.05 0.49 0.17 0.43 0.61 0.37 0.28 0.12 0.30 0.25 0.02 0.09 0.01 0.50 0.33 0.342011Q2 0.23 0.37 0.71 0.52 0.05 0.05 0.50 0.18 0.45 0.62 0.39 0.27 0.12 0.30 0.26 0.01 0.11 0.00 0.52 0.33 0.342011Q3 0.26 0.36 0.70 0.52 0.04 0.06 0.50 0.18 0.45 0.63 0.38 0.27 0.11 0.31 0.27 0.01 0.10 0.01 0.52 0.34 0.37

JSE CDE KIO LON MND MNP MSM MTN NED NPN OML REM RMH SAB SBK SHF SHP SLM SOL TBS TRU VOD WHL2001Q1 ‐ 0.21 ‐ ‐ 0.07 ‐ 0.49 0.27 0.77 ‐ 0.40 0.56 ‐ 0.15 0.21 0.29 0.34 0.34 0.38 ‐ 0.212001Q2 ‐ 0.21 ‐ ‐ 0.01 ‐ 0.49 0.26 0.67 ‐ 0.40 0.56 ‐ 0.16 0.18 0.26 0.34 0.33 0.36 ‐ 0.212001Q3 ‐ 0.25 ‐ ‐ 0.01 ‐ 0.51 0.29 0.65 0.45 0.41 0.55 ‐ 0.14 0.19 0.30 0.36 0.31 0.31 ‐ 0.202001Q4 ‐ 0.28 ‐ ‐ 0.01 ‐ 0.43 0.29 0.51 0.42 0.38 0.58 ‐ 0.15 0.19 0.25 0.37 0.30 0.26 ‐ 0.202002Q1 ‐ 0.28 ‐ ‐ 0.01 ‐ 0.44 0.27 0.46 0.41 0.38 0.58 ‐ 0.15 0.19 0.23 0.40 0.29 0.27 ‐ 0.202002Q2 ‐ 0.32 ‐ ‐ 0.01 ‐ 0.39 0.24 0.46 0.40 0.36 0.57 0.42 0.16 0.20 0.20 0.42 0.27 0.23 ‐ 0.182002Q3 ‐ 0.30 ‐ ‐ 0.01 ‐ 0.40 0.23 0.44 0.39 0.39 0.57 0.42 0.17 0.24 0.21 0.42 0.26 0.23 ‐ 0.172002Q4 ‐ 0.30 ‐ ‐ 0.01 0.33 0.41 0.22 0.40 0.39 0.39 0.57 0.42 0.16 0.22 0.21 0.44 0.26 0.23 ‐ 0.162003Q1 ‐ 0.34 ‐ ‐ 0.02 0.31 0.43 0.24 0.43 0.45 0.56 0.55 0.43 0.20 0.22 0.24 0.48 0.29 0.22 ‐ 0.182003Q2 ‐ 0.38 ‐ ‐ 0.03 0.30 0.36 0.22 0.39 0.33 0.51 0.52 0.44 0.26 0.15 0.24 0.46 0.23 0.18 ‐ 0.182003Q3 ‐ 0.48 ‐ ‐ 0.03 0.14 0.19 0.18 0.39 0.28 0.32 0.42 0.26 0.33 0.05 0.23 0.42 0.12 0.10 ‐ 0.122003Q4 ‐ 0.50 ‐ ‐ 0.04 0.16 0.13 0.19 0.40 0.30 0.32 0.43 0.36 0.39 0.04 0.30 0.45 0.13 0.08 ‐ 0.092004Q1 ‐ 0.50 ‐ ‐ 0.03 0.16 0.13 0.19 0.40 0.31 0.37 0.49 0.39 0.39 0.05 0.29 0.42 0.15 0.08 ‐ 0.072004Q2 ‐ 0.48 ‐ ‐ 0.03 0.16 0.11 0.16 0.39 0.30 0.34 0.48 0.36 0.37 0.05 0.29 0.38 0.13 0.05 ‐ 0.122004Q3 ‐ 0.51 ‐ ‐ 0.03 0.16 0.10 0.16 0.41 0.30 0.33 0.47 0.35 0.36 0.06 0.28 0.41 0.14 0.08 ‐ 0.132004Q4 ‐ 0.50 ‐ ‐ 0.04 0.12 0.07 0.18 0.37 0.31 0.30 0.46 0.32 0.32 0.03 0.26 0.38 0.11 0.06 ‐ 0.172005Q1 ‐ 0.53 ‐ ‐ 0.05 0.18 0.07 0.21 0.38 0.28 0.28 0.46 0.29 0.35 0.03 0.24 0.36 0.11 0.04 ‐ 0.162005Q2 ‐ 0.54 ‐ ‐ 0.03 0.18 0.07 0.22 0.36 0.31 0.29 0.53 0.29 0.34 0.03 0.23 0.41 0.15 0.04 ‐ 0.162005Q3 ‐ 0.56 ‐ ‐ 0.03 0.21 0.08 0.22 0.31 0.32 0.29 0.55 0.26 0.37 0.03 0.21 0.41 0.23 0.04 ‐ 0.142005Q4 ‐ 0.53 ‐ ‐ 0.03 0.20 0.10 0.20 0.29 0.35 0.31 0.53 0.27 0.37 0.03 0.23 0.43 0.28 0.04 ‐ 0.152006Q1 ‐ 0.50 ‐ ‐ 0.05 0.17 0.07 0.19 0.31 0.30 0.31 0.51 0.29 0.41 0.03 0.24 0.51 0.27 0.05 ‐ 0.172006Q2 ‐ 0.48 ‐ ‐ 0.08 0.16 0.07 0.21 0.32 0.28 0.29 0.52 0.28 0.41 0.06 0.24 0.50 0.26 0.06 ‐ 0.162006Q3 ‐ 0.47 ‐ ‐ 0.08 0.11 0.05 0.14 0.30 0.27 0.26 0.48 0.25 0.47 0.05 0.18 0.49 0.26 0.09 ‐ 0.152006Q4 0.58 0.42 ‐ ‐ 0.11 0.18 0.07 0.16 0.32 0.37 0.32 0.41 0.31 0.46 0.07 0.20 0.47 0.34 0.16 ‐ 0.202007Q1 0.26 0.42 ‐ ‐ 0.12 0.20 0.07 0.20 0.31 0.37 0.32 0.40 0.33 0.42 0.07 0.23 0.47 0.35 0.16 ‐ 0.202007Q2 ‐ 0.43 0.28 ‐ 0.13 0.18 0.08 0.29 0.31 0.38 0.34 0.41 0.36 0.44 0.07 0.24 0.48 0.34 0.20 ‐ 0.202007Q3 0.11 0.37 0.21 ‐ 0.11 0.17 0.07 0.29 0.26 0.34 0.27 0.30 0.28 0.35 0.06 0.19 0.48 0.36 0.20 ‐ 0.172007Q4 0.10 0.37 0.18 ‐ 0.13 0.25 0.08 0.36 0.29 0.30 0.31 0.29 0.30 0.35 0.05 0.20 0.46 0.38 0.24 ‐ 0.192008Q1 0.33 0.34 0.02 0.01 0.14 0.25 0.10 0.35 0.29 0.31 0.35 0.22 0.35 0.33 0.07 0.12 0.43 0.25 0.22 ‐ 0.262008Q2 0.36 0.24 0.00 0.01 0.17 0.32 0.17 0.37 0.37 0.30 0.40 0.21 0.38 0.31 0.17 0.15 0.38 0.33 0.23 ‐ 0.292008Q3 0.62 0.31 0.05 0.10 0.10 0.31 0.08 0.39 0.41 0.25 0.19 0.25 0.16 0.29 0.14 0.13 0.49 0.20 0.10 ‐ 0.162008Q4 0.63 0.35 0.03 0.08 0.04 0.29 0.15 0.37 0.45 0.22 0.18 0.25 0.22 0.25 0.12 0.14 0.51 0.16 0.05 ‐ 0.192009Q1 0.50 0.30 0.20 0.22 0.08 0.38 0.23 0.37 0.50 0.25 0.26 0.27 0.30 0.21 0.15 0.19 0.53 0.20 0.08 ‐ 0.202009Q2 0.53 0.29 0.29 0.30 0.08 0.36 0.20 0.37 0.48 0.23 0.23 0.32 0.26 0.24 0.16 0.19 0.56 0.36 0.09 ‐ 0.182009Q3 0.52 0.29 0.30 0.36 0.05 0.36 0.23 0.39 0.49 0.23 0.24 0.34 0.26 0.26 0.15 0.22 0.54 0.19 0.08 0.02 0.202009Q4 0.47 0.31 0.29 0.34 0.02 0.32 0.18 0.36 0.44 0.19 0.19 0.33 0.22 0.23 0.12 0.18 0.62 0.17 0.05 0.14 0.162010Q1 0.41 0.31 0.32 0.36 0.05 0.33 0.24 0.42 0.47 0.25 0.24 0.36 0.25 0.27 0.12 0.20 0.60 0.17 0.07 0.01 0.222010Q2 0.43 0.33 0.33 0.37 0.06 0.35 0.26 0.42 0.49 0.23 0.23 0.32 0.27 0.29 0.12 0.23 0.61 0.16 0.07 0.03 0.212010Q3 0.44 0.33 0.34 0.38 0.07 0.34 0.26 0.47 0.54 0.24 0.25 0.30 0.30 0.27 0.13 0.30 0.61 0.16 0.08 0.04 0.202010Q4 0.44 0.36 0.33 0.37 0.06 0.32 0.22 0.47 0.52 0.24 0.23 0.33 0.28 0.27 0.12 0.29 0.62 0.15 0.05 0.06 0.192011Q1 0.43 0.37 0.32 0.36 0.06 0.32 0.22 0.45 0.47 0.31 0.21 0.33 0.25 0.25 0.11 0.28 0.61 0.11 0.05 0.09 0.172011Q2 0.43 0.38 0.32 0.36 0.06 0.34 0.23 0.45 0.47 0.33 0.23 0.33 0.25 0.25 0.10 0.31 0.60 0.11 0.05 0.10 0.182011Q3 0.43 0.40 0.32 0.37 0.06 0.34 0.23 0.47 0.47 0.35 0.23 0.34 0.26 0.24 0.11 0.31 0.62 0.12 0.06 0.08 0.17

Copyright UCT

88

Table25:CadizFSGstandarderrorsofbetaregressions(2001Q1to2011Q3)

 

JSE CDE ABL ACL AGL AMS ANG APN ARI ASA ASR BIL BVT CFR CSO EXX FSR GFI GRT HAR IMP INL INP2001Q1 0.33 ‐ 0.15 0.19 0.23 0.69 ‐ 0.17 0.27 0.20 0.13 ‐ ‐ ‐ 0.19 0.23 0.28 0.31 0.24 ‐ ‐2001Q2 0.33 ‐ 0.15 0.19 0.23 0.68 ‐ 0.17 0.26 0.19 0.11 ‐ ‐ ‐ 0.18 0.23 0.28 0.30 0.25 ‐ ‐2001Q3 0.32 ‐ 0.14 0.20 0.22 0.66 ‐ 0.16 0.26 0.18 0.11 ‐ ‐ ‐ 0.17 0.21 0.27 0.30 0.24 ‐ ‐2001Q4 0.31 ‐ 0.14 0.19 0.21 0.64 ‐ 0.16 0.26 0.17 0.11 ‐ ‐ ‐ 0.18 0.21 0.26 0.30 0.23 ‐ ‐2002Q1 0.32 ‐ 0.14 0.19 0.21 0.63 ‐ 0.17 0.26 0.16 0.11 ‐ ‐ ‐ 0.16 0.22 0.25 0.30 0.22 ‐ ‐2002Q2 0.29 ‐ 0.13 0.18 0.19 0.60 ‐ 0.17 0.25 0.15 0.10 ‐ ‐ ‐ 0.16 0.20 0.18 0.27 0.21 0.14 ‐2002Q3 0.30 ‐ 0.14 0.18 0.20 0.60 ‐ 0.17 0.24 0.15 0.10 ‐ ‐ ‐ 0.16 0.21 0.17 0.28 0.21 0.15 ‐2002Q4 0.26 ‐ 0.14 0.18 0.20 0.61 ‐ 0.17 0.24 0.14 0.10 ‐ ‐ ‐ 0.16 0.22 ‐ 0.28 0.22 0.15 ‐2003Q1 0.24 ‐ 0.13 0.19 0.19 0.61 ‐ 0.17 0.24 0.14 0.10 ‐ ‐ ‐ 0.14 0.22 0.17 0.24 0.22 0.14 0.742003Q2 0.24 ‐ 0.13 0.18 0.19 0.26 ‐ 0.17 0.22 0.14 0.10 ‐ ‐ ‐ 0.14 0.23 0.16 0.25 0.22 0.15 0.142003Q3 0.27 ‐ 0.15 0.20 0.21 0.31 ‐ 0.18 0.24 0.16 0.12 ‐ ‐ ‐ 0.15 0.27 0.17 0.29 0.23 0.17 0.172003Q4 0.27 ‐ 0.14 0.19 0.21 0.30 ‐ 0.18 0.27 0.16 0.13 ‐ ‐ ‐ 0.15 0.26 0.18 0.29 0.22 0.17 0.172004Q1 0.28 ‐ 0.12 0.19 0.21 0.21 ‐ 0.18 0.27 0.15 0.13 ‐ ‐ ‐ 0.15 0.26 0.18 0.30 0.22 0.18 0.172004Q2 0.29 ‐ 0.12 0.19 0.23 0.20 ‐ 0.19 0.28 0.14 0.14 ‐ ‐ ‐ 0.15 0.27 0.17 0.31 0.20 0.18 0.182004Q3 0.26 ‐ 0.11 0.19 0.20 0.19 ‐ 0.17 0.19 0.14 0.13 ‐ ‐ ‐ 0.14 0.25 0.14 0.28 0.20 0.18 0.182004Q4 0.27 ‐ 0.12 0.20 0.21 0.17 0.66 0.17 0.18 0.14 0.13 ‐ ‐ ‐ 0.15 0.26 0.16 0.30 0.21 0.19 0.192005Q1 0.28 ‐ 0.11 0.21 0.21 0.19 0.73 0.18 0.24 0.15 0.13 ‐ ‐ ‐ 0.15 0.25 0.15 0.30 0.21 0.19 0.192005Q2 0.24 ‐ 0.11 0.19 0.20 0.18 0.49 0.17 0.23 0.14 0.13 ‐ ‐ ‐ 0.14 0.24 0.14 0.30 0.20 0.19 0.192005Q3 0.23 ‐ 0.11 0.19 0.20 0.18 0.42 0.17 0.23 0.13 0.12 ‐ ‐ ‐ 0.14 0.25 0.14 0.32 0.21 0.19 0.192005Q4 0.23 ‐ 0.11 0.19 0.20 0.18 0.38 0.17 0.23 0.13 0.13 ‐ ‐ ‐ 0.14 0.25 0.14 0.32 0.20 0.19 0.192006Q1 0.22 ‐ 0.11 0.19 0.20 0.18 0.32 0.16 0.23 0.12 0.13 ‐ ‐ ‐ 0.14 0.26 0.14 0.33 0.19 0.18 0.182006Q2 0.23 ‐ 0.12 0.19 0.20 0.18 0.30 0.17 0.23 0.12 0.13 ‐ ‐ ‐ 0.14 0.26 0.15 0.33 0.18 0.19 0.182006Q3 0.25 ‐ 0.12 0.19 0.21 0.19 0.33 0.18 0.25 0.13 0.14 ‐ ‐ ‐ 0.15 0.27 0.16 0.32 0.19 0.19 0.192006Q4 0.28 ‐ 0.13 0.21 0.23 0.20 0.23 0.17 0.28 0.14 0.14 ‐ ‐ 0.25 0.15 0.28 0.16 0.34 0.21 0.21 0.212007Q1 0.25 ‐ 0.12 0.22 0.23 0.20 0.22 0.17 0.28 0.14 0.14 ‐ ‐ 0.32 0.15 0.25 0.16 0.33 0.20 0.19 0.192007Q2 0.21 ‐ 0.13 0.22 0.23 0.20 0.23 0.16 0.29 0.15 0.14 ‐ ‐ 0.32 0.15 0.25 0.16 0.33 0.20 0.18 0.182007Q3 0.23 ‐ 0.14 0.24 0.25 0.22 0.24 0.17 0.32 0.17 0.15 ‐ ‐ 0.35 0.16 0.27 0.18 0.37 0.21 0.19 0.202007Q4 0.23 0.24 0.14 0.24 0.24 0.22 0.24 0.16 0.32 0.17 0.16 ‐ ‐ 0.27 0.16 0.24 0.17 0.34 0.21 0.19 0.192008Q1 0.24 0.23 0.14 0.24 0.25 0.23 0.25 0.16 0.34 0.17 0.16 ‐ ‐ 0.29 0.17 0.27 0.17 0.36 0.21 0.19 0.202008Q2 0.25 0.24 0.15 0.24 0.27 0.24 0.27 0.17 0.38 0.18 0.17 ‐ ‐ 0.32 0.17 0.29 0.18 0.38 0.20 0.20 0.202008Q3 0.24 0.21 0.14 0.22 0.24 0.25 0.24 0.19 0.32 0.16 0.16 ‐ ‐ 0.29 0.20 0.28 0.18 0.38 0.18 0.19 0.192008Q4 0.23 0.22 0.15 0.24 0.24 0.24 0.23 0.18 0.32 0.15 0.15 0.12 ‐ 0.28 0.20 0.28 0.18 0.37 0.21 0.18 0.182009Q1 0.22 0.21 0.14 0.22 0.23 0.23 0.22 0.17 0.30 0.14 0.14 0.09 ‐ 0.26 0.19 0.27 0.16 0.38 0.21 0.19 0.192009Q2 0.21 0.20 0.14 0.22 0.25 0.23 0.23 0.17 0.30 0.14 0.14 0.54 ‐ 0.26 0.18 0.27 0.16 0.37 0.20 0.18 0.182009Q3 0.21 0.20 0.14 0.22 0.25 0.23 0.23 0.16 0.30 0.14 0.14 0.44 ‐ 0.09 0.18 0.26 0.16 0.38 0.20 0.19 0.192009Q4 0.20 0.19 0.13 0.19 0.23 0.22 0.21 0.16 ‐ 0.12 0.13 0.36 ‐ 0.24 0.18 0.24 0.15 0.35 0.19 0.18 0.182010Q1 0.20 0.22 0.14 0.21 0.24 0.22 0.22 0.16 0.26 0.13 0.13 0.12 ‐ 0.25 0.18 0.26 0.15 0.36 0.20 0.19 0.192010Q2 0.20 0.22 0.14 0.21 0.25 0.22 0.22 0.16 0.26 0.13 0.13 0.12 0.19 0.24 0.19 0.25 0.15 0.36 0.20 0.19 0.192010Q3 0.20 0.21 0.14 0.21 0.25 0.22 0.22 0.16 0.25 0.13 0.13 0.13 0.19 0.24 0.18 0.24 0.15 0.32 0.20 0.19 0.192010Q4 0.20 0.21 0.14 0.21 0.25 0.22 0.22 0.17 0.25 0.13 0.13 0.14 0.20 0.24 0.18 0.24 0.15 0.33 0.20 0.19 0.322011Q1 0.21 0.22 0.15 0.22 0.25 0.22 0.22 0.17 0.24 0.14 0.13 0.17 0.20 0.24 0.19 0.24 0.15 0.32 0.21 0.19 0.192011Q2 0.20 0.22 0.15 0.21 0.25 0.22 0.23 0.17 0.23 0.13 0.12 0.17 0.20 0.25 0.19 0.24 0.14 0.31 0.20 0.19 0.192011Q3 0.19 0.22 0.15 0.21 0.25 0.22 0.22 0.17 0.23 0.13 0.12 0.17 0.20 0.24 0.19 0.24 0.14 0.32 0.20 0.19 0.19

JSE CDE KIO LON MND MNP MSM MTN NED NPN OML REM RMH SAB SBK SHF SHP SLM SOL TBS TRU VOD WHL2001Q1 ‐ 0.17 ‐ ‐ 0.86 ‐ 0.13 0.27 0.14 ‐ 0.21 0.12 ‐ 0.28 0.20 0.25 0.20 0.14 0.40 ‐ 0.282001Q2 ‐ 0.17 ‐ ‐ 0.71 ‐ 0.13 0.26 0.14 ‐ 0.21 0.11 ‐ 0.26 0.20 0.24 0.20 0.14 0.38 ‐ 0.262001Q3 ‐ 0.17 ‐ ‐ 0.60 ‐ 0.12 0.27 0.14 0.13 0.20 0.11 ‐ 0.23 0.19 0.21 0.19 0.14 0.36 ‐ 0.252001Q4 ‐ 0.17 ‐ ‐ 0.48 ‐ 0.13 0.27 0.14 0.13 0.20 0.11 ‐ 0.22 0.18 0.20 0.19 0.14 0.35 ‐ 0.232002Q1 ‐ 0.17 ‐ ‐ 0.44 ‐ 0.13 0.27 0.14 0.13 0.20 0.11 ‐ 0.21 0.18 0.20 0.18 0.14 0.34 ‐ 0.232002Q2 ‐ 0.17 ‐ ‐ 0.39 ‐ 0.13 0.28 0.13 0.12 0.19 0.11 0.15 0.19 0.16 0.19 0.17 0.13 0.32 ‐ 0.212002Q3 ‐ 0.17 ‐ ‐ 0.37 ‐ 0.13 0.28 0.14 0.13 0.19 0.11 0.15 0.18 0.16 0.18 0.17 0.13 0.31 ‐ 0.212002Q4 ‐ 0.17 ‐ ‐ 0.36 0.24 0.13 0.29 0.15 0.13 0.19 0.11 0.15 0.18 0.16 0.18 0.17 0.13 0.30 ‐ 0.212003Q1 ‐ 0.17 ‐ ‐ 0.32 0.24 0.13 0.28 0.14 0.12 0.13 0.11 0.15 0.17 0.16 0.17 0.16 0.13 0.29 ‐ 0.212003Q2 ‐ 0.16 ‐ ‐ 0.29 0.25 0.14 0.29 0.14 0.15 0.13 0.11 0.15 0.16 0.17 0.16 0.16 0.13 0.27 ‐ 0.192003Q3 ‐ 0.17 ‐ ‐ 0.27 0.29 0.16 0.33 0.13 0.15 0.15 0.13 0.15 0.15 0.19 0.16 0.19 0.15 0.25 ‐ 0.212003Q4 ‐ 0.17 ‐ ‐ 0.26 0.29 0.15 0.34 0.13 0.14 0.14 0.13 0.12 0.14 0.19 0.15 0.19 0.14 0.21 ‐ 0.212004Q1 ‐ 0.17 ‐ ‐ 0.25 0.30 0.16 0.34 0.12 0.13 0.14 0.12 0.12 0.14 0.20 0.14 0.17 0.15 0.21 ‐ 0.202004Q2 ‐ 0.17 ‐ ‐ 0.24 0.31 0.16 0.35 0.12 0.13 0.14 0.12 0.12 0.15 0.18 0.14 0.17 0.14 0.20 ‐ 0.192004Q3 ‐ 0.17 ‐ ‐ 0.23 0.30 0.16 0.34 0.12 0.12 0.14 0.12 0.12 0.15 0.18 0.14 0.17 0.14 0.19 ‐ 0.192004Q4 ‐ 0.17 ‐ ‐ 0.23 0.27 0.17 0.32 0.12 0.12 0.14 0.12 0.13 0.15 0.18 0.15 0.18 0.15 0.20 ‐ 0.192005Q1 ‐ 0.17 ‐ ‐ 0.23 0.26 0.17 0.31 0.13 0.12 0.15 0.12 0.13 0.15 0.18 0.15 0.18 0.15 0.20 ‐ 0.192005Q2 ‐ 0.17 ‐ ‐ 0.22 0.25 0.17 0.30 0.13 0.11 0.14 0.10 0.12 0.15 0.17 0.15 0.17 0.14 0.19 ‐ 0.182005Q3 ‐ 0.16 ‐ ‐ 0.22 0.25 0.17 0.30 0.13 0.11 0.14 0.10 0.12 0.15 0.17 0.15 0.16 0.13 0.17 ‐ 0.162005Q4 ‐ 0.17 ‐ ‐ 0.21 0.23 0.17 0.28 0.13 0.10 0.14 0.10 0.12 0.15 0.17 0.15 0.16 0.12 0.17 ‐ 0.142006Q1 ‐ 0.18 ‐ ‐ 0.19 0.23 0.17 0.27 0.13 0.10 0.13 0.10 0.12 0.15 0.17 0.15 0.15 0.12 0.16 ‐ 0.132006Q2 ‐ 0.19 ‐ ‐ 0.19 0.23 0.18 0.27 0.14 0.10 0.14 0.10 0.13 0.15 0.17 0.15 0.16 0.13 0.18 ‐ 0.142006Q3 ‐ 0.20 ‐ ‐ 0.19 0.23 0.18 0.25 0.14 0.11 0.15 0.11 0.13 0.15 0.18 0.17 0.16 0.13 0.18 ‐ 0.152006Q4 0.14 0.21 ‐ ‐ 0.21 0.24 0.20 0.25 0.16 0.11 0.15 0.12 0.13 0.17 0.20 0.17 0.17 0.14 0.19 ‐ 0.172007Q1 0.32 0.21 ‐ ‐ 0.20 0.23 0.19 0.23 0.16 0.11 0.14 0.12 0.13 0.17 0.19 0.16 0.17 0.13 0.18 ‐ 0.172007Q2 ‐ 0.21 0.19 ‐ 0.19 0.24 0.19 0.18 0.16 0.11 0.14 0.12 0.12 0.18 0.19 0.17 0.17 0.14 0.18 ‐ 0.172007Q3 1.52 0.24 0.22 ‐ 0.22 0.24 0.20 0.19 0.16 0.13 0.15 0.13 0.14 0.21 0.21 0.18 0.18 0.15 0.20 ‐ 0.202007Q4 0.79 0.24 0.22 ‐ 0.21 0.20 0.20 0.19 0.15 0.13 0.16 0.13 0.14 0.21 0.20 0.17 0.18 0.15 0.20 ‐ 0.202008Q1 0.45 0.24 0.59 0.72 0.22 0.20 0.21 0.19 0.17 0.13 0.16 0.14 0.15 0.21 0.21 0.18 0.18 0.16 0.20 ‐ 0.212008Q2 0.40 0.24 0.60 0.65 0.23 0.21 0.21 0.20 0.17 0.14 0.17 0.15 0.16 0.22 0.20 0.20 0.19 0.16 0.22 ‐ 0.222008Q3 0.30 0.27 0.45 0.57 0.22 0.19 0.19 0.18 0.15 0.12 0.19 0.14 0.17 0.20 0.18 0.17 0.16 0.17 0.22 ‐ 0.212008Q4 0.32 0.30 0.47 0.55 0.23 0.18 0.18 0.17 0.15 0.12 0.19 0.13 0.17 0.23 0.18 0.17 0.15 0.16 0.22 ‐ 0.202009Q1 0.31 0.30 0.44 0.48 0.21 0.17 0.17 0.15 0.15 0.11 0.18 0.13 0.17 0.22 0.17 0.16 0.14 0.15 0.21 ‐ 0.192009Q2 0.28 0.30 0.40 0.43 0.20 0.17 0.17 0.15 0.16 0.11 0.18 0.13 0.17 0.22 0.16 0.15 0.14 0.09 0.20 ‐ 0.182009Q3 0.27 0.30 0.35 0.39 0.21 0.16 0.17 0.15 0.16 0.11 0.17 0.13 0.17 0.22 0.16 0.14 0.14 0.15 0.19 0.45 0.182009Q4 0.26 0.28 0.32 0.35 0.19 0.15 0.16 0.14 0.16 0.11 0.17 0.13 0.16 0.21 0.15 0.14 0.12 0.14 0.18 0.61 0.182010Q1 0.27 0.29 0.32 0.35 0.20 0.16 0.16 0.14 0.17 0.11 0.17 0.13 0.17 0.22 0.16 0.14 0.12 0.14 0.19 0.43 0.182010Q2 0.26 0.29 0.30 0.32 0.20 0.16 0.16 0.15 0.16 0.11 0.18 0.13 0.17 0.22 0.16 0.14 0.12 0.14 0.19 0.35 0.192010Q3 0.24 0.29 0.28 0.30 0.20 0.16 0.16 0.15 0.16 0.11 0.18 0.13 0.17 0.21 0.16 0.14 0.12 0.14 0.20 0.30 0.182010Q4 0.23 0.28 0.26 0.29 0.20 0.16 0.17 0.15 0.16 0.11 0.18 0.13 0.17 0.22 0.16 0.13 0.11 0.14 0.20 0.31 0.182011Q1 0.22 0.28 0.26 0.28 0.21 0.17 0.17 0.16 0.17 0.11 0.19 0.13 0.18 0.22 0.17 0.14 0.11 0.14 0.21 0.30 0.202011Q2 0.22 0.28 0.25 0.27 0.20 0.17 0.17 0.16 0.17 0.11 0.19 0.13 0.18 0.22 0.17 0.13 0.11 0.14 0.20 0.28 0.192011Q3 0.21 0.28 0.24 0.26 0.20 0.17 0.17 0.15 0.17 0.11 0.19 0.13 0.18 0.22 0.17 0.14 0.11 0.14 0.20 0.28 0.20

Copyright UCT

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Table26:CadizFSGpercentageofdaystraded(2001Q1to2011Q3)

JSE CDE ABL ACL AGL AMS ANG APN ARI ASA ASR BIL BVT CFR CSO EXX FSR GFI GRT HAR IMP INL INP2001Q1 ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐2001Q2 ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐2001Q3 ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐2001Q4 ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐2002Q1 ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐2002Q2 ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐2002Q3 ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐2002Q4 ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐2003Q1 ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐2003Q2 ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐2003Q3 100% ‐ 100% 100% 100% 99% ‐ 100% 18% 100% 100% ‐ ‐ ‐ 100% 100% 60% 100% 100% 100% 100%2003Q4 100% ‐ 100% 100% 100% 98% ‐ 100% 18% 100% 100% ‐ ‐ ‐ 100% 100% 59% 100% 100% 100% 100%2004Q1 100% ‐ 100% 100% 100% 98% ‐ 100% 20% 100% 100% ‐ ‐ ‐ 100% 100% 63% 100% 100% 100% 100%2004Q2 100% ‐ 100% 100% 100% 98% ‐ 100% 20% 100% 100% ‐ ‐ ‐ 100% 100% 64% 100% 100% 100% 100%2004Q3 100% ‐ 100% 100% 100% 98% ‐ 100% 21% 100% 100% ‐ ‐ ‐ 100% 100% 66% 100% 100% 100% 100%2004Q4 100% ‐ 100% 100% 100% 99% 96% 100% 20% 100% 100% ‐ ‐ ‐ 100% 100% 69% 100% 100% 100% 100%2005Q1 100% ‐ 100% 100% 100% 99% 97% 100% 20% 100% 100% ‐ ‐ ‐ 100% 100% 73% 100% 100% 100% 100%2005Q2 100% ‐ 100% 100% 100% 99% 97% 100% 22% 100% 100% ‐ ‐ ‐ 100% 100% 77% 100% 100% 100% 100%2005Q3 99% ‐ 100% 100% 100% 99% 96% 100% 24% 100% 100% ‐ ‐ ‐ 100% 100% 80% 100% 100% 99% 99%2005Q4 100% ‐ 100% 100% 100% 99% 97% 100% 26% 100% 100% ‐ ‐ ‐ 100% 100% 85% 100% 100% 100% 100%2006Q1 99% ‐ 99% 99% 99% 99% 97% 99% 28% 99% 99% ‐ ‐ ‐ 99% 99% 88% 99% 99% 99% 99%2006Q2 100% ‐ 100% 100% 100% 99% 97% 100% 31% 100% 100% ‐ ‐ ‐ 100% 100% 91% 100% 100% 100% 100%2006Q3 100% ‐ 100% 100% 100% 99% 97% 100% 33% 100% 100% ‐ ‐ ‐ 100% 100% 93% 100% 100% 100% 100%2006Q4 100% ‐ 100% 100% 100% 100% 89% 100% 37% 100% 100% ‐ ‐ 91% 100% 100% 95% 100% 100% 100% 100%2007Q1 100% ‐ 100% 100% 100% 100% 99% 100% 38% 100% 100% ‐ ‐ 92% 100% 100% 95% 100% 100% 100% 100%2007Q2 100% ‐ 100% 100% 100% 100% 99% 100% 38% 100% 100% ‐ ‐ 92% 100% 100% 95% 100% 100% 100% 100%2007Q3 100% ‐ 100% 100% 100% 100% 99% 100% 40% 100% 100% ‐ ‐ 93% 100% 100% 96% 100% 100% 100% 100%2007Q4 100% 95% 100% 100% 100% 100% 99% 100% 42% 100% 100% ‐ ‐ 93% 100% 100% 96% 100% 100% 100% 100%2008Q1 100% 95% 100% 100% 100% 100% 99% 100% 44% 100% 100% ‐ ‐ 93% 100% 100% 96% 100% 100% 100% 100%2008Q2 100% 95% 100% 100% 100% 100% 99% 100% 46% 100% 100% ‐ ‐ 93% 100% 100% 96% 100% 100% 100% 100%2008Q3 100% 95% 100% 100% 100% 100% 99% 100% 49% 100% 100% ‐ ‐ 94% 100% 100% 97% 100% 100% 100% 100%2008Q4 100% 96% 100% 100% 100% 100% 99% 100% 51% 100% 100% 100% ‐ 94% 100% 100% 98% 100% 100% 100% 100%2009Q1 100% 96% 100% 100% 100% 100% 99% 100% 53% 100% 100% ‐ ‐ 94% 100% 100% 99% 100% 100% 100% 100%2009Q2 100% 96% 100% 100% 100% 100% 99% 100% 56% 100% 100% 100% ‐ 95% 100% 100% 99% 100% 100% 100% 100%2009Q3 100% 100% 100% 100% 100% 100% 99% 100% 59% 100% 100% 100% ‐ 96% 100% 100% 100% 100% 100% 100% 100%2009Q4 100% 100% 100% 100% 100% 100% 99% 100% ‐ 100% 100% 100% ‐ 96% 100% 100% 100% 100% 100% 100% 100%2010Q1 100% 100% 100% 100% 100% 100% 99% 100% 65% 100% 100% 99% ‐ 96% 100% 100% 100% 100% 100% 100% 100%2010Q2 100% 100% 100% 100% 100% 100% 99% 100% 68% 100% 100% 99% 100% 97% 100% 100% 100% 100% 100% 100% 100%2010Q3 100% 98% 100% 100% 100% 100% 100% 100% 70% 100% 100% 98% 97% 97% 100% 100% 100% 100% 100% 100% 100%2010Q4 100% 98% 100% 100% 100% 100% 100% 100% 73% 100% 100% 99% 97% 97% 100% 100% 100% 100% 100% 100% 100%2011Q1 100% 100% 100% 100% 100% 100% 100% 100% 76% 100% 100% 99% 97% 99% 100% 100% 100% 100% 100% 100% 100%2011Q2 100% 100% 100% 100% 100% 100% 100% 100% 78% 100% 100% 99% 97% 99% 100% 100% 100% 100% 100% 100% 100%2011Q3 100% 100% 100% 100% 100% 100% 100% 100% 81% 100% 100% 99% 97% 99% 100% 100% 100% 100% 100% 100% 100%

JSE CDE KIO LON MND MNP MSM MTN NED NPN OML REM RMH SAB SBK SHF SHP SLM SOL TBS TRU VOD WHL2001Q1 ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐2001Q2 ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐2001Q3 ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐2001Q4 ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐2002Q1 ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐2002Q2 ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐2002Q3 ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐2002Q4 ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐2003Q1 ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐2003Q2 ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐2003Q3 ‐ 81% ‐ ‐ 92% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% ‐ 100%2003Q4 ‐ 83% ‐ ‐ 93% 100% 100% 100% 100% 100% 100% 100% 100% 99% 100% 100% 100% 100% 100% ‐ 100%2004Q1 ‐ 83% ‐ ‐ 93% 100% 100% 100% 100% 100% 100% 100% 100% 99% 100% 100% 100% 100% 100% ‐ 100%2004Q2 ‐ 83% ‐ ‐ 93% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% ‐ 100%2004Q3 ‐ 83% ‐ ‐ 93% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% ‐ 100%2004Q4 ‐ 82% ‐ ‐ 94% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% ‐ 100%2005Q1 ‐ 81% ‐ ‐ 94% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% ‐ 100%2005Q2 ‐ 82% ‐ ‐ 95% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% ‐ 100%2005Q3 ‐ 82% ‐ ‐ 95% 100% 100% 100% 100% 100% 100% 100% 100% 99% 99% 100% 100% 100% 99% ‐ 99%2005Q4 ‐ 83% ‐ ‐ 97% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% ‐ 100%2006Q1 ‐ 83% ‐ ‐ 97% 99% 99% 99% 99% 99% 99% 99% 99% 99% 99% 99% 99% 99% 99% ‐ 99%2006Q2 ‐ 84% ‐ ‐ 98% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% ‐ 100%2006Q3 ‐ 86% ‐ ‐ 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 99% 100% 100% 100% 100% ‐ 100%2006Q4 100% 88% ‐ ‐ 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% ‐ 100%2007Q1 92% 89% ‐ ‐ 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% ‐ 100%2007Q2 ‐ 90% 100% ‐ 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% ‐ 100%2007Q3 100% 90% 100% ‐ 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% ‐ 100%2007Q4 100% 91% 100% ‐ 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% ‐ 100%2008Q1 100% 91% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% ‐ 100%2008Q2 100% 91% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% ‐ 100%2008Q3 100% 92% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% ‐ 100%2008Q4 100% 93% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% ‐ 100%2009Q1 100% 94% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% ‐ 100%2009Q2 100% 94% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% ‐ 100%2009Q3 100% 94% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%2009Q4 100% 95% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%2010Q1 100% 96% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%2010Q2 100% 96% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%2010Q3 100% 97% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%2010Q4 100% 97% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%2011Q1 100% 98% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%2011Q2 100% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%2011Q3 100% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%