The effectiveness of a Technical Analysis strategy versus a Buy-and-hold strategy on the FTSE/JSE Top 40 Index shares of the JSE Ltd: The case of the Moving
Average Convergence Divergence Indicator
by
Anton Wouter Du Plessis
MINOR DISSERTATION
submitted in partial fulfilment of the requirements for the degree
MAGISTER COMMERCII
in
FINANCIAL MANAGEMENT
in the
FACULTY OF ECONOMIC AND FINANCIAL SCIENCES
at the
UNIVERSITY OF JOHANNESBURG
SUPERVISOR: Prof. R J Eiselen
CO-SUPERVISOR: Prof. G Els
OCTOBER 2012
II
Abstract This study compares two main investment strategies on the JSE Ltd for 2001 to 2010 on the FTSE/JSE Top 40 Index shares. The one strategy is the Fundamental Analysis strategy (Buy-and-hold) and the other is the Technical Analysis (MACD). It was found that within the limitations of this study, the Buy-and-hold investment strategy is more effective than the MACD investment strategy.
Key words
Fundamental Analysis, Technical Analysis, Moving Averages, Moving Average Convergence Divergence (MACD), Buy-and-hold, value investing, JSE Ltd, FTSE/JSE Top 40 Index, share market, charts, Dow Theory, trends.
III
DECLARATION OF ORIGINAL WORK
I, Anton du Plessis, declare that this minor dissertation is my own unaided work. Any
assistance that I have received has been duly acknowledged in the dissertation. It is
submitted in partial fulfilment of the requirements for the degree of Master of
Commerce at the University of Johannesburg. It has not been submitted before for
any degree or examination at this or any other University.
___________________ __________________
Signature Date
IV
Acknowledgements Sometimes in life people inspire you without even knowing it. I would like to first of all thank my niece Antoinette Du Plessis for being an everyday inspiration to me. The way you live your life every day inspires me to achieve more.
I would also like to thank Prof. Reitte Eiselen for all her patience in helping me through this project. I know it has not been easy with me overseas for some of the time and her in the hospital for some of the time. Also thank you to Prof. Els for helping out at times.
I would like to thank my wife and family for putting up with me through what must have seemed like a never-ending journey.
Thank you.
V
TABLE OF CONTENTS Chapter 1
Introduction and background to the study
1.1 Introduction 1 1.2 Problem statement 5 1.3 Research question 5 1.4 Purpose of the study 6 1.5 Scope of the study 6 1.6 Proposed research methodology and analysis 9 1.7 Limitations of the study 9 1.8 Perceived significance of the study 10 1.9 Chapter outline 12
Chapter 2 Literature review
2.1 Introduction 13 2.1.1 Background 13
2.2 Types of investors 14 2.3 Fundamental Analysis 15
2.3.1 - Definition 15 2.3.2 - Factors determining the intrinsic value of a company 17 2.3.3 - Fundamental Analysis strategies 18
2.4 Technical Analysis 19 2.4.1 - Definition 19 2.4.2 - Underlying assumptions of Technical Analysis 20
2.5 Dow Theory 21 2.5.1 - Introduction 21 2.5.2 - Six assumptions of the Dow Theory 21
2.5.2.1 The averages discount everything 21 2.5.2.2 The market is made up of three trends 21 2.5.2.3 Primary trends have three phases 22 2.5.2.4 The averages must confirm each other 22 2.5.2.5 The volume confirms the trend 23 2.5.2.6 A trend remains intact until it gives a definite reversal signal 23
2.6 Components of Technical Analysis 23 2.7 Technical Analysis strategies 24
2.7.1 - Chart patterns 24 2.7.1.1 Chart types 25
2.7.2 - Trends 26 2.7.2.1 Moving Averages 26
VI
2.7.3 - Volume 27 2.7.4 - Technical Indicators 28
2.7.4.1 Momentum 28 2.7.4.2 Market Indicators 28 2.7.4.3 Other Technical methods 29
2.8 The MACD 29 2.8.1 - Introduction 29 2.8.2 - Working of the MACD’s signal 30 2.8.3 - False signals 32 2.8.4 - Variations 33 2.8.5 - Example calculations of MACD 33 2.8.6 - Challenges of the MACD 36
2.9 The Fundamental / Technical Analysis debate 36 2.10 Chapter summary 37
CHAPTER 3 Research methodology
3.1 Introduction 38 3.2 Research question and objectives 38 3.3 Scope of the research study 39 3.4 Research design and strategy 39 3.5 Sampling strategy 40 3.6 Data collection method 41 3.7 Data to be collected 41 3.8 Data analysis 41
3.8.1 - Applying signals to the data 42 3.8.2 - Dividend addition data analysis 44 3.8.3 - Transactional history 45
3.8.3.1 Buy-and-hold from day 1 (BH0) 45 3.8.3.2 Buy-and-hold from first MACD signal (BH1) 46 3.8.3.3 MACD strategy (MACD) 48
3.8.4 - Control sheet 49 3.8.5 - T-tests performed on investment methods 53
3.9 Validity and reliability of data 58 3.9.1 - Validity of measurement 58 3.9.2 - Reliability 58 3.10 Ethical considerations 58 3.11 Limitations 59 3.12 Chapter summary 61
Chapter 4 Results and discussion
4.1 Introduction 62 4.2 Description of the sample 62
VII
4.3 Results 63 4.4 Conclusion of the chapter 89
Chapter 5 Findings, conclusions and recommendations
5.1 Introduction 90 5.2 Reason for undertaking the research 90 5.3 Summary of the findings 91 5.4 Discussion of the findings 95 5.5 Contribution of the study 97 5.6 Limitations 98 5.7 Recommendations for further research 98
List of references 100
Appendices
Appendix 1: Data analysis 0% transaction cost 104
Appendix 2: Data analysis 0.4% transaction cost 115
Appendix 3: Data analysis 0.5% transaction cost 126
Appendix 4: Data analysis 0.6% transaction cost 137
Appendix 5: Data analysis 0.7% transaction cost 148
VIII
LIST OF TABLES Table Description Page
Table 1.1 FTSE/JSE Top 40 Index equities as at 1 January 2011 7 Table 1.2 Summary of chapters and content 12 Table 2.1 Anglo Gold: Worked MACD sample data 33 Table 3.1 Sample of applying signals to the data per share 42 Table 3.2 Sample of dividend addition data analysis 44 Table 3.3 Sample of data for Buy-and-hold from day 1 45 Table 3.4 Sample of data for Buy-and-hold from first MACD signal 46 Table 3.5 Sample of data for MACD 48 Table 3.6 Sample of data analysis per share 50 Table 3.7 Sample of result set per year 52 Table 3.8 T-test per year assuming 0% transaction cost 53 Table 3.9 Calculation of eta2 57 Table 4.1 Summary of results for each year and the ten-year period at 0% transaction
cost 63
Table 4.2 Summary of results for each year and the ten-year period at 0.4% transaction cost
64
Table 4.3 Summary of results for each year and the ten-year period at 0.5% transaction cost
64
Table 4.4 Summary of results for each year and the ten-year period at 0.6% transaction cost
65
Table 4.5 Summary of results for each year and the ten-year period at 0.7% transaction cost
65
Table 4.6 Ranking of investment strategies per year for 0% transaction cost. 66 Table 4.7 Ranking of investment strategies per year for 0.4% transaction cost. 66 Table 4.8 Ranking of investment strategies per year for 0.5% transaction cost. 67 Table 4.9 Ranking of investment strategies per year for 0.6% transaction cost. 67 Table 4.10 Ranking of investment strategies per year for 0.7% transaction cost. 68 Table 4.11 Results for the ten years separately at 0% transaction cost 69 Table 4.12 Results for the whole ten years at 0% transaction cost 69 Table 4.13 Ranking number per year at 0% transaction cost 70 Table 4.14 Ranking percentage per year at 0% transaction cost 71 Table 4.15 T-test results for 0% transaction cost. (p-values) 71 Table 4.16 Eta-squared results for 0% transaction cost. 72 Table 4.17 Results for the ten years separately at 0.4% transaction cost 73 Table 4.18 Results for the whole ten years at 0.4% transaction cost 73 Table 4.19 Ranking number per year at 0.4% transaction cost 74 Table 4.20 Ranking percentage per year at 0.4% transaction cost 74 Table 4.21 T-test results for 0.4% transaction cost. (p-values) 75 Table 4.22 Eta-squared results for 0.4% transaction cost. 75 Table 4.23 Results for the ten years separately at 0.5% transaction cost 77 Table 4.24 Results for the whole ten years at 0.5% transaction cost 77 Table 4.25 Ranking number per year at 0.5% transaction cost 78 Table 4.26 Ranking percentage per year at 0.5% transaction cost 78 Table 4.27 T-test results for 0.5% transaction cost. (p-values) 79
IX
Table Description Page
Table 4.28 Eta-squared results for 0.5% transaction cost. 79 Table 4.29 Results for the ten years separately at 0.6% transaction cost 81 Table 4.30 Results for the whole ten years at 0.6% transaction cost 81 Table 4.31 Ranking number per year at 0.6% transaction cost 82 Table 4.32 Ranking percentage per year at 0.6% transaction cost 82 Table 4.33 T-test results for 0.6% transaction cost. (p-values) 83 Table 4.34 Eta-squared results for 0.6% transaction cost. 83 Table 4.35 Results for the ten years separately at 0.7% transaction cost 85 Table 4.36 Results for the whole ten years at 0.7% transaction cost 85 Table 4.37 Ranking number per year at 0.7% transaction cost 86 Table 4.38 Ranking percentage per year at 0.7% transaction cost 86 Table 4.39 T-test results for 0.7% transaction cost. (p-values) 87 Table 4.40 Eta-squared results for 0.7% transaction cost. 87 Table 4.41 Linking the results to the objectives of the study. 89 Table 5.1 Annual ranking number for BH0, BH1 and MACD 91 Table 5.2 Annual ranking percentage for BH0, BH1 and MACD 91 Table 5.3 Ten-year ranking number for BH0, BH1 and MACD 92 Table 5.4 Ten-year ranking percentage for BH0, BH1 and MACD 92 Table 5.5 Returns for BH0, BH1 and MACD for the ten-year period 93 Table 5.6 Returns for BH0, BH1 and MACD for each of the ten years 94 Table 5.7 MACD ranking per transaction cost 95
X
LIST OF FIGURES Figure Description Page
Figure 1.1 MACD chart 3 Figure 2.1 Graphical representation of chapter 2 13 Figure 2.2 Line chart example 25 Figure 2.3 Bar and volume charts example 26 Figure 2.4 MACD chart 32 Figure 2.5 Graphical representation of data from Table 2.1 35 Figure 3.1 Graphical representation of data analysis 47 Figure 4.1 Ranking for each year of the ten-year period at 0% transaction cost per
investment strategy 70
Figure 4.2 Graphical representation of eta2 for 0% transaction cost 72 Figure 4.3 Ranking for each year of the ten-year period at 0.4% transaction cost per
method 74
Figure 4.4 Graphical representation of eta2 for 0.4% transaction cost 76 Figure 4.5 Ranking for each year of the ten-year period at 0.5% transaction cost per
method 78
Figure 4.6 Graphical representation of eta2 for 0.5% transaction cost 80 Figure 4.7 Ranking for each year of the ten-year period 0.6% transaction cost per
method 82
Figure 4.8 Graphical representation of eta2 for 0.6% transaction cost 84 Figure 4.9 Ranking for each year of the ten-year period at 0.7% transaction cost per
method 86
Figure 4.10 Graphical representation of eta2 for 0.7% transaction cost 88 Figure 5.1 Percentage Returns for Buy-and-hold and MACD 93 Figure 5.2 MACD first rankings per transaction cost 96
Figure 5.3 Buy-and-hold first rankings per transaction cost 96
1
Chapter 1
Introduction and background to the study
1.1 Introduction
Any person investing money in shares wants to make money. When investing in
shares investors can increase their wealth in one of two ways: the share can be sold
for more than it was bought and/or dividends can be paid out. In terms of buying
shares and selling them at a higher price, it is critical to buy and to sell at the right
time in order to maximise profits. There are two schools of thought regarding the
buying and selling of shares, namely Fundamental- and Technical Analysis.
In the one school of thought, Fundamental Analysis (Marx, Mpofu, Van der Venter,
Nortje, 2006), the expected value of the shares of a company is determined based
on its historical growth, dividends paid out and its predicted future cash flows.
Although there are various Fundamental Analysis strategies, the Buy-and-hold
strategy is the most commonly used (Busetti, 2009). A Buy-and-hold investment
strategy is a fundamental investment strategy in which shares are bought and then
held for a long period, regardless of the market's fluctuations. The Buy-and-hold
approach to investing in shares rests upon the assumption that in the very long term
(over the course of, say, 10 or 20 years) share prices will go up, but the average
investor does not know what will happen to the share price the next day. The logic
behind the Buy-and-hold strategy is that in a capitalist society the economy will keep
expanding. This will result in profits that will keep on growing and both share prices
and share dividends increasing. The basic notion is that irrespective of short-term
fluctuations that may be due to business cycles or rising inflation, in the long term
these will be smoothed out and the market as a whole will rise.
2
In the other school of thought referred to as Technical Analysis (Marx, et al., 2006),
the expected value of the shares of a company is based purely on the share price
history. In Technical Analysis it is believed that all the required information about a
share is reflected in its price, that is, that the strong form of the Efficient Market
Hypothesis (EMH) holds. Technical Analysis therefore involves the study of historical
prices in order to predict future price movements. It assumes that the information
contained in historical prices is correctly incorporated in current prices (Ellinger,
1971). Whether technical trading rules can generate excess returns has long been a
controversial issue especially in view of the fact that transactions costs are incurred
in buying and selling shares. A number of studies have suggested that market
indicators alone cannot improve the prediction of the future prices (Neftci, 1991;
Hudson et al., 1996; Mills, 1997). However, there are also studies that support
technical trading rules such as Treynor and Ferguson (1985) and Brock et al. (1992).
The nature of share price movements that underpins Technical Analysis is that they
are volatile due to the fact that there are many different factors that have an effect on
share prices. When Technical Analysis is used, this problem is addressed by
analysing the moving averages of the shares rather than the share prices. The
moving averages contain the trend of the share prices. Moving averages are the
average of a share price for a certain period of time (t – k) recalculated on a daily
basis (t) and for the same historical length in days (k). These moving averages can
also be calculated for other periods of time, for example hourly, monthly, yearly etc.
Moving averages help to smooth out volatility to a certain degree depending on the
number of days (k) used in the calculation of the moving average. This smoothed-out
version of the share price history provides a better indication of the longer term
direction of the share price movement.
Technical strategies commonly used by investors include the Directional Movement
Index (DMI), moving averages (on their own), the Average Directional Index (ADX),
Stochastics, the Relative Strength Index (RSI) and candle sticks (Marx, et al., 2006).
Whereas most of these Technical Analysis strategies utilise the moving average of
the share prices, some even use more than one moving average. One of the
indicators using more than one moving average that technical analysts employ is the
Moving Average Convergence Divergence (MACD) indicator: two moving averages
3
of a price history are used. The one moving average is over a shorter term (shorter
number of days) and the other over a longer term (longer term of days). The
operation on this indicator is as follows: when the shorter-term moving average
moves above the longer-term moving average it is a “buy” signal and when the
shorter-term moving average moves below the longer-term average it is a “sell”
signal. The rationale for this sell and buy signals is that the short-term movement in
price indicates that the current price is falling faster than the long-term movement.
The opposite is true for a buy signal (Appel, 1979). Figure 1.1 shows a graphical
representation of an example of the MACD indicator.
Figure 1.1: MACD Chart
Source: Graphical presentation of sample data generated using ShareMagic PRO
software (version 8.9.0, 2011)
From the above, it is evident that the length of time an investment is held plays a role
in terms of the strategy that the investor adopts. Long-term investments are often
associated with Fundamental Analysis while short-term investments are often
associated with Technical Analysis. The International Financial Reporting Standards
(IFRS) also have a definition of this concept that is aligned with investing. Short term
is defined as twelve months or less and long term as any time longer than twelve
months (The South Africa Institute of Chartered Accountants, 2009). This definition is
logical if one considers the definition of fundamental versus Technical Analysis. In
Buy Sell
Buy
4
Fundamental Analysis one will use the financial statements of a company as the
main source of information and this will only be issued once a year. Thus it would
make sense that a long-term investment would at least span more than a year as
one would need the next set of financial statements to make an assessment of an
investment. In a Buy-and-hold or long-term strategy the investment is normally held
for many years; as long as the fundamental indicators used to acquire the
investment are still satisfying the investor. In Technical Analysis, the buy and sell
signals come from changes in share prices which are more volatile and short term.
Short-term strategies employed by Technical Analysis investors involve constant
buying and selling of shares due to the fact that these techniques attempt to use the
short-term volatility to predict the short-term future price movements.
Based on the preceding discussion, it is evident that both schools of thought
(fundamental and technical) have their proponents as well as their opponents, as
both have been shown to provide accurate as well as inaccurate predictions of share
price movements. An individual investor is left with a dilemma in terms of which of
these two schools of thought is more effective in realising a profit on an investment.
The aim of this study is to investigate if investors can use Technical Analysis to help
them make investment decisions for themselves. In particular, this study is aimed at
exploring differences and similarities between the fundamental and technical
investment strategies for investors that actively invest on the JSE Ltd. This will be
explored for one type of Fundamental Analysis (Buy-and-hold) and one type of
Technical Analysis (MACD). Investors can invest passively through some third party
that will make investment decisions for them or they can invest actively and make
their own investment decisions. This study is not aimed at passive investors i.e.
investors that let advisors make their investment decisions. Differences and
similarities in adopting the Buy-and-hold and the MACD strategies when investing in
shares will be investigated and evidence regarding the returns of trading using these
strategies will be highlighted.
5
1.2 Problem statement
The central problem of this study is formulated against the framework presented in
the preceding introduction and rationale.
The research problem to be investigated in this study is that active share investors
need to decide which strategy they should use to arrive at a decision of when to buy
and when to sell the shares in which they have decided to invest. Should they follow
the Fundamental Analysis route by considering the financial statements of a
company, should they consider the actual share price movement, or should they use
a combination of the two strategies?
1.3 Research question
In an attempt to address the research problem, the research question to be
addressed in this study is limited to a specific fundamental strategy, namely the Buy-
and-hold strategy and to a specific Technical Analysis strategy, namely the MACD
strategy. The study is furthermore limited to a ten-year period namely 2001 to 2010.
It is also limited to the FTSE/JSE Top 40 Index shares on the JSE Ltd.
The research question is thus:
Which one of the MACD or the Buy-and-hold strategies on the FTSE/JSE Top 40
Index shares of the JSE Ltd over the period 2001 to 2010 is more effective?
Sub-questions are:
To what extent do transaction cost (i.e. costs incurred when buying and selling
shares) have an effect on the effectiveness of the MACD in comparison with the
Buy-and-hold strategy?
Under what conditions will either the MACD or the Buy-and-hold strategy yield
higher returns?
6
1.4 Purpose of the study
This study aims to investigate the effectiveness of using one of the technical
strategies as a trading indicator in comparison with a fundamental strategy on the
equities making up the FTSE/JSE Top 40 Index over the ten-year period 2001 to
2010.
In this study only one technical indicator, namely the MACD will be used and one
fundamental strategy (Buy-and-hold). In other words, for a strategy of constant
buying and selling in comparison with a simple buy and hold strategy, which method
is the most effective? For the primary focus of this study, the Buy-and-hold strategy
will indicate buying a share at the beginning of a year and selling it at the end of the
year, and buying it at the beginning of the ten-year period and selling it at the end of
the ten-year period. This will be compared to the returns of the MACD strategy at the
end of each year and at the end of the ten-year period.
1.5 Scope of the study
Only shares in the FTSE/JSE Top 40 share index with a ten-year history will be
considered in the study to ensure comparability of results for all equities over the
whole ten years. A list of the FTSE/JSE Top 40 Index as at 31 December 2010 will
be obtained directly from the JSE Ltd. The FTSE/JSE Top 40 Index actually consists
of 42 shares. The JSE Ltd rebalances the index from time to time and this results in
there sometimes being either more than 40 shares or at other times fewer than 40
shares in the index. The FTSE/JSE Top 40 Index is rebalanced every quarter by the
JSE Ltd in order to ensure that the shares of the index are representative of the
whole market. For this study the index as at 31 December 2010 is used. For the ten-
year period under review there are a total of 32 shares that also have ten years’
worth of data.
Another reason the FTSE/JSE Top 40 Index was selected is the fact that they
represent the market. This implies that the whole market does not have to be tested
to arrive at a conclusion and that the other shares on the JSE Ltd contribute a small
7
segment of the market. The actual number of shares tested in the end will be fewer
than the 42 shares making up the index. The reason for this is that a history of ten
years will be needed for this study. The companies not tested do not have a price
history of ten years. The main reason for this is that the companies that are not
considered were not listed for the entire ten-year period.
A period of ten years has been selected for this study in order to access various
market cycles. In the last ten years the market has been through economic cycles
such as the dot.com. and the 2008 financial crises as well as the boom periods in
2002 and 2007.
The list of shares on the FTSE/JSE Top 40 Index will be inspected and only the
shares with an available ten-year history will be used, i.e. from 1 January 2000 to 31
December 2010. As shown in Table 1.1, there are 32 shares on the FTSE/JSE Top
40 Index that satisfy the criteria and these will be used for this study. Table 1.1
shows the shares that form part of the FTSE/JSE Top 40 Index and have a ten-year
history.
Table 1.1: FTSE/JSE Top 40 Index equities as at 1 January 2011
Share Code
Share Name Date Listed Tested in
study
1 ABL African Bank Invest 01 January 1998 Yes 2 ACL ArcelorMittal South Africa Ltd 01 January 1989 Yes 3 AGL Anglo American 24 May 1999 Yes 4 AMS Anglo Platinum 01 January 1977 Yes 5 ANG Anglogold Ashanti 01 January 1944 Yes 6 APN Aspen Pharmacare Holdings 01 January 1987 Yes 7 ARI African Rainbow Minerals Ltd 01 January 1988 Yes 8 ASA Absa Group 03 December 1986 Yes 9 BIL BHP Billiton 01 January 1997 Yes 10 BVT Bidvest Group 01 January 1954 Yes 11 CFR Compagnie Financiere Richemont AG 01 January 1988 Yes 12 CSO Capital Shopping Centres Group Plc 24 June 1999 Yes 13 EXX Exxaro Resources 26 November 2001 No 14 FSR Firstrand Limited 28 May 1998 Yes 15 GFI Gold Fields 01 January 1998 Yes 16 GRT Growthpoint Prop Ltd 01 November 1987 Yes 17 HAR Harmony 01 January 1951 Yes 18 IMP Impala Platinum Hlds 01 January 1973 Yes 19 INL Investec Ltd 28 November 1986 Yes 20 INP Investec PLC 22 July 2002 No
8
Share Code
Share Name Date Listed Tested in
study
21 KIO Kumba Iron Ore 02 November 2006 No 22 LON Lonmin PLC 01 January 1969 Yes 23 MND Mondi Ltd 03 July 2007 No 24 MNP Mondi Plc 03 July 2007 No 25 MSM Massmart Holdings 04 July 2000 No 26 MTN MTN Group 01 January 1995 Yes 27 NED Nedbank Group 01 January 1969 Yes 28 NPN Naspers 12 September 1994 Yes 29 OML Old Mutual 12 July 1999 Yes 30 PIK Pick N Pay Stores 01 January 1968 Yes 31 REI Reinet Investments 21 October 2008 No 32 REM Remgro 26 September 2000 No 33 RMH RMB Holdings 01 January 1992 Yes 34 SAB SABMiller 08 March 1897 Yes 35 SBK Standard Bank Group 01 January 1970 Yes 36 SHF Steinhoff International Holdings 23 September 1998 Yes 37 SHP Shoprite 01 January 1936 Yes 38 SLM Sanlam 30 November 1998 Yes 39 SOL Sasol 01 January 1979 Yes 40 TBS Tiger Brands 01 January 1944 Yes 41 TRU Truworths International 11 May 1998 Yes 42 VOD Vodacom Group 18 May 2008 No
Source: (Magoli, 2011) JSE Ltd, 28 April 2011
The MACD has various signals that could be used for buy and sell signals but only
the 9-day signal line will be used in this study, as this is how Appel designed the
indicator originally (Appel, 1979). In this study only the crossing of the 9-day signal
line with the MACD will be considered. The variables used in this study are the same
as the inventor of the indicator (Appel, 1979) set them. These settings were derived
by trial and error (Appel, 1979), aligning them to the US market at the time. These
settings have remained the standard since then, but can be changed to get custom
results for specific shares.
9
1.6 Proposed research methodology and analysis
This study is quantitative. Historical data is used from a secondary source. The daily
share price data for the FTSE/JSE Top 40 Index shares included in the study will be
obtained from the JSE Ltd for the 10 years under review. This data will then be
processed in Microsoft Excel to determine the MACD signals. After the MACD
signals have been determined, different simulated portfolios will be created taking
into account transaction cost for each buy and sell signal as well as dividend income.
Transaction cost for this study will be set at 0%, 0.4%, 0.5%, 0.6% and 0.7%. In the
South African market the transaction cost available to the general public range from
0.4% to 0.7% as on 31 December 2010.These portfolios will then be compared to
determine which one of the MACD and Buy-and-hold strategies is more effective.
For each of the years (2001 to 2010) and for the ten-year period, correlations
between the returns of the MACD and the Buy-and-hold will be determined.
Dependant t-tests will be used to determine whether there is a significant difference
between the average return of the Buy-and-hold and the MACD. In addition, the
effect size, i.e. the practical significance of the differences between the two statistics
will be determined.
1.7 Limitations of the study
The study will only consider the FTSE/JSE Top 40 Index equities as these form the
bulk of the market from both values and trading volume points of view. Since this
study is of a limited scope it would not be efficient to test the whole market. The
FTSE/JSE Top 40 Index equities are selected for the index based on their market
capitalisation (total market value of the shares based on their latest share price and
number of shares issued). This will ensure liquidity in the market in terms of this
study. The FTSE/JSE Top 40 Index shares are the most frequently traded shares on
the market (anon., 2011). For the purpose of this study the assumption will be made
that there will be a market for the shares when they need to be bought or sold. The
limitation here is that the actual equity market will not necessarily behave this way. If
all equities were considered, the potential shortage of supply of shares to the market
would also have to be considered. A further limitation of the study is that only when
10
to buy and when to sell a specific share will be considered. Which shares to buy or
sell will not form part of the scope of the study.
Although the ten-year (2001 to 2010) period selected reflects different market cycles,
the results of the analysis in this study cannot necessarily be applied to other
periods.
1.8 Perceived significance of the study
This study should inform investors who actively manage their own investment of
shares on the JSE Ltd. It will point to the effectiveness of using a Technical Analysis
approach, specifically the MACD indicator as opposed to using a Fundamental
Analysis, specifically the Buy-and-hold strategy. It should not only inform individual
investors but also corporate investors and fund managers who make investment
decisions on behalf of others as to which method is more effective.
More sophisticated investors can make profits by selling short and buying long.
Buying long (the Buy-and-hold strategy in particular) is what most investors are
familiar with. Buying long is when shares are bought at a low price and sold at a high
price. In this scenario, profits are made in a bull or rising market. Short selling will be
selling shares one does not currently own (by borrowing them) and buying them
back later. Here profits are made in a bear or falling market as shares are bought
back at a lower price than when they were sold. For the purpose of this study only
long positions will be considered and not short selling (the MACD strategy in
particular). Long positions are based on the premise that investors actually own the
shares.
The FTSE/JSE Top 40 Index shares are selected for this study for two reasons.
Firstly, the shares are tradable. This means there is a large enough market to buy
and sell shares, that is, there are no supply and demand problems. The bulk of the
value (volume multiplied by price) of shares traded daily on the JSE Ltd consists of
the FTSE/JSE Top 40 Index shares. This implies that the results of this study will be
applicable for a wide range of users: asset managers who manage large portfolios
will be able to apply the MACD or the Buy-and-hold strategy to their trading on the
FTSE/JSE Top 40 Index. The FTSE/JSE Top 40 Index shares have the liquidity to
11
provide buy and sell opportunities. In contrast, small independent investors will be
able to apply the MACD just as well to less liquid shares on the main board of the
JSE Ltd, in other words, listed shares that do not form part of the FTSE/JSE Top 40
Index, as small investors will trade in smaller quantities. The second reason is
closely linked to the first and that is that the market is also active. Shares in the
FTSE/JSE Top 40 Index are actively being traded and are not in a stale market
where shares do not sell.
12
1.9 Chapter outline
Table 1.2: Summary of chapters and content
CHAPTER CONTENT
Chapter 1: Orientation and motivation of the study
In the first chapter the study is introduced. The background to the study which resulted in the research problem is explained.
Chapter 2: Literature review
In the second chapter a critical review of the current literature on the research problem is presented.
Chapter 3: Research methodology
The research design and methodology used in the study are explained in the third chapter. The chapter commences with a discussion of the issues of research design and the methods for collecting and measuring the data. Techniques to ensure the validity and reliability of the data are also considered.
Chapter 4: Results and discussion
The results of the study are presented in the fourth chapter. The data is presented and interpreted in various statistical formats like graphs and tables, etc.
Chapter 5: Findings, conclusions and recommendations
Conclusions are drawn on the basis of the results of the study. Limitations and recommendations for further study are also addressed.
Source: Author’s deductions
13
Chapter 2
Literature review
2.1 Introduction
To address the research question of:
Which one of the MACD or the Buy-and-hold strategies on the FTSE/JSE Top 40
Index shares of the JSE Ltd over the period 2001 to 2010 is more effective?
Sub-questions are:
To what extent do transaction cost (i.e. costs incurred when buying and selling
shares) have an effect on the effectiveness of the MACD in comparison with the
Buy-and-hold strategy?
Under what conditions will either the MACD or the Buy-and-hold strategy yield
higher returns?
The literature review will assist to explain and highlight the research problem and the
rationale for the research question.
2.1.1 Background
Figure 2.1: Graphical representation of chapter 2
14
This section (2.1) serves as an overview of how chapter 2 is organised.
Investors can be divided into active or passive investors as discussed in 2.2. Active
investors have a range of options to use in deciding which shares to buy. The first
option is to buy haphazardly; here there is no information that back up the
investment decision. Investors here will buy shares because they simply like a
company or on a whim or advice from others. This method is not considered in this
study at all. In other words, it is assumed that the investor has made the decision on
which shares to buy or sell. The only issue is when to buy or sell.
The next method used to decide which shares to buy is Fundamental Analysis (2.3).
Here investors look at the performance of the company in question considering
issues such as dividends, financial statements, ratios, company growth and news
about the company. Because these indicators do not change on a daily basis it is
also seen as a Buy-and-hold strategy. The main reason for this is that new
information will only be available when the company releases its next set of financial
statements. The next way of deciding which shares to buy is the use of Technical
Analysis (2.4). Here only the share price and volume traded are used in various
ways to make the buy or sell decision. The practice of Technical Analysis is
underpinned by the Dow Theory (see 2.5). In 1897 Charles Dow was the first person
to popularise a form of Technical Analysis based mainly on moving averages.
Technical Analysis considers share price and volume traded to be discussed in 2.6.
This information can be used in various ways (see 2.7). Next, the MACD (2.8) will be
discussed. The MACD uses a combination of charts, moving averages and
momentum indicators. In section 2.9 the argument for and against both Technical
Analysis and Buy-and-hold is discussed.
2.2 Types of investors
Active investors are investors who manage their own investment portfolios and make
their own decisions as to when to buy, sell and hold their specific investments. For
the purpose of this study only active investors will be considered.
Passive investors are investors who invest money over a longer period of time. They
generally hand their funds over to a third party who will make investment decisions
for them. The third party usually uses an active strategy but the individual is blind to
15
it. The most common corporate investors in SA are those who manage pension and
provident funds. The individual merely hands over a certain amount of money each
month to the asset managers of these entities who decide in which investments or
assets to invest. These corporate investors are heavily regulated by law in South
Africa. Another type of passive investment that an individual can use is to buy unit
trusts. In this case the individuals have, to a limited extent, input in their investments.
They can choose the type of unit trust and when they want to sell their unit trust, but
the investment company still ultimately decides which specific shares or other
investments to hold and when to buy and sell.
Private active investors, that is, those who buy and sell individual shares, are the
focus of this study. It focuses on individuals who invest their own money directly in
the share market. They do not invest in the market via investment advisors or
externally-managed investment vehicles.
The study is also focussed on corporate investors, i.e. the institutions or investment
vehicle managers who invest in individual shares on behalf of individuals or
corporate entities. They typically invest other people’s money and normally have
access to large sums of money as compared to private investors. The regulations
are in terms of how secure the investments need to be as well as how balanced they
need to be. Although corporate investors who have to invest in shares can also use
Technical Analysis when they make buy and sell decisions they have an additional
limitation. For example, if the corporate investor, like a provident fund, has a
significant holding in a listed company or wants a significant holding in a listed
company, he cannot merely buy or sell at will as this may artificially drive the price of
the holding up or down. This happens because of the laws of supply and demand
and the fact that some corporate investors have very large sums of money to invest.
2.3 Fundamental Analysis
2.3.1 Definition
Fundamental Analysis is where investors consider a company in detail to make the
decision whether to buy or sell a share. They mainly consider information from
financial statements and the news. Based on this information they assess their
16
version of the company’s worth which is referred to as the intrinsic value of a
company.
Intrinsic value is the actual value of a company based on an underlying perception
of its true value including all aspects of the company, both tangible and
intangible factors. This value may or may not be the same as the current market
value of the company. An investor who bases his/her decisions on the intrinsic value
of a company is referred to as a value investor. Value investors use a variety of
analytical techniques in order to estimate the intrinsic value of shares in the hope of
finding investments where the true value of the investment exceeds its
current market value. For example, value investors who follow Fundamental Analysis
look at both qualitative (news of the company, business model, governance, target
market factors etc.) and quantitative factors, for example ratios, financial statement
analysis of a business, taxes and growth prospects, to see if the business is
currently out of favour with the market and is really worth much more than its current
valuation or vice versa. In Fundamental Analysis theory all shares have what is
referred to as intrinsic value. The intrinsic value will give the investor a price at
which the share will be “cheap” or “expensive”. If the share is then bought at the
price that is considered to be “cheap” it will be held for a long time and short-term
volatility will be ignored. The intrinsic value can be calculated by doing a careful
analysis of the present conditions of a share and also taking into consideration the
future prospects thereof. The Fundamental Analysis theory then holds that if a share
is considered to be “cheap”, the market will, over time, correct itself and trade at the
correct market price. This is how the fundamentalist will make his/her profit. The
main components of Fundamental Analysis theory are company earnings and
dividend payouts. A major drawback of this theory is that predicting future earnings
and dividends becomes an inexact science and, some claim, even guessing. The
theory uses future earnings and payouts, and discounts these to the present value.
The issue here is that if some of the companies on the stock exchanges around the
world are analysed for their performance during booms, there is no correlation
between share prices and market prices (Malkiel, 2003:29). Share price is the listed
active price for the share and market price is the value of the share as valued by an
analyst after considering the factors listed above.
17
2.3.2 Factors determining the intrinsic value of a company
The factors determining the intrinsic value of a company, using Fundamental
Analysis include (Cottle, Murray and Block,1988):
Level of earnings and profitability (this refers to the profitability of one company
in relation to others in the same industry or market);
Dividends paid or the capacity to pay these dividends (actual disbursements to
shareholders or the ability to pay disbursements);
The trend of earnings growth (have the earnings declined, been sustained or
grown over time?) ;
The stability and predictability of the qualitative and quantitative projections
which refer to the information used by an analyst;
The volatility of the share price;
Potential growth of the company; and
The management of the company.
The above-mentioned factors determine the value and a discount rate is then used
to calculate the intrinsic value. The discount rate is taking into account the time value
of money at a required rate of return by the investor.
Fundamental investors are seen as business valuators and not stock market
valuators. This implies that these investors analyse a business and arrive at an
intrinsic value per share. If the value they have calculated is below the current
market value they will buy the share and if the price of the share is above their
calculated market value they will sell. They only use the share price to give them buy
and sell signals but do not use the price information itself to give the signals
(Graham, 2006). In other words, they will use Fundamental Analysis to decide which
shares to buy but, when it comes to actually buying the share they may look only at
share prices to determine the time of purchase.
In Fundamental Analysis, investors look at indicators such as: asset values, return
on assets, profit margins, liquidity, cash flows from operations, book to market ratio
and leverage. These indicators help them decide if they should buy or sell a share.
Because the inputs into these analyses are greatly dependant on information
18
gathered from financial statements they do not change at a rate as fast as daily
share prices change (Piotroski, 2002).
A growth strategy is also a factor that can be used in a value-investment strategy.
From a valuation perspective, value shares are inherently more conducive to
financial statement analysis than growth (i.e. glamour) shares. Growth share
valuations are typically based on long-term forecasts of sales and the resultant cash
flows, with most growth investors heavily relying on non-financial information. And
most of the predictability in growth share returns appears to be momentum driven
(Asness, 1997). Momentum refers to the rate at which share prices change. In
contrast, the valuation of value shares focuses on recent changes in company
fundamentals (e.g., financial leverage, liquidity, profitability and cash flow adequacy).
The assessment of these characteristics is most readily accomplished through a
careful study of historical financial statements.
One approach to separate winners from losers is through the identification of a
company’s intrinsic value. The strategy presented by Frankel and Lee (1998)
requires investors to purchase shares whose prices appear to be lagging
fundamental values. Undervaluation is identified by using analysts’ earnings
forecasts in conjunction with an accounting-based valuation model (e.g., residual
income model) and the strategy is successful at generating significant positive
returns over a three-year investment window.
2.3.3 Fundamental Analysis strategies
Value investors have various systems they use when deciding when and if to invest
in a company. The systems are usually a combination of the indicators mentioned
above set against certain targets set by the investor. This leads to there being many
systems due to the fact that investors can get indicators from various aspects in the
financial statement data. Because of the cycles of available data being relatively far
apart and not that variable from year to year, these fundamental strategies are
referred to as Buy-and-hold strategies (Piotroski, 2002).
19
2.4 Technical Analysis
2.4.1 Definition
In contrast to Fundamental Analysis, Technical Analysis can also be adopted as an
investment strategy. The share price history is used to predict the future movements
of a share price. In Technical Analysis it is believed that all information required
about a share is reflected in its price. Phil Roth, Chief Technical market analyst of
Miller, Tabak & Co. LLC made the comment that, “The biggest mistake that a
fundamental analyst makes is thinking that a stock and a company are the same
thing. The biggest mistake a technician makes is thinking that a stock and a
company are different.” This implies that if investors only use one of either
Fundamental or Technical Analysis they run the risk of missing important information
about the shares they are investing in.
There are various Technical Analysis methods and indicators. Technical Analysis is
an attempt to exploit recurring and predictable patterns in share prices to estimate or
determine abnormal trading profits. Abnormal profits are profits that are above
average returns obtained in the share market.
Technical Analysis is based on human behaviour, but it is not a study in psychology.
This implies that when a share price changes, i.e. increases or decreases the
behaviour of the majority of investors can be predicted. If investors react the same
way to the same types of events again and again, it is reflected in the ebb and flow
of the share price. If one charts this activity over time, patterns in price action
emerge. Some of these patterns comprise of standard Technical Analysis, while
others emerge based on the investor’s observations and calculations. Historical data
is required to test theories and fine-tune parameter decisions (Khan, 2006).
The market often reacts in the same way after certain events. For example, if prices
are rising and then start to trade in a small range (a small range is when the lowest
and highest prices do not vary much from each other for a period of time), the
characteristics (shape and size) of the range can be used to determine how far the
market will move once the pattern is ended. This is not just a guess, but a highly
likely condition (reaction by humans) based on thousands of similar occurrences in
20
the past. The more historical data the investor has available, the more likely it is that
the investor will make a correct buy or sell decision.
An advantage of using historical data in making these decisions is that it gives the
trader perspective. A sharp price increase in one share in a day may be seen as a
bullish sign until it is viewed as part of the longer history of price movements.
A criticism against Technical Analysis is that it may be regarded as a self-fulfilling
prophecy. If, for example, a technical indicator gives a signal that a share price is
about to rise, technical investors may all buy this share resulting in a rise in price
(based on supply and demand). Another criticism is that past performance cannot
predict the future. The “random walk” theory of markets proposes that price
fluctuations are random and therefore nothing can predict them (Malkiel, 2003). In
contrast, technical analysts argue that prices are not random.
Mark Twain said that, “History does not repeat itself. But it does rhyme.” (Eayrs,
1971). No matter how much today’s market may look like a previous market, one
cannot be a hundred percent sure that it will continue to react in the same way. With
so many variables that can affect the market, the difference between having 80%
and 90% of shares reacting similarly probably does not matter to a bottom-line
decision of buy, sell or hold. It might affect the course or amount of the rally, but not
the decision to buy or sell.
2.4.2 Underlying assumptions of Technical Analysis
In order to achieve profits above the market average, technicians (technical analysts)
or “chartists” as they are referred to, make a number of assumptions according to
Marx, et al. (2006):
Market value (share price times shares issued) is determined solely by supply
and demand;
Supply and demand are governed by numerous factors both rational and
irrational. However, the market continually and automatically weighs all these
factors and their value is reflected in the share price;
Disregarding minor fluctuations in the market, share prices tend to move in
trends which persist for a certain length of time; and
21
Changes in trends are caused by shifts in supply and demand. These shifts
will be detected in the action of the market at some time, irrespective of why
they occur.
2.5 Dow Theory
2.5.1 Introduction
Technical Analysis strategies have their root in the Dow Theory. In 1897, Charles
Dow developed two broad market averages: the “Industrial Average” that included 12
blue-chip shares and the “Rail Average” comprising of 20 railroad companies. These
are now known as the Dow Jones Industrial Average and the Dow Jones
Transportation Average. The Dow Theory resulted from a series of articles published
by Charles Dow in The Wall Street journal between 1900 and 1902. As noted before,
the Dow Theory is the common ancestor of most principles of modern Technical
Analysis (Achelis, 2000).
The theory itself originally focused on using general stock market trends as a
barometer for general business conditions. It was not originally intended to forecast
share prices. However, subsequent work has focused almost exclusively on this use
of the theory. Underlying the theory, six assumptions are made:
2.5.2 Six assumptions of the Dow Theory
2.5.2.1 The averages discount everything
The price of an individual share reflects everything that is known about the share. As
new information arrives, market participants quickly disseminate the information and
the price adjusts accordingly.
2.5.2.2 The market is made up of three trends
At any given time in the stock market, three forces are in effect: the primary trend,
secondary trends and minor trends. The primary trend may either be a bullish (rising)
market or a bearish (falling) market. The primary trend usually lasts more than a year
but may also last several years.
22
Secondary trends are intermediate, corrective reactions to the primary trend. These
reactions typically last from one to three months. Secondary trends therefore
typically comprise of a number of minor trends within the primary trend.
Minor trends are short-term movements typically lasting from one day to three
weeks. The Dow Theory holds that since share prices over the short-term are
subject to some degree of manipulation (primary and secondary trends are not),
minor trends are unimportant and can even be misleading. This is one of the reasons
why moving averages are used to flatten out the minor fluctuations.
2.5.2.3 Primary trends have three phases
The first phase of the Dow Theory is that it is made up of aggressive buying by
informed investors (large corporates) in anticipation of economic recovery and long-
term growth. The general feeling during this phase is one of “gloom and doom” and
“disgust”. Informed investors, realising that a turnaround is inevitable, aggressively
buy from these distressed sellers. This is also known as accumulation.
The second phase is characterised by increased corporate earnings and improved
economic conditions. Investors will begin to accumulate shares as conditions
improve. This phase is also known as expansion.
The third phase is characterised by record corporate earnings and peak economic
conditions. The general public (individual investors) now feels comfortable
participating in the stock market, fully convinced that the stock market is headed for
the moon. They now buy even more shares, creating a buying frenzy. It is during this
phase that those few investors who did the aggressive buying during the first phase
begin to liquidate their holding in anticipation of a downturn. This phase is also
known as distribution (Achelis, 2000).
2.5.2.4 The averages must confirm each other
Major trends and their sub-trends must confirm each other. For example the original
Dow had an index for Industrials and a sub-set for Transports that formed part of
Industrials. The Industrials and Transports must confirm each other in order for a
valid change of trend to occur. Both averages must extend beyond their previous
secondary peak (or trough) in order for a change in trend to be confirmed. In other
23
words, if the Transport index was rising and the Industrials falling, they would not be
confirming each other.
2.5.2.5 The volume confirms the trend
The Dow Theory focuses primarily on price action. Volume is only used to confirm
uncertain situations. Volume should expand in the direction of the primary trend. If
the primary trend is down, volume should decrease as the market declines. If the
primary trend is up, volume should increase as the market advances.
2.5.2.6 A trend remains intact until it gives a definite reversal signal
An up-trend is defined by a series of higher highs and higher lows. In other words:
even with some variability it is obvious that the market goes higher and higher or
lower and lower. In order for an up-trend to reverse, prices must have at least one
lower high and one lower low (the reverse is true of a down trend). When a reversal
in the primary trend is signalled by both the Industrials and Transports, the odds of
the new trend continuing are high. However, the longer a trend continues, the odds
of the trend remaining intact become progressively smaller (Achelis, 2000).
2.6 Components of Technical Analysis
All Technical Analysis is performed using the following input gathered at any time
interval required by the investor. (Although the period interval can range from
minutes, hours, days up to years, the period in this study will be a day, i.e. t is
measured in days). In this study the following will be obtained on a daily basis:
Time: date/time;
Price: Opening price for the period(t)
Closing price for the period(t)
Highest price within the period(t)
Lowest price within the period(t); and
Volume: shares traded within the period(t).
Of these variables, price is the most important. Investors measure profits and losses
in price differences between buys and sells. Volume includes such concepts as
accumulation and distribution, market breadth and trade count. Time (date) includes
24
cycles, seasonality and relationships between patterns and trends from a duration
point of view (Graham, 2006).
What a company earns has a direct impact on its share value. Technical Analysis
does not consider earnings, financial statements and news directly. Rather, it
assumes that all that information (both tangible and intangible) is contained in the
current share price. Another way of looking at it is that price is the sum total to date
of actions of everyone participating in the share market.
2.7 Technical Analysis strategies
There are various strategies or methods to use when applying Technical Analysis.
2.7.1 Chart patterns
Charts are the simplest but considered to be the most objective way of looking at
share prices by considering the actual graphs to identify certain pre-determined
shapes in the graphs (Covel, 2006). In other words, charts are a purely visual tool to
evaluate a share by the investor. Depending on identified shapes (according to the
instinct and beliefs of the investor) investors make estimates as to the direction the
market will take. Some of these shapes include support and resistance lines,
“rectangles”, “triangles”, “flags”, etc. Identifying and using these shapes in Technical
Analysis is not covered in this study. While many technical trading rules are based
on patterns in share prices, there is a lack of convincing explanations of how and
why these patterns arise, and why trading rules based on Technical Analysis are
profitable.
In a study by Friesen, Weller & Dunham (2008), a model was provided that tried to
explain the success of certain trading rules that are based on patterns in past prices.
They indicated that confirmation (decisions confirmed by technical information) bias
was very important in predicting future trends. It has been shown to play a key role
also in other types of decision making, for example traders who acquire information
and trade on the basis that information tends to bias their interpretation of
subsequent information in the direction of their original view. This produces auto-
correlations and patterns of price movement that can predict future prices, such as
the ‘‘head-and-shoulders” and ‘‘double-top” patterns. ‘‘Head-and-shoulders” and
‘‘double-top” are terms given to certain patterns that reveal themselves to analysts
25
using charts. The model also predicted that sequential price jumps for a particular
share will be positively auto-correlated. In their study they found that jumps exhibit
statistically and economically significant positive auto-correlations.
2.7.1.1 Chart types
There are basically three types of charts used in Technical Analysis. The first is line
charts: this is the simplest chart and is just a continuous line connecting the closing
price of each day as shown in Figure 2.2. This is the type of chart used in this study.
The other two types of charts are bar charts and volume charts. Bar charts show the
opening price, the closing price, the high for the day and the low for the day (Busetti,
2009). Volume charts show the volume sold for the day as a bar chart (seen in
Figure 2.3).
Figure 2.2: Line chart example
Source: Line chart of sample data for Sasol for the period June 2010 to May 2011
obtained using ShareMagic PRO software (version 8.9.0, 2011)
26
Figure 2.3: Bar and volume charts example
Source: Bar and volume chart of sample data for Standard Bank for the period
December 2010 to May 2011 obtained using ShareMagic PRO software (version
8.9.0, 2011)
2.7.2 Trends
Technical analysts use trends in share prices to assess the general direction of price
movements. In this type of analysis, a simple trend line is imposed on top of the
closing price data to get an idea of the price direction. This line can be a simple
straight line or a line based on moving averages. Although this type of analysis is not
considered in this study, the MACD (to be discussed in 2.8) is based on various
moving averages (Covel, 2006). The issue of moving averages is henceforth
discussed.
2.7.2.1 Moving averages
In share price analysis it is common to use moving averages to predict price
movements. However, the nature of share price movements is that they are volatile
due to the fact that there are many different factors that have an effect on share
prices. Moving averages help to smooth out volatility to a certain degree depending
on the duration of days (k) used in the calculation of the moving average. Moving
averages are the average of share prices for a certain period (t – k) recalculated on a
daily basis (t) and for the same historical length in days (k). This smoothed-out
27
version of the share price history provides a better indication of the longer-term
direction of the share price movement (Albright, et al., 2009).
There are different ways of using moving averages in Technical Analysis. They can
be used on their own or in other indicators such as the MACD. One way of
determining the longer-term direction of a share price is to use Technical Analysis.
One indicator commonly used by technical analysts is the Moving Average
Convergence Divergence (MACD). In effect this technique uses two moving
averages of a price history, one over a shorter period and the other over a longer
period. The operation on this indicator is as follows: when the shorter-term moving
average moves above the longer-term moving average it is a “buy” signal. When the
shorter-term moving average moves below the longer-term average it is a “sell”
signal. The rationale and details of the MACD will be discussed in 2.8.
Other short-term strategies based on moving averages employed by Technical
Analysis investors are to use strategies involving constant buying and selling of
shares. The main aim of these strategies is to attempt to use the short-term volatility
to predict the short-term future price movements (Covel, 2006).
Other technical strategies based on the moving average principle commonly used by
investors include the Directional Movement Index (DMI), moving averages on their
own, the Average Directional Index (ADX), Stochastics, the Relative Strength Index
(RSI) and candle sticks. One of these strategies is the MACD. However, there is
conflicting evidence in the literature regarding the effectiveness of using technical
trading strategies. Whereas some researchers have found these to outperform the
simple Buy-and-hold strategy, others have found these strategies to be less effective
than the Buy-and-hold strategy.
2.7.3 Volume
Some technical analysts use volume to get an indication of market activity. Volume is
normally used separately from other technical analyses. A trader would use the
volume charts in combination with other graphs to confirm that the market (supply
and demand) actually supports the price information. For example, a good buy signal
will not be useful if there is not a supply of shares available to buy.
28
2.7.4 Technical indicators
Technical analysts also employ “technical indicators” as tools to give more exact
information about a share price. Here the information gathered is put into formulae
and the answers to these are used by the analysts to make a decision to buy or sell.
The following technical indicators will be described next: momentum and market
indicators as often used by technical analysts:
2.7.4.1 Momentum
Price momentum indicators measure the speed and force of the trend of the market.
The theory is that markets in motion tend to stay in motion and markets at rest tend
to stay at rest unless acted upon by an external force. The following indicators can
be used i.e. the MACD indicator (to be discussed in 2.8) and the Absolute Breadth
Index (ABI) as another momentum indicator. The ABI indicates how much activity,
volatility and change are taking place in an exchange while ignoring where the
direction prices are headed (Covel, 2006).
2.7.4.2 Market indicators
Market indicators help the investor to gauge changes in all securities within a specific
market. Market indicators are also used to analyse the local share market or
international markets.
The Relative Strength Index (RSI) is a popular market indicator referred to as an
oscillator. Oscillators are non-trending indicators i.e. the RSI is a price-following
oscillator that ranges from 0 to 100.
A popular way to analyse the RSI is to identify divergence in which the share is
reaching a new high and is failing to surpass its previous high. In a study done by
Newsome and Turner (2007) they examined the monthly returns of exchange traded
funds (ETFs) during the period of January 1999 to December 2005 to determine
whether employing a momentum/oscillator-based trading strategy (relative strength
index) could yield comparable returns to that of other investment strategies. The
sectors used were energy, healthcare, financials and technology. There was no
statistical difference in mean returns for either of the four sector ETFs and the hedge
fund indices. However, there was substantial economic difference in the hedge fund
29
index returns and those of the ETFs using the relative strength index (RSI) which
was higher.
Based on the RSI strategies, investors would not be able to replicate hedge fund
returns. A very popular non-trending indicator is Stochastics, which calculates the
position of the current time’s (t) closing price relative to a range established over a
time period specified by the user (Covel, 2006). The higher the close today relative
to the range, the more overbought the share. An overbought share is expected to
revert to its mean.
An article by Hwa (2007b) showed the importance of having a clear timing strategy
when trading in the stock market. Stochastics was found to be a powerful indicator to
identify bullish and bearish divergences (signals that warn of an impending trend
reversal). However, a different indicator or trend line analysis could increase the
reliability of divergence signals.
Another popular oscillator is the Average Directional Index (ADX) which measures
the strength of a trend rather than its direction. The higher the ADX, the stronger the
current trend of a share.
2.7.4.3 Other technical methods
There are also some other ways to use Technical Analysis. The Japanese have
developed what is known as “candle stick charts” that are a variation of the OHLC
charts (open, high, low and close). This type of chart is still popular in Japan. The
charts have patterns with names like “pregnant lady”, “hammer” and “hanging man”.
These patterns have the same type of interpretations as other chart patterns (Hwa,
2007a). There are also line studies where the technicians use Fibonacci
retracements to predict price movements. The Fibonacci retracement indicator is
used in an attempt to forecast potential support levels and price targets based on the
height of the overall move and any wave patterns (Elliott, 1997).
2.8 The MACD
2.8.1 Introduction
The MACD indicator was created by Gerald Appel in 1979 and is one of the most
popular indicators used in Technical Analysis. The MACD uses three exponential
30
moving averages (EMA), which are lagging indicators (i.e. considering previous
periods), to identify the continuation or reversal of a trend. As its name implies, the
MACD is all about the convergence and divergence of two moving averages (a slow
moving average calculated over a longer period of time and a fast moving average
calculated over a shorter period of time). Convergence occurs when the moving
averages move towards each other. Divergence occurs when the moving averages
move away from each other. Unlike other technical indicators the MACD has been
around for a long time and is widely used. It is easy to construct and understand.
2.8.2 Working of the MACD’s signal
The first part of the MACD’s signal is created by subtracting the slow-moving
average from the fast-moving average. In a standard setting the periods are 12 days
(for the fast indicator) and 26 days (for the longer indicator) for generating the first
indicator (the MACD). The 12 day and 26 day averages are used most often as they
give the best results in general, but the periods (12 or 26) can be changed per share
to give better custom-fitted results (Appel, 2003).
MACD = EMA (12-day closing prices) – EMA (26-day closing prices)
The second part of the indicator, called the signal line, is an EMA to smooth the first
part of the indicator as shown above. The standard setting for a signal line is 9 days.
The signal line is used to confirm the MACD crossovers.
Signal = EMA (9-day MACD)
The formula for the EMA is as follows:
( ) ( )
( )
( ) ( ) ( )
Where cpt is the closing price on day t and
( )
Where N is the number of days (9 for 9 day EMA)
Using the EMAs gives the most recent price information more weight than the older
data when calculating the moving averages. The weighted principle is more useful
2.1
2.2
2.3
31
than regular moving averages as the market will also give more weight to recent
information. The moving averages also smooth out the price movements. In other
words, they reduce the volatility. Because of the way it is calculated, the EMA will
follow the price movement more accurately than a simple moving average (SMA)
(Covel, 2006).
A buy signal is generated when the more volatile indicator (MACD) moves above the
less volatile one (signal). On the other hand, a sell signal is given when the MACD
indicator moves below the signal indicator.
The MACD oscillates above and below the zero line (the zero line is where the
MACD = 0, i.e. EMA(12) = EMA(26)), known as the centre line. These crossovers
signal that the 12-day EMA has crossed the 26-day EMA, either in a positive or
negative direction. A positive MACD indicates that the 12-day EMA is above the 26-
day EMA. Positive values increase as the shorter EMA diverges further from the
longer EMA. This means upside momentum is increasing. A negative MACD
indicates that the 12-day EMA is below the 26-day EMA. Negative values increase
as the shorter EMA diverges further below the longer EMA. This means downside
momentum is increasing.
Centre line crossovers can last a few days or a few months. It all depends on the
strength of the trend. The MACD will remain positive as long as there is a sustained
uptrend. The MACD will remain negative when there is a sustained downtrend as
can be seen in Figure 2.4.
32
Figure 2.4: MACD Chart
Source: Graphical presentation of sample data generated using ShareMagic PRO
software (version 8.9.0, 2011)
From Figure 2.4, it is clear that there was a buy signal in mid-September 2010 and a
sell signal again in late November 2010. These signals are created every time the
solid line at the bottom crosses the zero line.
Due to the lagging feature of the MACD indicator, any buy or sell signals will be
generated shortly after the lowest share price value or the highest value. Standard
MACD works well when there are clear upward and downward trends in price
movement. However, in a sideways market with no clear upward or downward trends
MACD crossovers may lead to false signals.
2.8.3 False signals
Like any indicator, the MACD can generate false signals. A false positive, for
example, would be a bullish crossover followed by a sudden decline in a share. A
false negative would be a situation where there was no bullish crossover, yet the
share suddenly accelerated upwards.
Analysts use a variety of approaches to filter out false signals and confirm true ones.
As a lagging indicator, the MACD is often paired with a leading indicator, like the
Buy SellBuy Zero line
33
Relative Strength Index (RSI). Historical comparisons to similar shares as well as a
careful investigation of past price movements provide added information about how a
share tends to move.
2.8.4 Variations
As indicated above there are periods (12, 26 and 9) for the MACD. The reason for
this is that Appel tested various scenarios and found these periods to be most
effective at the time. Studies have been conducted to test the effectiveness of the
MACD when these settings are changed. Chong, Li & Yu (2009) tested the MACD
on the US, Japan, Germany and Hong Kong markets. They used 9-day and 14-day
signal lines as well as a zero-line crossing. For the zero-line crossing the two EMAs
were used and signals were created where they crossed each other. They found that
the MACD worked well in Germany and Hong Kong. The Hong Kong markets
returned double digits for all three trading rules. The zero-line crossing worked the
best in Germany, US and the UK. The 9-day signal worked the best in Japan and the
14-day signal worked the best in Hong Kong. The same study also showed that
markets have become more efficient over time as the profit margins for these
strategies have slowed down in recent times. To illustrate the MACD, an example is
provided in 2.8.5.
2.8.5 Example calculations of the MACD
Table 2.1 shows a grouping of data for Anglo Gold Limited on the JSE Ltd from 16
April 1996 to 18 July 1996. The share and period are used for illustrative purposes
only. The 12 day and 26 day EMAs are calculated using the formulae above. The 9-
day signal line is calculated and the results are plotted in figure 2.5.
Table 2.1: Anglo Gold: worked MACD sample data
Date Close EMA (12-day) EMA (26-day) MACD Signal
1 16/04/1996 20425 19767 19529 257 2 17/04/1996 20175 19830 19577 266 3 18/04/1996 20250 19895 19627 275 4 19/04/1996 20100 19926 19662 268 5 22/04/1996 20150 19961 19698 263 6 23/04/1996 20075 19978 19726 250 7 24/04/1996 19900 19966 19739 224 8 25/04/1996 20450 20041 19791 244
34
9 26/04/1996 21300 20234 19903 325 267.525535 10 29/04/1996 21125 20371 19994 370 291.523989 11 30/04/1996 21200 20499 20083 408 319.221895 12 01/05/1996 21200 20607 20166 433 346.8763 13 02/05/1996 21750 20783 20283 491 382.615146 14 03/05/1996 22000 20970 20410 551 425.221546 15 06/05/1996 21950 21121 20524 588 468.256914 16 07/05/1996 22100 21271 20641 622 511.345505 17 08/05/1996 23000 21537 20816 714 566.448736 18 09/05/1996 22900 21747 20970 769 620.725191 19 10/05/1996 22800 21909 21106 796 668.988267 20 13/05/1996 22300 21969 21194 768 699.952399 21 14/05/1996 22350 22028 21280 741 717.711447 22 15/05/1996 22450 22093 21366 720 725.269294 23 16/05/1996 22300 22125 21436 683 720.90809 24 17/05/1996 22400 22167 21507 654 709.572799 25 20/05/1996 22000 22141 21544 592 685.128091 26 21/05/1996 21750 22081 21559 517 645.394495 27 22/05/1996 21500 21992 21555 432 592.266924 28 23/05/1996 21900 21978 21580 393 539.91854 29 24/05/1996 21850 21958 21600 354 489.898778 30 27/05/1996 21850 21941 21619 319 442.634929 31 28/05/1996 22400 22012 21676 332 408.478018 32 29/05/1996 22700 22118 21752 362 389.229822 33 30/05/1996 22700 22207 21823 382 379.350508 34 31/05/1996 22350 22229 21862 365 369.442281 35 03/06/1996 22350 22248 21898 347 359.682981 36 04/06/1996 22350 22264 21931 330 350.583879 37 05/06/1996 21875 22204 21927 274 331.577513 38 06/06/1996 21150 22042 21870 170 293.557097 39 07/06/1996 20850 21858 21794 62 239.277403 40 10/06/1996 20450 21642 21694 -55 168.423002 41 11/06/1996 19700 21343 21547 -206 75.927584 42 12/06/1996 19550 21067 21399 -333 -28.02648 43 13/06/1996 19400 20811 21251 -442 -135.84219 44 14/06/1996 19150 20555 21095 -541 -244.40616 45 17/06/1996 19150 20339 20951 -613 -347.3626 46 18/06/1996 18875 20114 20797 -685 -444.62384 47 19/06/1996 19600 20035 20709 -675 -516.89826 48 20/06/1996 19125 19895 20591 -698 -576.68238 49 21/06/1996 18900 19742 20466 -725 -627.11923 50 24/06/1996 18900 19612 20350 -739 -666.02103 51 25/06/1996 18912.5 19505 20244 -740 -693.43584 52 26/06/1996 18600 19365 20122 -757 -715.91524 53 27/06/1996 18175 19182 19978 -796 -739.83845
35
54 28/06/1996 17650 18947 19805 -859 -771.29798 55 01/07/1996 17550 18732 19638 -907 -805.32149 56 02/07/1996 18000 18619 19517 -898 -830.7713 57 03/07/1996 18400 18585 19434 -849 -839.09879 58 04/07/1996 18375 18553 19356 -803 -834.29742 59 05/07/1996 18375 18526 19283 -758 -819.62703 60 08/07/1996 19000 18599 19262 -664 -786.14524 61 09/07/1996 19100 18676 19250 -575 -738.27329 62 10/07/1996 19450 18795 19265 -470 -674.51102 63 11/07/1996 19425 18892 19277 -385 -601.91246 64 12/07/1996 19450 18978 19290 -312 -525.48202 65 15/07/1996 19650 19081 19316 -235 -446.82933 66 16/07/1996 19450 19138 19326 -189 -374.80019 67 17/07/1996 19225 19151 19319 -168 -313.752 68 18/07/1996 18750 19090 19277 -187 -270.69777
Source: JSE Ltd Data obtained from Profile Media using ShareMagic Pro
Figure 2.5: Graphical representation of data from Table 2.1
Source: Sample data obtained using ShareMagic PRO software (version 8.9.0,
2011)
-1000
-800
-600
-400
-200
0
200
400
600
800
1000
26/0
4/19
96
03/0
5/19
96
10/0
5/19
96
17/0
5/19
96
24/0
5/19
96
31/0
5/19
96
07/0
6/19
96
14/0
6/19
96
21/0
6/19
96
28/0
6/19
96
05/0
7/19
96
12/0
7/19
96
MACD
Signal
Cross over 1
Cross over 2
divergence
convergence
36
2.8.6 Transaction cost in Technical Analysis
One of the main challenges of using any technical trading system is transaction cost.
In very volatile markets these systems can create many buy and sell signals. All
these transactions will generate a substantial cost which in turn will undermine the
profits possible. In South Africa transaction cost can typically vary from 0.4% to
0.7%. This study will investigate the effect of transaction cost as well.
The MACD has some standard settings. But each share has its own behaviour, so
altering the settings based on a per share basis could possibly improve one’s results.
This study will only test the default settings of the MACD (Covel, 2006).
2.9 The Fundamental / Technical Analysis debate
As indicated in Chapter 1, the research problem centres around the debate of whether Technical Analysis is more effective or less effective than Fundamental Analysis.
Anti–Technical Analysis
Some investment specialists claim that Technical Analysis ignores the nature of
companies, their products, markets, financial structure, risks and their sensitivity to
economic, industry and stock market trends and that it is only popular because it
appears easy. It is said that if this worked everyone would be using it and if everyone
used it, it would stop working because of the regularities eliminated by everyone
using it (Busetti, 2009).
Pro–Technical Analysis
Technical Analysis is accepted as a viable analytical approach by most universities
and brokerage firms. Very few large investments are made without reviewing the
technical information. But even with its acceptance, very few people actually perform
Technical Analysis (Marx, et al., 2006).
Fundamental vs. Technical
Neely, Rapach, Tu & Zhou (2010) compared the ability of economic fundamentals
and technical trading rules to forecast the monthly U.S. equity premium for 1960–
37
2008. Both approaches provided statistically and economically significant forecasting
gains. They concluded that fundamental and Technical Analysis capture different
sources of equity premium fluctuations and the two approaches appear largely
complementary.
2.10 Chapter summary
In the literature consulted there appears to be contradicting conclusions on the
effectiveness of using a Technical Analysis investment approach versus the Buy-
and-hold approach. This study aims to provide a South African perspective for the
ten years under review, using the MACD approach in Technical Analysis.
38
CHAPTER 3
Research methodology
3.1 Introduction
In this chapter, the research methodology to be used in this study is described in
terms of the research problem.
Active share investors need to decide what strategy they should use to arrive at a
decision of when to buy and when to sell the shares they have decided to invest in.
Should they follow the Fundamental Analysis route by considering the financial
statements of a company or should they consider the actual share price movement
or should they use a combination of the two strategies?
3.2 Research question and objectives
In order to address the research problem the following research question is posed:
What is the effectiveness of a Technical Analysis strategy versus a fundamental
strategy?
In particular, what is the effectiveness of a specific Fundamental Analysis strategy,
namely the Buy-and-hold strategy and a specific technical strategy, namely the
Moving Average Convergence Divergence (MACD) Indicator on the FTSE/JSE Top
40 Index shares of the JSE Ltd over a ten-year period (2001 to 2010).
In order to address the research question, the following objectives are stated:
a) For each share, determine the return on the Buy-and-hold strategy and the
MACD per year and over a ten-year period (achieved in 3.8.4).
b) For each share determine the administrative costs on the Buy-and-hold
strategy per year and over a ten-year period (achieved in 3.8.3.1).
39
c) For each share determine the net return on the Buy-and-hold and the MACD
strategy per year and over a ten-year period (achieved in 3.8.4).
d) For each share determine the administrative costs on the MACD strategy per
year and over a ten-year period (achieved in 3.8.3.3).
e) For each share compare the effectiveness of the two strategies in terms of
administration cost (achieved in 3.8.4).
f) Compare the overall effectiveness of the two strategies in terms of
administrative costs (achieved in 3.8.4).
g) Calculate the magnitude of the differences in the means to observe if the
differences are statistically significant (achieved in 3.8.5).
3.3 Scope of the research study
Only shares in the FTSE/JSE Top 40 Index with a ten-year history will be considered
in the study to ensure comparability of results for all shares over the whole ten years.
A list of the FTSE/JSE Top 40 Index as at 1 January 2011 will be obtained directly
from the JSE Ltd. The FTSE/JSE Top 40 Index on the JSE Ltd actually consists of
42 shares. The JSE Ltd rebalances the index from time to time and that results in
there sometimes being either more than 40 shares or at other times fewer than 40
shares in the index. The FTSE/JSE Top 40 Index is rebalanced every quarter by the
JSE Ltd in order to ensure that the shares of the index are representative of the
whole market. For this study the index was considered as at 31 December 2010.
Thirty two (32) shares satisfied all the conditions. More information on the scope can
be obtained from 1.5.
3.4 Research design and strategy
The nature of the research question, namely a comparison of the effectiveness of the
two different strategies by analysing share prices, requires a quantitative research
strategy as it is considered to be the most appropriate. A quantitative research
strategy is aimed at numerical data or data that could usefully be quantified to help
answer the research question and to meet stated objectives (Saunders, et al., 2009).
Within the quantitative research paradigm, the strategy to be followed in this
research study is the statistical analysis of secondary data.
The advantages of utilising secondary data are (Saunders, et al., 2009):
40
It has fewer resource requirements. Using secondary data saves time and
money if the data is readily available;
It is an unobtrusive way of obtaining data;
Longitudinal studies are possible;
It can provide comparative data;
The accuracy of the data can be verified by others; and
If the data is obtained from a reputable source, it can be considered reliable.
The disadvantages are:
The data may not match the exact needs of the researcher to address the
research question;
Access may be difficult or may be obtained at a price; and
There is no control over the reliability of the data.
In this study the data was obtained from the JSE Ltd via Profile Data and the data
can thus be considered to be reliable since it is the source used by share investors in
South Africa. The data furthermore meets the requirements of the researcher.
The data is readily available and is downloaded at a minimal fee. Secondary data to
be utilised in this study are daily share prices over the period of ten years.
The study will be longitudinal, evaluating the results of the two strategies over ten
years. Because of the availability of the underlying data over the ten-year period, this
type of study is possible.
The research is deductive in nature since the relationship between the two
investment strategies is investigated and evaluated. In other words, the most
effective strategy is used to compare the two strategies.
3.5 Sampling strategy
The list of shares on the FTSE/JSE Top 40 Index will be inspected and only the
shares with an available 10 year history will be used, i.e. from 1 January 2001 to 31
December 2010. There are 32 shares on the FTSE/JSE Top 40 Index that satisfy the
criteria and these will be used for this study. The shares that meet this requirement
are tabulated in Chapter 1, Table 1.1.
41
3.6 Data collection method
The closing price data for the FTSE/JSE Top 40 Index shares to be analysed will be
downloaded from the JSE Ltd via a software package: ShareMagic PRO software
(version 8.9.0, 2011). ShareMagic Pro accumulates all listed company information
including Annual Financial Statements and all share information and distributes it on
demand to its subscribers. The data is in no way protected and is accessible to the
general public.
3.7 Data to be collected
The data will be downloaded from Profile Media using the ShareMagic PRO software
(version 8.9.0, 2011) and analysed using Microsoft Excel 2007. Profile Media is a
registered JSE Ltd user and obtains its data directly from the JSE Ltd. Other
registered JSE Ltd users use the data from Profile Media, both in electronic form and
in their various publications. The JSE Ltd therefore verifies that the data is correct.
For each share the following data will be extracted for each day the market was
open:
the date;
the opening price;
the closing price;
the highest price for the day;
the lowest price for the day;
the volume of shares traded; and
dividends, if any paid.
For this study only the date, closing price and dividend information will be used. This
should yield approximately (120 months x 22 working days per month) 2640 data
points per share.
3.8 Data analysis
The EMA (exponential moving averages) and the signal line (see 2.8) will be
determined using the formula capabilities of Excel. The data will be analysed on an
annual basis for each individual year from 2001 to 2010. The data will be analysed
for the Buy-and-hold strategy where the shares are bought on the first trading day
(BH0), and for the Buy-and-hold straregy where shares are bought on the first MACD
42
signal (BH1), then finally for the MACD strategy. Transaction cost will be calculated
for each of 0, 0.4%, 0.5%, 0.6% and 0.7%. These trancation costs are consistent
with the range of transaction cost charged by stock brokers to individual clients in
South Africa.
Different levels of data analyses will be applied in various stages. The different levels
of data analysis are summarised below. The section where these levels of analysis is
conducted is shown in brackets.
1. Applying signals to the data: moving averages will be calculated and will be
determined as explained in section 2.8, according to the buy and sell signals
for the MACD strategy (3.8.1).
2. Dividend addition data analysis: this level of analysis adds the dividend
payout data to ensure that the dividends are added to the value of the
investments if at that point in time any shares are owned (3.8.2).
3. Transaction history: the first two levels of analysis provide the buy and sell
signals for the MACD strategy as well as the dividend pay outs. In the
transaction history step the initial investment amount is subtracted from the
share value calculated in 1 and 2 for each of the three different strategies:
Buy-and-hold from day 1 (BH0), Buy-and-hold from the first MACD signal
(BH1) and the MACD strategy (3.8.3).
4. Control sheet: the next step of analysis is to accumulate all the results per
level of transaction cost and per year (3.8.4).
5. t-tests performed on investment methods: the last level of analysis is to test if
the different investment methods have significantly different means (3.8.5). In
addition, the correlations between each pair of the BH0, BH1 and MACD will
be determined.
3.8.1 Applying signals to the data
Calculations related to 1, 2 and 3 are illustrated below.
Applying signals to the data is done as follows:
Table 3.1: Sample of applying signals to the data per share
Date Close EMA (12-day) EMA (26-day) MACD Signal B/S Tx
1 01/01/2001 11050 11126 10907 219 216.3549 Buy
43
2 02/01/2001 11250 11145 10932 213 221.3578 Sell Tx 3 03/01/2001 10950 11115 10934 181 216.0457 Sell 4 04/01/2001 11000 11097 10938 159 204.8846 Sell 5 05/01/2001 10950 11075 10939 135 189.0474 Sell 6 08/01/2001 11100 11079 10951 127 173.5064 Sell 7 09/01/2001 11150 11090 10966 124 159.7915 Sell 8 10/01/2001 11150 11099 10980 119 146.8584 Sell 9 11/01/2001 11250 11122 11000 122 138.1042 Sell
10 12/01/2001 11000 11103 11000 104 127.7177 Sell 11 15/01/2001 10950 11080 10996 84 114.9746 Sell 12 16/01/2001 10990 11066 10996 70 102.5381 Sell 13 17/01/2001 10850 11033 10985 48 88.1889 Sell 14 18/01/2001 10900 11012 10978 34 74.2196 Sell 15 19/01/2001 11000 11010 10980 30 62.3682 Sell 16 22/01/2001 10950 11001 10978 23 51.3631 Sell 17 23/01/2001 11550 11086 11020 65 52.4162 Buy Tx 18 24/01/2001 11200 11103 11034 70 54.3207 Buy
Source: JSE Ltd Data obtained from Profile Media using ShareMagic Pro
Table 3.1 is a sample of data obtained from the ShareMagic Pro software and indicates the following:
Date: these are the closing dates for which trading data is available. The closing
dates are sorted in ascending order.
Close: this is the actual closing price for each specific date. The closing prices are
in cents.
EMA (12-day) and (26-day): the next two columns represent the two exponential
moving averages (EMAs) needed. The EMA (12 day) and EMA (26 day) are
calculated using the following formulas:
( ) ( )
( )
( ) ( ) ( )
where:
cpt = closing price on day t
and
( )
3.1
3.2
44
N is the number of days (12 for 12-day EMA and 26 for 26-day EMA)
MACD: next the MACD is calculated: MACD = EMA (12-day) – EMA (26-day).
Signal: then the Signal data is calculated using the same EMA formula above for
9 days on the MACD data.
B/S: buy or sell (B/S) indicators are obtained. When the MACD is above the
signal line it indicates a buy status and when it falls below the signal line it
indicates a sell signal. In Excel the following formula was used
([=IF(MACD>B/S,"Buy","Sell"])
Tx, Transaction indicator: the last part of this phase is to identify when a buy or a
sell transaction will take place. This is done by monitoring when the signal
changes from a buy to a sell status or the other way around. In Excel the value of
the previous row is inspected and if it changes, a “Tx” indicator will be used to
indicate a transaction.([ =IF(B/S=B/Sprevious,"","Tx")])
The settings for the exponential moving averages (EMV’s) at 12, 26 and 9 days are
kept at the levels Appel used when he first created this indicator (Appel, 2003). One
is able to change these values as well but this does not fall within the scope of this
study.
3.8.2 Dividend addition data analysis
All the data for the applicable ten-year period is then transferred to a separate sheet
and all the dividends (in rand) are added on pay-out dates, as can be seen in the
example in table 3.2.
Table 3.2: Sample of dividend addition data analysis
Date Close EMA (12-day) EMA (26-day) MACD Signal B/S Tx Dividend
28 07/02/2001 10770 10866 10939 -74 -25.7434 Sell 29 08/02/2001 10950 10879 10940 -61 -36.9494 Sell 30 09/02/2001 10800 10867 10930 -63 -46.5002 Sell 31 12/02/2001 11000 10887 10935 -48 -50.1177 Buy Tx 32 13/02/2001 11250 10943 10958 -15 -45.3265 Buy 33 14/02/2001 11100 10967 10969 -2 -37.4053 Buy 34 15/02/2001 10950 10964 10967 -3 -29.8112 Buy 35 16/02/2001 10800 10939 10955 -16 -25.6227 Buy 36 19/02/2001 10780 10915 10942 -27 -24.5649 Sell Tx 37 20/02/2001 10620 10869 10918 -49 -28.6768 Sell 38 21/02/2001 10730 10848 10904 -56 -33.9864 Sell
45
39 22/02/2001 11000 10871 10911 -40 -34.4760 Sell 40 23/02/2001 11650 10991 10966 25 -20.3175 Buy Tx 41 26/02/2001 12350 11200 11069 132 14.7038 Buy 42 27/02/2001 13760 11594 11268 326 87.1326 Buy 43 28/02/2001 12450 11726 11356 370 155.2710 Buy 44 01/03/2001 12310 11816 11426 389 214.5738 Buy 3.25 45 02/03/2001 12190 11873 11483 390 262.5881 Buy
Source: JSE Ltd Data obtained from Profile Media using ShareMagic Pro
Table 3.2 is a sample of data and gives clear indications of when dividends were
paid out. Dividends are added to the available cash total. The sample displays data
points 28 to 45 in order to show the first dividend payout point on line 44.
The headings for table 3.2 are the same as for table 3.1 except for the dividend
column. This is where actual dividends per share are included.
3.8.3 Transactional history
The yield for each of the three scenarios namely Buy-and-hold from day 1; Buy-and-
hold from the first MACD signal; and the MACD are described below.
3.8.3.1 Buy-and-hold from day 1 (BH0)
For this strategy R100 000 worth of shares was bought on the first day of the study.
In Table 3.3 an extract of the investment is calculated, analysed, displayed and then
described.
Table 3.3: Sample of data for Buy-and-hold from day 1
BH0
0.4%
# of shares Value Cash Tx cost Total
901 99 560.50 41.26 398.24 99 601.76 901 101 362.50 41.26 101 403.76 901 98 659.50 41.26 98 700.76
Source: JSE Ltd Data obtained from Profile Media using ShareMagic Pro
Table 3.3 is a sample of data where transactional costs incurred, as well as the daily
variations of the share holding based on the share price are shown.
46
#: number of shares held at a specific date. The first column indicates the number
of shares that was bought using the formula:
[=ROUNDDOWN((Capital/(Transaction cost*(Closing price/100)+( Closing price
/100))),0)]. This formula gives the maximum number of shares that could be
bought after taking the transactional costs into consideration (0.4% in this
example).
Value: the next column indicates the value of the shares. This changes on a daily
basis and is calculated by multiplying the number of shares owned by the closing
price for the day.
Cash: the cash column is the residual cash after the initial transaction and all the
dividend pay-outs multiplied by the number of shares and added to the previous
cash balance.
Tx cost: the transaction cost is calculated by the difference of the cash before the
transaction and the value of shares and cash after the transaction.
Total: the last total column is the sum of the share and cash values.
3.8.3.2 Buy-and-hold from first MACD signal (BH1)
For this strategy the first buy signal for the MACD strategy would be used to buy the
shares initially. This is done to give validity to the first buying decision of shares as,
for example, this would not have happened in a falling market. Transactional history
for the Buy-and-hold on the first MACD buy signal (BH1) is displayed in Table 3.4.
Table 3.4: Sample of data for Buy-and-hold from the first MACD signal
BH1
0.4%
# Value Cash Tx cost Total
0 - 100 000.00 - 100 000.00 0 - 100 000.00 - 100 000.00 0 - 100 000.00 - 100 000.00 0 - 100 000.00 - 100 000.00 0 - 100 000.00 - 100 000.00 0 - 100 000.00 - 100 000.00 0 - 100 000.00 - 100 000.00 0 - 100 000.00 - 100 000.00 0 - 100 000.00 - 100 000.00 0 - 100 000.00 - 100 000.00 0 - 100 000.00 - 100 000.00 0 - 100 000.00 - 100 000.00
47
Signal Data
(3.8.1, 3.8.2)
BH0
(3.8.3.1)
BH1
(3.8.3.2)
MACD
(3.8.3.3)
Signal
Signal Signal
0 - 100 000.00 - 100 000.00 0 - 100 000.00 - 100 000.00 0 - 100 000.00 - 100 000.00 0 - 100 000.00 - 100 000.00
862 99 561.00 40.76 398.24 99 601.76 862 96 544.00 40.76 - 96 584.76
Source: JSE Ltd Data obtained from Profile Media using ShareMagic Pro
Table 3.4 is a sample of data of the transactional costs incurred as well as the daily
variations of the share holding based on the share price. In the Excel spreadsheet
this analysis is done next to the MACD analysis and the line with the first buy signal
in the MACD would be used to create the buy signal for BH1. In the example, this is
where the 862 shares were bought.
Figure 3.1: Graphical representation of data analysis.
The numbers in brackets show the section where the calculations are shown.
For table 3.4 the columns are similar than for table 3.3 and are represented as:
#: the first column indicates the number of shares that could be bought. Here the
value is obtained from the MACD analysis as explained in the next section as it
would also be the first buy signal for the MACD analysis. This would give the
maximum number of shares that could be bought after taking the transactional
costs into consideration. The only difference between this and the MACD section
is that here, once the number of shares has increased from zero, there is no
longer any lookup done. The formula for this is [=IF(Number of shares>0, number
of shares, IF(MACD shares>0, MACD shares, number of shares))].
48
Value: the next column indicates the value of the shares. This changes on a daily
basis and is calculated by multiplying the number of shares owned by the closing
price for the day.
Cash: the cash column shows the residual cash after the initial transaction and all
the dividend pay-outs will be multiplied by the number of shares and added to the
previous cash balance.
Tx cost: the transaction cost is also read from the MACD if there has been a buy
transaction (0.4% for this example).
Total: the last total column is the sum of the shares and cash values.
3.8.3.3 MACD strategy (MACD)
Transactional history for the MACD strategy (MACD) is displayed in Table 3.5.
Table 3.5: Sample of data for the MACD
MACD
0.4%
# Value Cash Tx cost Total
0 - 100 000.00 100 000.00 0 - 100 000.00 - 100 000.00 0 - 100 000.00 100 000.00 0 - 100 000.00 100 000.00 0 - 100 000.00 100 000.00 0 - 100 000.00 100 000.00 0 - 100 000.00 100 000.00 0 - 100 000.00 100 000.00 0 - 100 000.00 100 000.00 0 - 100 000.00 100 000.00 0 - 100 000.00 100 000.00 0 - 100 000.00 100 000.00 0 - 100 000.00 100 000.00 0 - 100 000.00 100 000.00 0 - 100 000.00 100 000.00 0 - 100 000.00 100 000.00
862 99 561.00 40.76 398.24 99 601.76 862 96 544.00 40.76 96 584.76 862 96 544.00 40.76 96 584.76 862 96 544.00 40.76 96 584.76 862 96 888.80 40.76 96 929.56
0 - 95 554.67 383.59 95 554.67 0 - 95 554.67 95 554.67
49
Source: JSE Ltd Data obtained from Profile Media using ShareMagic Pro
Table 3.5 is a sample of data that provides an indication of the transactional costs
incurred as well as the daily variations of the share holding based on the share price.
#: the first column indicates the number of shares that could be bought if there
was a buy signal generated using the formula: [=IF(Transaction="Tx",
IF(BuySell="Buy", ROUNDDOWN((Cash/(Transaction Cost*(Closing
price/100)+(Closing price/100))), 0), 0), Previous closing shares)]. This would give
the maximum number of shares that could be bought after taking the
transactional costs into consideration.
Value: the next column indicates the value of the shares. This changes on a daily
basis and is calculated by multiplying the number of shares owned by the closing
price for the day.
Cash: the cash column indicates the residual cash after the initial transaction and
all the dividend pay-outs are multiplied by the number of shares and added to the
previous cash balance. The total amount of cash is used to determine the number
of shares to buy in the next buy cycle.
Tx cost: the transaction cost is calculated by the difference of the cash before the
transaction and the value of shares and cash after the transaction (0.4% for this
example).
Total: the last total column is the sum of the share and cash values.
All these steps in 3.8.3.1 to 3.8.3.3 are repeated for 0, 0.4, 0.5, 0.6 and 0.7%
transactions cost per year and also for the whole ten-year period.
3.8.4 Control sheet
For each of the methods discussed above a separate data matrix will be created for
starting capital and transaction cost. The starting capital as indicated before, was set
at R100 000.00 and the transaction cost were set at 0, 0.4, 0.5, 0.6 and 0.7%. A
control sheet will be created to accumulate the results. An example of this is shown
in Table 3.6:
50
Table 3.6: Sample of data analysis per share
Source: JSE Ltd Data obtained from Profile Media using ShareMagic Pro
Share name: ANG Anglogold Ashanti Transaction cost: 0.0%
Initial capital: 100 000.00
0.0%
BH0 BH1 MACD
End value
% Change Rank End value
% Change Rank End value
% Change Rank
2001 196 954.00 96.95% 1 188 446.25 88.45% 2 148 799.26 48.80% 3 2002 143 385.22 43.39% 2 131 272.78 31.27% 3 175 367.22 75.37% 1 2003 111 804.91 11.80% 1 105 567.40 5.57% 2 97 513.11 -2.49% 3 2004 65 018.12 -34.98% 2 64 934.76 -35.07% 3 101 687.89 1.69% 1 2005 156 211.00 56.21% 2 156 212.00 56.21% 1 140 102.78 40.10% 3 2006 105 949.78 5.95% 2 100 198.66 0.20% 3 126 095.50 26.10% 1 2007 89 791.93 -10.21% 3 90 884.26 -9.12% 2 125 085.42 25.09% 1 2008 86 370.23 -13.63% 3 89 744.62 -10.26% 2 130 778.05 30.78% 1 2009 121 934.44 21.93% 2 117 373.60 17.37% 3 130 106.55 30.11% 1 2010 107 158.96 7.16% 2 107 011.50 7.01% 3 109 114.34 9.11% 1 Ten years 338 813.48 238.81% 2 324 185.68 224.19% 3 1 157 721.27 1057.72% 1
51
Table 3.6 is a sample of data used in the example control sheet.
Share name: the share code for the share being analysed.
Transaction cost: this is the variable used for the transaction cost (0, 0.4, 0.5,
0.6 and 0.7%).
Initial capital: this is the initial amount used as a starting point. For most
stockbrokers there is a fixed transaction cost for smaller amounts invested,
only once one goes above on average R20 000, is the sliding scale used. To
be safe in this study, R100 000 was used. The results in the spreadsheets
were tested for higher amounts as well and the results as far as rankings and
percentage profits were exactly the same as for R100 000. This amount was
chosen for easy reference and to ensure that fixed transaction cost does not
play a role.
End value: this is the value of the investment after the period using the
selected strategy. Thus the initial R100 000 will now be worth this amount
after a year or ten years of applying a selected strategy. It is important to note
that for each year from 2001 until 2010 these strategies are applied with a
fresh R 100 000 at the beginning of the period. For the ten-year analysis the
R 100 000 will only be applied once.
% Change: this is the percentage change of the investment from the
beginning of the investment.
Rank: this ranks the different strategies per period (line) across the strategies
(BH0, BH1 and MACD).
The result set per variable set (change in transaction cost) will then be saved on a
combined sheet until all the variables (different transaction cost, shares, periods and
strategies) have been used. All these result sets for each of the 32 shares will then
be transferred to a new workbook and analysed per year as well as for the ten-year
period in total.
The result sets per year can be found in Appendix 1 to 5 and are constructed as
seen in Table 3.7.
52
Table 3.7: Sample of result set per year
Source: JSE Ltd Data obtained from Profile Media using ShareMagic Pro
Table 3.7 is a sample of data that shows an extract of the data as created per year for a specific level of transaction cost. The headings are the same as for table 3.6.
2001 with 0% transaction cost
BH0 BH1 MACD
Code Share name End value
% Change Rank End value
% Change Rank End value
% Change Rank
1 ABL African Bank Invest 167 287.60 67.29% 1 163 616.95 63.62% 3 165 497.51 65.50% 2 2 ACL ArcelorMittal South Africa Ltd 485 780.03 385.78% 1 433 729.66 333.73% 2 219 695.01 119.70% 3 3 AGL Anglo American 179 545.89 79.55% 1 155 528.79 55.53% 3 160 894.18 60.89% 2 4 AMS Anglo Platinum 134 875.20 34.88% 2 133 663.80 33.66% 3 173 076.28 73.08% 1 5 ANG Anglogold Ashanti 196 954.00 96.95% 1 188 446.25 88.45% 2 148 799.26 48.80% 3 6 APN Aspen Pharmacare Holdings 164 110.13 64.11% 1 160 509.18 60.51% 3 160 918.25 60.92% 2 7 ARI African Rainbow Minerals Ltd 162 614.85 62.61% 1 159 046.70 59.05% 3 160 918.25 60.92% 2 8 ASA Absa Group 185 978.60 85.98% 1 181 897.95 81.90% 3 184 272.46 84.27% 2 9 BIL BHP Billiton 166 072.69 66.07% 1 162 428.69 62.43% 2 160 918.25 60.92% 3
10 BVT Bidvest Group 180 184.39 80.18% 1 176 230.84 76.23% 2 170 826.42 70.83% 3 11 CSO Capital Shopping Centres Group Plc 166 773.60 66.77% 1 163 114.22 63.11% 2 162 890.76 62.89% 3 12 FSR Firstrand Limited 167 053.96 67.05% 1 163 388.44 63.39% 2 163 322.08 63.32% 3 13 GFI Gold Fields 205 604.15 105.60% 1 201 093.00 101.09% 2 160 918.25 60.92% 3
53
3.8.5 t-Tests performed on investment methods
The next level of data analysis was done on the results obtained before, to test if the different investment methods have
significantly different means over the 32 selected shares. Paired samples and t-tests were used. A minimum significance level of
0.05 was used throughout. Three different T-tests were conducted namely to test whether the means of BH0 and BH1 are the
same; also for BH0 and MACD; and for BH1 and MACD. The null-hypothesis in each case was that the means are equal against
the alternative hypothesis that the means are not equal.
Table 3.8: t-Test per year assuming 0% transaction cost
2001 with 0% transaction cost
t-Test: Paired Two Sample for Means
% change
H0: BH0 = BH1
Code Share Name BH0 BH1 MACD
H1: BH0 ≠ BH1
1 ABL African Bank Invest 67.29% 63.62% 65.50% 2 ACL ArcelorMittal South Africa Ltd 385.78% 333.73% 119.70%
BH0 BH1
3 AGL Anglo American 79.55% 55.53% 60.89%
Mean 9.166E-01 8.546E-01
4 AMS Anglo Platinum 34.88% 33.66% 73.08%
Variance 3.942E-01 3.076E-01
5 ANG Anglogold Ashanti 96.95% 88.45% 48.80%
Observations 32 32
6 APN Aspen Pharmacare Holdings 64.11% 60.51% 60.92%
Pearson Correlation 9.957E-01 7 ARI African Rainbow Minerals Ltd 62.61% 59.05% 60.92%
Hypothesized Mean Difference 0
8 ASA Absa Group 85.98% 81.90% 84.27%
df 31 9 BIL BHP Billiton 66.07% 62.43% 60.92%
t Stat 3.833E+00
10 BVT Bidvest Group 80.18% 76.23% 70.83%
P(T<=t) one-tail 2.896E-04
54
11 CSO Capital Shopping Centres Group Plc 66.77% 63.11% 62.89%
t Critical one-tail 1.696E+00
12 FSR Firstrand Limited 67.05% 63.39% 63.32%
P(T<=t) two-tail 5.793E-04 13 GFI Gold Fields 105.60% 101.09% 60.92%
t Critical two-tail 2.040E+00
14 GRT Growthpoint Prop Ltd 77.47% 73.58% 60.92% 15 HAR Harmony 85.04% 80.98% 71.60% 16 IMP Impala Platinum Hlds 221.49% 214.44% 115.50%
t-Test: Paired Two Sample for Means 17 INL Investec Ltd 62.61% 59.05% 60.92%
H0: BH0 = MACD
18 LON Lonmin PLC 73.83% 70.02% 65.55%
H1: BH0 ≠ MACD 19 MTN MTN Group 64.48% 60.87% 62.98%
20 NED Nedbank Group 142.99% 137.66% 150.29%
BH0 MACD
21 NPN Naspers 67.10% 63.43% 65.55%
Mean 9.166E-01 7.418E-01
22 OML Old Mutual 63.51% 59.92% 60.92%
Variance 3.942E-01 5.549E-02
23 PIK Pick N Pay Stores 70.93% 67.18% 62.84%
Observations 32 32
24 RMH RMB Holdings 69.34% 65.63% 63.44%
Pearson Correlation 6.538E-01 25 SAB SABMiller 102.10% 97.66% 103.30%
Hypothesized Mean Difference 0
26 SBK Standard Bank Group 79.62% 75.68% 72.68%
df 31 27 SHF Steinhoff International Holdings 64.86% 61.24% 60.92%
t Stat 1.953E+00
28 SHP Shoprite 66.45% 62.79% 60.92%
P(T<=t) one-tail 2.993E-02 29 SLM Sanlam 68.22% 64.53% 60.92%
t Critical one-tail 1.696E+00
30 SOL Sasol 122.43% 117.55% 125.45%
P(T<=t) two-tail 5.986E-02 31 TBS Tiger Brands 102.43% 97.99% 95.08%
t Critical two-tail 2.040E+00
32 TRU Truworths International 65.33% 61.70% 60.92%
t-Test: Paired Two Sample for Means
H0: BH1 = MACD
H1: BH1 ≠ MACD
55
BH1 MACD
Mean 8.546E-01 7.418E-01
Variance 3.076E-01 5.549E-02
Observations 32 32
Pearson Correlation 6.866E-01
Hypothesized Mean Difference 0
df 31
t Stat 1.489E+00
P(T<=t) one-tail 7.331E-02
t Critical one-tail 1.696E+00
P(T<=t) two-tail 1.466E-01
t Critical two-tail 2.040E+00
P(T<=t) two-tail
BH0 vs BH1 5.793E-04
BH0 vs MACD 5.986E-02
BH1 vs MACD 1.466E-01
56
Results of calculation in Table 3.8:
BH0 and BH1:
The null-hypothesis of equal means was rejected (t(31) = 3.833, p-value = 0.0006 <
0.05.
BH0 and MACD:
The null-hypothesis of equal means was accepted (t(31) = 1.9533, p-value = 0.0599
> 0.05. From the observed sample means, it is evident that the mean of BHO is
larger than the mean of MACD.
BH1 and MACD:
The null-hypothesis of equal means was accepted (t(31) = 1.4889, p-value = 0.1466
> 0.05. From the observed sample means, it is evident that although the mean of
BH1 is larger than the mean of MACD, the means cannot be assumed to be
significantly different.
Table 3.8 shows an extract of the T-test done for one year (2001) and one level of
transactions cost (0%). In this example the first two hypotheses of equal means can
be rejected for BH0 and BH1 as well as BH0 and MACD, where the p(two-tail) value
is smaller than 0.05. The next hypotheses can be accepted for BH1 and MACD,
where the p(two-tail) value is larger than 0.05.
The next step is to calculate the magnitude of the difference in the means, referred
to as the effect size. The effect size is a measure of the practical significance of the
difference between those means that are statistically significantly different. The effect
size (eta-squared (η²)). Eta-squared is interpreted as the proportion of the first
strategy that is explained by the second strategy. It is the ratio of the between groups
sum of squares to the total sum of squares. It is calculated by:
or
η² = Treatment sum of squares Total sum of squares
3.3
3.4
57
The guidelines for interpreting the effect size are:
Small effect: 0.01
Moderate effect: 0.06
Large effect: 0.14
Thus, if one ends up with η² = 0.45, one can assume the effect size is very large. For
the data above, η² is calculated as follows:
Table 3.9: Calculation of eta2
BH0 vs MACD
SUMMARY Groups Count Sum Average Variance
BH0 32 29.3307 0.9166 0.3942 MACD 32 23.7365 0.7418 0.0555
ANOVA Source of Variation SS df MS F P-value F crit
Between Groups 0.4890 1 0.4890 2.1746 0.1454 3.9959
Within Groups 13.9414 62 0.2249
Total 14.4303 63
η² = 0.0339 (small to moderate effect)
BH1 vs MACD
SUMMARY Groups Count Sum Average Variance
BH1 32 27.3459 0.8546 0.3076 MACD 32 23.7365 0.7418 0.0555
ANOVA Source of Variation SS Df MS F P-value F crit
Between Groups 0.2036 1 0.2036 1.1214 0.2937 3.9959
Within Groups 11.2543 62 0.1815
Total 11.4579 63
η² = 0.0178 (small effect)
58
Although the difference between the means of BH1 vs MACD is not significantly
different, the effect size is small.
3.9 Validity and reliability of data
3.9.1 Validity of measurement Validity refers to the extent to which the data collection method accurately measures
what it was intended to measure (Saunders, et al., 2009). The data collected in this
study were the date, share price and dividend payout per day, which were exactly
what was needed to answer the research problem.
3.9.2 Reliability Reliability refers to the source of the data. Is it a reliable and trusted source?
Reliability is the extent to which data collection techniques will yield consistent
findings or conclusions if researched by other parties using the same raw data
(Saunders, et al., 2009). The data are used by all active investors and asset
managers who invest in the share market. Any unreliable data will be picked up soon
and followed up by the users. All listed companies as well as the JSE Ltd and
STRATE (South Africa’s Central Securities Depository) are audited by external
auditors. This also increases the reliability of the data. STRATE is the entity that
administrates all listed shares and has taken the place of actual share certificates
compared to the past. Since the data are readily available from the JSE Ltd and are
scrutinised by all its users, the data used for this study are accurate and testing of
the results by any other party should yield the same results and conclusions if the
same methods were used.
3.10 Ethical considerations
Ethics in research refers to privacy, voluntary nature of participation, consent,
confidentiality and effects of participants (Saunders, et al., 2009). On another level it
also refers to how the researcher behaves and remains objective: his/her
professional behaviour, review and professional code of ethics (Leedy & Ormrod,
2010).
59
Ethical requirements in research extend beyond the ethics related to the collection of
primary data (such as questionnaires and interviews) and include requirements
regarding the collection and analysis of secondary data.
In order to comply with the ethical requirements in research, the following will be
done:
Data will be downloaded from a reliable source;
The researcher will not tamper with the data;
The researcher will analyse the data using appropriate data analysis
strategies;
The researcher will report all the findings accurately;
The researcher will interpret these responsibly.
All share price information gathered is available on the JSE Ltd website, other
websites and newspapers; as such there are no ethical issues in the usage of the
data. All the share price data and financial information about these companies is
already in the public domain and this study will not bring more information about
these companies to light.
3.11 Limitations
This study has the following limitations:
Only the FTSE/JSE Top 40 Index shares of the JSE Ltd were considered. This is
due to the fact that the FTSE/JSE Top 40 Index shares can be considered as a
proxy for the performance of the rest of the market. An additional reason is that
the FTSE/JSE Top 40 Index shares are much more liquid than the rest of the
market and as such it can safely be assumed that there is a suffcient supply and
demand to ensure that the buy and sell signals can be acted upon.
Since this study focuses on Technical Analysis; certain assumptions have had to
be made for the Buy-and-hold strategy. The first set of analysis done assuming
the Buy-and-hold strategy bought the shares on 1 January 2001, when the study
starts. The second set of analysis is the first time the MACD signaled a buy and
will also be when the Buy-and-hold strategy buys for the first time.
60
This study will only consider the Top 40 shares over the last ten years (2001 to
2010). The reason for this is that in the last ten years we have experienced
economic booms and a recession and this study is able to test the resilience of
the MACD strategty over the whole period.
For the purpose of this study an amount of R 100 000 will be allocated to each
share and the potential interest earned during cash holding periods will be
ignored. The dividends earned while the shares were owned will be added to the
cash balance. For the Buy-and-hold strategy this cash simply accumulated while
for the MACD strategy it was utilised in the next buy cycle.
The implications of these limitations are:
Only a general result will be obtained. The MACD or Buy-and-hold strategy
may perform differently on a share that does not form part of the FTSE/JSE
Top 40 Index.
For the Buy-and-hold strategy this study will assume that the shares were
bought on the first day of the study, i.e. 1 January 2001. If the companies are
properly analysed using fundamental investment principals some of those
shares might not have been bought at all. This factor is somewhat mitigated
by the BH1 strategy where the shares are only bought at the first MACD buy
signal and is thus in no a way proper fundemental analysis. The impact is thus
that the Buy-and-hold strategy may perform better than reported if the shares
are properly analysed.
These strategies may behave differently in times other than the ten years
considered.
For the purposes of the study a fixed amount will be applied to all the selected
shares. In a real world situation investors will have to allocate their limited
resources and may not allocate them exactly equally among all their selected
shares.
61
3.12 Chapter summary
The available data will be analysed using the methodologies explained above. This
research will use quantitative data analysis, analysing data obtained from the JSE
Ltd. The required daily share information will be gathered (date, closing price,
dividends, etc.) and the data will be put into simulated investment strategies to
compare the effectiveness of Buy-and-hold versus the MACD strategy.
62
Chapter 4
Results
4.1 Introduction
The data required for the study was processed and compared by using Excel 2007.
ShareMagic Pro was used to obtain the data.
4.2 Description of the sample
For 32 of the 42 shares making up the FTSE/JSE Top 40 Index over a ten-year
period, the daily closing prices were downloaded for the ten years from 2001 to
2011. For the initial calculations the data were downloaded from the year 2000. This
was done to ensure that there were enough data to calculate the moving averages
for the whole ten-year period as it takes some data before one can get data from the
moving averages (data before 1 January 2001 are required to calculate the moving
average on 1 January, 26 days before), but only the ten-year period results were
used for further analysis. The 32 shares used in the study are listed in Table 1.1
63
4.3 Results
Table 4.1: Summary of results for each year and the ten-year period at 0%
transaction cost
0% BH0 vs BH1 BH0 vs MACD BH1 vs MACD
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2001 0.996 VS+ > 0.0006 0.654 M+ > 0.0599 0.687 M+ > 0.1466
2002 0.993 VS+ > 0.0000 0.665 M+ < 0.0000 0.652 M+ > 0.0000
2003 0.978 VS+ > 0.0000 0.456 M+ > 0.0000 0.449 M+ > 0.0000
2004 0.993 VS+ < 0.0000 0.903 VS+ > 0.0000 0.903 VS+ > 0.0000
2005 0.969 VS+ < 0.0000 0.309 W+ > 0.0000 0.187 W+ > 0.0000
2006 0.997 VS+ > 0.0000 0.627 M+ < 0.0001 0.619 M+ < 0.0000
2007 0.997 VS+ > 0.0000 0.508 M+ > 0.0675 0.485 M+ > 0.2534
2008 0.961 VS+ < 0.0000 -0.224 W- < 0.0206 -0.350 W- > 0.4913
2009 0.949 VS+ > 0.4542 0.655 M+ > 0.0094 0.689 M+ > 0.1139
2010 0.996 VS+ < 0.7059 0.722 S+ > 0.0204 0.722 S+ > 0.0167
Ten years 0.998 VS+ > 0.0002 0.408 M+ < 0.0113 0.402 M+ < 0.0064
In Table 4.1 the data can be read as:
The top row indicates the different strategies that are compared: BH0 vs BH1, BH0 vs MACD, or BH1 vs MACD;
The next row indicates the comparison done between the strategies; o Correlation: this is the Pearson Correlation value obtained when the t-
tests are run; o Interpretation: this is the interpretation of the Pearson Correlation value
and can be: VS+ - Very Strong Positive Correlation; M+ - Moderate Positive Correlation; W+ - Weak Positive Correlation; S+ - Strong Positive Correlation; W- - Weak Negative Correlation;
o Means : > - First strategy’s mean is larger than the second, or < First strategy’s mean is smaller than the second;
o p-value: This is the P(T<=t) two-tail value from the t-test; Accept/Reject: if the p-value was smaller than 0.05, the null hypothesis was
rejected(), otherwise it was accepted ().
64
Table 4.2: Summary of results for each year and the ten-year period at 0.4%
transaction cost
0.4% BH0 vs BH1 BH0 vs MACD BH1 vs MACD
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2001 0.996 VS+ > 0.0006 0.635 M+ > 0.0018 0.671 M+ > 0.0030
2002 0.993 VS+ > 0.0000 0.722 S+ < 0.0000 0.709 S+ < 0.0000
2003 0.978 VS+ > 0.0000 0.411 M+ > 0.0000 0.403 M+ > 0.0000
2004 0.993 VS+ < 0.0000 0.902 VS+ > 0.0000 0.892 S+ > 0.0000
2005 0.969 VS+ < 0.0000 0.182 VW+ > 0.0000 0.048 VW+ > 0.0000
2006 0.997 VS+ > 0.0000 0.670 M+ > 0.6610 0.667 M+ < 0.1680
2007 0.997 VS+ > 0.0000 0.557 M+ > 0.0000 0.533 M+ > 0.0000
2008 0.961 VS+ < 0.0000 -0.255 W- > 0.9915 -0.395 W- < 0.0166
2009 0.949 VS+ > 0.4573 0.605 M+ > 0.0000 0.669 M+ > 0.0000
2010 0.996 VS+ < 0.6719 0.611 M+ > 0.0000 0.605 M+ > 0.0000
Ten years 0.998 VS+ > 0.0002 0.457 M+ > 0.0122 0.449 M+ > 0.0215
Table 4.3: Summary of results for each year and the ten-year period at 0.5%
transaction cost
0.5% BH0 vs BH1 BH0 vs MACD BH1 vs MACD
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t-te
st
Acc
ep
t/R
eje
ct
2001 0.996 VS+ > 0.0006 0.655 M+ > 0.0007 0.689 M+ > 0.0009
2002 0.993 VS+ > 0.0000 0.686 M+ < 0.0000 0.671 M+ < 0.0000
2003 0.978 VS+ > 0.0000 0.438 M+ > 0.0000 0.429 M+ > 0.0000
2004 0.993 VS+ < 0.0000 0.898 S+ > 0.0000 0.895 S+ > 0.0000
2005 0.969 VS+ < 0.0000 0.255 W+ > 0.0000 0.123 W+ > 0.0000
2006 0.997 VS+ > 0.0000 0.641 M+ > 0.0954 0.638 M+ < 0.9745
2007 0.997 VS+ > 0.0000 0.470 M+ > 0.0000 0.444 M+ > 0.0000
2008 0.961 VS+ < 0.0000 -0.258 W- > 0.5063 -0.396 W- < 0.0038
2009 0.949 VS+ > 0.4559 0.644 M+ > 0.0000 0.710 S+ > 0.0000
2010 0.996 VS+ < 0.6543 0.663 M+ > 0.0000 0.663 M+ > 0.0000
Ten years 0.998 VS+ > 0.0002 0.409 M+ > 0.0002 0.402 M+ > 0.0005
65
Table 4.4: Summary of results for each year and the ten-year period at 0.6%
transaction cost
0.6% BH0 vs BH1 BH0 vs MACD BH1 vs MACD
Co
rre
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on
Inte
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on
Me
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st
Ac
ce
pt/
Re
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t
Co
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Inte
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Me
an
s
t-te
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Ac
ce
pt/
Re
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Co
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on
Inte
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Ac
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t
2001 0.996 VS+ > 0.0006 0.626 M+ > 0.0003 0.663 M+ > 0.0004
2002 0.993 VS+ > 0.0000 0.674 M+ < 0.0000 0.659 M+ < 0.0000
2003 0.978 VS+ > 0.0000 0.445 M+ > 0.0000 0.436 M+ > 0.0000
2004 0.993 VS+ < 0.0000 0.892 S+ > 0.0000 0.892 S+ > 0.0000
2005 0.969 VS+ < 0.0000 0.277 W+ > 0.0000 0.146 W+ > 0.0000
2006 0.996 VS+ > 0.0000 0.624 M+ > 0.0077 0.623 M+ > 0.2589
2007 0.997 VS+ > 0.0000 0.427 M+ > 0.0000 0.400 M+ > 0.0000
2008 0.961 VS+ < 0.0000 -0.261 W- > 0.2084 -0.400 M- > 0.0010
2009 0.949 VS+ > 0.4587 0.653 M+ > 0.0000 0.720 S+ > 0.0000
2010 0.996 VS+ < 0.6819 0.672 M+ > 0.0000 0.673 M+ > 0.0000
Ten years 0.998 VS+ > 0.0002 0.388 W+ > 0.0000 0.382 W+ > 0.0000
Table 4.5: Summary of results for each year and the ten-year period at 0.7%
transaction cost
0.7% BH0 vs BH1 BH0 vs MACD BH1 vs MACD
Co
rre
lati
on
Inte
rpre
tati
on
Me
an
s
t-te
st
Acc
ep
t/R
eje
ct
Co
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lati
on
Inte
rpre
tati
on
Me
an
s
t-te
st
Acc
ep
t/R
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ct
Co
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on
Inte
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on
Me
an
s
t-te
st
Acc
ep
t/R
eje
ct
2001 0.996 VS+ > 0.0006 0.621 M+ > 0.0001 0.659 M+ > 0.0001
2002 0.993 VS+ > 0.0000 0.672 M+ < 0.0000 0.656 M+ < 0.0000
2003 0.978 VS+ > 0.0000 0.443 M+ > 0.0000 0.433 M+ > 0.0000
2004 0.993 VS+ < 0.0000 0.890 S+ > 0.0000 0.890 S+ > 0.0000
2005 0.969 VS+ < 0.0000 0.272 W+ > 0.0000 0.139 W+ > 0.0000
2006 0.996 VS+ > 0.0000 0.623 M+ > 0.0005 0.622 M+ > 0.0305
2007 0.997 VS+ > 0.0000 0.413 M+ > 0.0000 0.385 W+ > 0.0000
2008 0.961 VS+ < 0.0000 -0.267 W- > 0.0746 -0.406 M- > 0.0003
2009 0.948 VS+ > 0.4607 0.650 M+ > 0.0000 0.724 S+ > 0.0000
2010 0.996 VS+ < 0.6701 0.662 M+ > 0.0000 0.665 M+ > 0.0000
Ten years 0.998 VS+ > 0.0002 0.385 W+ > 0.0000 0.378 W+ > 0.0000
66
Table 4.6: Ranking of investment strategies per year for 0% transaction cost
(BH include both BH0 & BH1)
Times as number 1
0% BH MACD
2001 28 4 2002 1 31 2003 30 2 2004 29 3 2005 31 1 2006 4 28 2007 29 3 2008 28 4 2009 31 1 2010 29 3
Table 4.6 indicates the results of how many times the individual shares (32 per line)
came first for the Fundamental Analysis (BH0 an BH1 combined) and how many
times they came first for the Technical Analysis (MACD). The strategies were ranked
based on returns per year.
Table 4.7: Ranking of investment strategies per year for 0.4% transaction cost.
(BH includes both BH0 & BH1)
Times as number 1
0.4% BH MACD
2001 31 1 2002 1 31 2003 30 2 2004 30 2 2005 31 1 2006 6 26 2007 30 2 2008 28 4 2009 31 1 2010 30 2
67
Table 4.8: Ranking of investment strategies per year for 0.5% transaction cost.
(BH includes both BH0 & BH1)
Times as number 1
0.5% BH MACD
2001 31 1 2002 1 31 2003 30 2 2004 30 2 2005 31 1 2006 14 18 2007 30 2 2008 28 4 2009 32 0 2010 30 2
Table 4.9: Ranking of investment strategies per year for 0.6% transaction cost.
(BH includes both BH0 & BH1)
Times as number 1
0.6% BH MACD
2001 31 1 2002 1 31 2003 30 2 2004 30 2 2005 31 1 2006 28 4 2007 30 2 2008 28 4 2009 32 0 2010 30 2
68
Table 4.10: Ranking of investment strategies per year for 0.7% transaction
cost. (BH includes both BH0 & BH1)
Times as number 1
0.7% BH MACD
2001 31 1 2002 1 31 2003 30 2 2004 30 2 2005 31 1 2006 31 1 2007 30 2 2008 28 4 2009 32 0 2010 30 2
69
The following is a summary of all results per transaction cost level.
0% Transaction cost
Table 4.11: Results for the ten years separately at 0% transaction cost
0% Transaction cost
BH0 BH1 MACD
AVG End value
AVG % Change
AVG Rank AVG End value
AVG % Change
AVG Rank AVG End value
AVG % Change AVG Rank
2001 191 658.45 91.66% 1.125 185 456.05 85.46% 2.406 174 176.56 74.18% 2.469 2002 85 281.97 -14.72% 2.000 81 946.57 -18.05% 2.938 138 329.18 38.33% 1.063 2003 179 110.59 79.11% 1.094 161 494.19 61.49% 2.031 123 089.05 23.09% 2.875 2004 193 036.24 93.04% 1.938 198 521.98 98.52% 1.250 149 633.58 49.63% 2.813 2005 146 790.78 46.79% 1.938 152 349.16 52.35% 1.094 116 321.60 16.32% 2.938 2006 128 154.65 28.15% 1.906 123 696.49 23.70% 2.844 139 287.32 39.29% 1.250 2007 123 032.90 23.03% 1.156 121 585.17 21.59% 2.063 119 342.88 19.34% 2.781 2008 83 817.30 -16.18% 2.719 96 415.02 -3.58% 1.219 93 079.63 -6.92% 2.063 2009 125 570.73 25.57% 1.188 124 747.44 24.75% 2.563 121 518.61 21.52% 2.250 2010 132 283.83 32.28% 1.125 132 390.66 32.39% 2.063 127 195.16 27.20% 2.813
Table 4.12: Results for the whole ten years at 0% transaction cost
2001 to 2010 with 0% transaction cost
BH0 BH1 MACD
AVG End value
AVG % Change/Y
AVG Rank AVG End value
AVG % Change/Y
AVG Rank AVG End value
AVG % Change/Y
AVG Rank
10 Yrs 761 102.01 17.75% 1.75 719 902.89 17.24% 2.5 1 311 955.14 23.73% 1.75 Source: Research data
70
In Table 4.11 and 4.12 each of the 32 shares was assessed for each year (2001 to 2010) and for the ten-year period at a 0% transaction cost. For each share a value was obtained for the value of the investment at period end, the percentage change of the investment for each share and what the ranking of the method was (did each share rank 1, 2 or 3rd for BH0, BH1 or MACD). Next the averages were calculated per level of transaction cost and investment strategy (BH0, BH1 and MACD). In the tables these are represented by AVG End Value, AVG % change and AVG Rank.
Figure 4.1: Ranking for each year of the ten-year period at 0% transaction cost
per investment strategy
Source: Research data
Table 4.13: Ranking number per year at 0% transaction cost
Source: Research data
1
1.2
1.4
1.6
1.8
2
2.2
2.4
2.6
2.8
3
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
Ran
k
BH0
BH1
MACD
BH0 BH1 MACD
Times first 150 89 81 Times second 142 127 52 Times third 28 104 187
71
Table 4.13 shows the annual results in ranking for the three investment methods at a 0% transaction cost level. Each column and row adds up to 320 (32 shares x 10 years).
Table 4.14: Ranking percentage per year at 0% transaction cost
Source: Research data
Table 4.14 shows the annual results in percentage for the three investment methods at a 0% transaction cost level.
Table 4.15: t-Test results for 0% transaction cost (p-values)
BH0 vs BH1 BH0 vs MACD BH1 vs MACD
2001 with 0% transaction cost 5.79E-04 5.99E-02 1.47E-01
2002 with 0% transaction cost 5.70E-06 2.45E-13 6.19E-14
2003 with 0% transaction cost 4.85E-13 1.65E-11 4.25E-09
2004 with 0% transaction cost 2.23E-06 2.72E-10 1.10E-10
2005 with 0% transaction cost 5.84E-08 3.49E-11 4.02E-13
2006 with 0% transaction cost 4.78E-17 1.24E-04 5.80E-07
2007 with 0% transaction cost 3.40E-09 6.75E-02 2.53E-01
2008 with 0% transaction cost 1.76E-11 2.06E-02 4.91E-01
2009 with 0% transaction cost 4.54E-01 9.35E-03 1.14E-01
2010 with 0% transaction cost 7.06E-01 2.04E-02 1.67E-02
Ten years with 0% transaction cost 2.15E-04 1.13E-02 6.40E-03
Table 4.15 displays the results of the T-tests done for the results between the different investment strategies for 0% transactions costs. The shaded cells in the table indicate instances where the means of the different strategies were not significantly different. The next set of results shows the effect of those cases.
BH0 BH1 MACD
% First 46.9% 27.8% 25.3% % Second 44.4% 39.7% 16.3% % Third 8.8% 32.5% 58.4%
72
Table 4.16: Eta-squared results for 0% transaction cost
BH0 vs BH1 BH0 vs MACD BH1 vs MACD
2001 with 0% transaction cost 0.003 0.034 0.018
2002 with 0% transaction cost 0.004 0.446 0.483
2003 with 0% transaction cost 0.074 0.505 0.377
2004 with 0% transaction cost 0.005 0.350 0.383
2005 with 0% transaction cost 0.031 0.532 0.653
2006 with 0% transaction cost 0.016 0.137 0.244
2007 with 0% transaction cost 0.004
2008 with 0% transaction cost 0.133 0.105
2009 with 0% transaction cost 0.043
2010 with 0% transaction cost 0.032 0.034
Ten years with 0% transaction cost 0.001 0.065 0.076
If the p-value in the t-test is less than 0.05 then there is a statistical significant
difference between the means of the two investment strategies. If the effect size
(eta2) falls above 0.14 then there is a large practical difference as well. There are
nine cases where eta2 is larger than 0.14 for 0% transaction cost.
Figure 4.2: Graphical representation of eta2 for 0% transaction cost
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
Eta
2 v
alu
es
Moderate effect Small effect
Large effect
73
0.4% Transaction cost
Table 4.17: Results for the ten years separately at 0.4% transaction cost
0.4% Transaction cost
BH0 BH1 MACD
AVG End value
AVG % Change
AVG Rank AVG End value
AVG % Change
AVG Rank AVG End value
AVG % Change
AVG Rank
2001 190 896.81 90.90% 1.03125 184 717.89 84.72% 2.03125 159 845.55 59.85% 2.9375 2002 84 969.30 -15.03% 2 81 647.01 -18.35% 2.9375 125 928.65 25.93% 1.0625 2003 178 412.14 78.41% 1.09375 160 868.62 60.87% 2.03125 111 323.88 11.32% 2.875 2004 192 298.37 92.30% 1.90625 197 755.65 97.76% 1.21875 136 308.06 36.31% 2.875 2005 146 220.78 46.22% 1.90625 151 757.14 51.76% 1.15625 103 531.53 3.53% 2.9375 2006 127 667.59 27.67% 1.84375 123 209.12 23.21% 2.84375 126 582.53 26.58% 1.3125 2007 122 566.21 22.57% 1.125 121 126.77 21.13% 2 107 014.40 7.01% 2.875 2008 83 501.14 -16.50% 2.25 96 034.78 -3.97% 1.21875 83 458.69 -16.54% 2.53125 2009 125 085.09 25.09% 1.125 124 271.60 24.27% 1.96875 107 753.95 7.75% 2.90625 2010 131 772.03 31.77% 1.09375 131 890.65 31.89% 2.03125 115 455.40 15.46% 2.875
Table 4.18: Results for the whole ten years at 0.4% transaction cost
2001 to 2010 with 0% transaction cost
BH0 BH1 MACD
AVG End value
AVG % Change/Y
AVG Rank AVG End value
AVG % Change/Y
AVG Rank AVG End value
AVG % Change/Y
AVG Rank
Ten Years
758 715.09 17.70% 1.5 717 618.32 17.20% 2.25 586 290.68 11.90% 2.25
Source: Research data
74
Figure 4.3: Ranking for each year of the ten-year period at 0.4% transaction
cost per method
Source: Research data
Table 4.19: Ranking number per year at 0.4% transaction cost
Source: Research data
Table 4.19 shows the annual results in ranking for the three investment methods at a 0.4% transaction cost level.
Table 4.20: Ranking percentage per year at 0.4% transaction cost
Source: Research data
1
1.2
1.4
1.6
1.8
2
2.2
2.4
2.6
2.8
3
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
Ran
k
BH0
BH1
MACD
BH0 BH1 MACD
Times first 160 87 72 Times second 148 164 10 Times third 12 69 238
BH0 BH1 MACD
% First 50.0% 27.2% 22.5% % Second 46.3% 51.3% 3.1% % Third 3.8% 21.6% 74.4%
75
Table 4.20 shows the annual results in percentage for the three investment methods at a 0.4% transaction cost level.
Table 4.21: t-Test results for 0.4% transaction cost (p-values)
BH0 vs BH1 BH0 vs MACD BH1 vs MACD
2001 with 0.4% transaction cost 5.80E-04 1.82E-03 3.01E-03
2002 with 0.4% transaction cost 5.75E-06 4.83E-12 8.07E-13
2003 with 0.4% transaction cost 4.92E-13 3.46E-13 2.53E-11
2004 with 0.4% transaction cost 2.31E-06 7.92E-13 6.56E-13
2005 with 0.4% transaction cost 5.93E-08 9.54E-14 3.14E-15
2006 with 0.4% transaction cost 3.88E-17 6.61E-01 1.68E-01
2007 with 0.4% transaction cost 3.61E-09 1.98E-09 1.33E-08
2008 with 0.4% transaction cost 2.04E-11 9.91E-01 1.66E-02
2009 with 0.4% transaction cost 4.57E-01 3.16E-12 2.75E-09
2010 with 0.4% transaction cost 6.72E-01 8.85E-08 6.65E-08
Ten years with 0.4% transaction cost 2.16E-04 1.22E-02 2.15E-02
Table 4.22: Eta-squared results for 0.4% transaction cost
BH0 vs BH1 BH0 vs MACD BH1 vs MACD
2001 with 0.4% transaction cost 0.003 0.102 0.083
2002 with 0.4% transaction cost 0.004 0.344 0.387
2003 with 0.4% transaction cost 0.074 0.598 0.506
2004 with 0.4% transaction cost 0.005 0.477 0.498
2005 with 0.4% transaction cost 0.031 0.679 0.760
2006 with 0.4% transaction cost 0.016
2007 with 0.4% transaction cost 0.004 0.346 0.314
2008 with 0.4% transaction cost 0.133 0.125
2009 with 0.4% transaction cost 0.440 0.309
2010 with 0.4% transaction cost 0.271 0.278
Ten years with 0.4% transaction cost 0.001 0.059 0.050
There are 14 cases where eta2 is larger than 0.14 for 0.4% transaction cost.
76
Figure 4.4: Graphical representation of eta2 for 0.4% transaction cost
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
Eta
2 v
alu
es
Moderate effect Small effect
Large effect
77
0.5% Transaction cost
Table 4.23: Results for the ten years separately at 0.5% transaction cost
0.4% Transaction cost
BH0 BH1 MACD
AVG End value
AVG % Change
AVG Rank AVG End value
AVG % Change
AVG Rank AVG End value
AVG % Change
AVG Rank
2001 190 720.46 90.72% 1.03125 184 550.82 84.55% 2.03125 156 598.69 56.60% 2.9375 2002 84 863.18 -15.14% 2 81 547.50 -18.45% 2.9375 122 582.38 22.58% 1.0625 2003 178 224.13 78.22% 1.09375 160 693.34 60.69% 2.03125 108 223.05 8.22% 2.875 2004 192 082.41 92.08% 1.90625 197 535.12 97.54% 1.21875 132 730.10 32.73% 2.875 2005 146 069.20 46.07% 1.90625 151 588.03 51.59% 1.15625 100 169.27 0.17% 2.9375 2006 127 525.91 27.53% 1.59375 123 075.68 23.08% 2.8125 123 155.65 23.16% 1.59375 2007 122 431.87 22.43% 1.125 120 989.31 20.99% 2 103 725.93 3.73% 2.875 2008 83 408.49 -16.59% 2.03125 95 930.70 -4.07% 1.21875 80 852.03 -19.15% 2.75 2009 124 947.60 24.95% 1.09375 124 131.77 24.13% 1.90625 104 198.10 4.20% 3 2010 131 635.66 31.64% 1.96875 131 760.77 31.76% 1.15625 112 431.84 12.43% 2.875
Table 4.24: Results for the whole ten years at 0.5% transaction cost
2001 to 2010 with 0% transaction cost
BH0 BH1 MACD
AVG End value
AVG % Change/Y
AVG Rank AVG End value
AVG % Change/Y
AVG Rank AVG End value
AVG % Change/Y
AVG Rank
Ten Years
757 473.75 17.69% 1.375 716
472.25 17.18% 2.15625 391 705.29 8.71% 2.46875
Source: Research data
78
Figure 4.5: Ranking for each year of the ten-year period at 0.5% transaction
cost per method
Source: Research data
Table 4.25: Ranking number per year at 0.5% transaction cost
Source: Research data
Table 4.25 shows the annual results in ranking for the three investment methods at a 0.5% transaction cost level.
Table 4.26: Ranking percentage per year at 0.5% transaction cost
Source: Research data
1
1.2
1.4
1.6
1.8
2
2.2
2.4
2.6
2.8
3
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
Ran
k
BH0
BH1
MACD
BH0 BH1 MACD
Times first 140 116 63 Times second 176 137 9 Times third 4 67 248
BH0 BH1 MACD
% First 43.8% 36.3% 19.7% % Second 55.0% 42.8% 2.8% % Third 1.3% 20.9% 77.5%
79
Table 4.26 shows the annual results in percentage for the three investment methods at a 0.5% transaction cost level.
Table 4.27: t-Test results for 0.5% transaction cost (p-values)
BH0 vs BH1 BH0 vs MACD BH1 vs MACD
2001 with 0.5% transaction cost 5.87E-04 6.69E-04 9.39E-04
2002 with 0.5% transaction cost 5.86E-06 1.06E-10 1.65E-11
2003 with 0.5% transaction cost 4.91E-13 6.16E-14 2.93E-12
2004 with 0.5% transaction cost 2.32E-06 2.74E-13 2.22E-13
2005 with 0.5% transaction cost 6.42E-08 1.89E-15 5.88E-17
2006 with 0.5% transaction cost 4.54E-17 9.54E-02 9.74E-01
2007 with 0.5% transaction cost 3.60E-09 1.32E-10 6.34E-10
2008 with 0.5% transaction cost 2.02E-11 5.06E-01 3.82E-03
2009 with 0.5% transaction cost 4.56E-01 5.36E-15 1.51E-11
2010 with 0.5% transaction cost 6.54E-01 1.16E-09 7.45E-10
Ten years with 0.5% transaction cost 2.16E-04 2.42E-04 4.67E-04
Table 4.28: Eta-squared results for 0.5% transaction cost
BH0 vs BH1 BH0 vs MACD BH1 vs MACD
2001 with 0.5% transaction cost 0.003 0.121 0.103
2002 with 0.5% transaction cost 0.004 0.314 0.359
2003 with 0.5% transaction cost 0.074 0.625 0.543
2004 with 0.5% transaction cost 0.005 0.509 0.528
2005 with 0.5% transaction cost 0.031 0.724 0.796
2006 with 0.5% transaction cost 0.016
2007 with 0.5% transaction cost 0.004 0.447 0.421
2008 with 0.5% transaction cost 0.132 0.179
2009 with 0.5% transaction cost 0.541 0.401
2010 with 0.5% transaction cost 0.341 0.348
Ten years with 0.5% transaction cost 0.001 0.141 0.129
There are 16 cases where eta2 is larger than 0.14 for 0.5% transaction cost.
80
Figure 4.6: Graphical representation of eta2 for 0.5% transaction cost
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
Eta
2 v
alu
es
Moderate effect Small effect
Large effect
81
0.6% Transaction cost
Table 4.29: Results for the ten years separately at 0.6% transaction cost
0.4% Transaction cost
BH0 BH1 MACD
AVG End value
AVG % Change
AVG Rank AVG End value
AVG % Change
AVG Rank AVG End value
AVG % Change
AVG Rank
2001 190 518.05 90.52% 1.03125 184 354.61 84.35% 2.03125 153 132.78 53.13% 2.9375 2002 84 775.63 -15.22% 2 81 462.85 -18.54% 2.9375 119 538.62 19.54% 1.0625 2003 178 040.77 78.04% 1.09375 160 530.35 60.53% 2.03125 105 378.11 5.38% 2.875 2004 191 886.49 91.89% 1.90625 197 335.06 97.34% 1.21875 129 463.04 29.46% 2.875 2005 145 916.84 45.92% 1.90625 151 438.22 51.44% 1.15625 97 110.36 -2.89% 2.9375 2006 127 398.15 27.40% 1.15625 122 921.34 22.92% 2.65625 120 042.21 20.04% 2.1875 2007 122 303.02 22.30% 1.125 120 861.35 20.86% 2 100 748.39 0.75% 2.875 2008 83 319.59 -16.68% 2.03125 95 829.21 -4.17% 1.21875 78 501.32 -21.50% 2.75 2009 124 822.24 24.82% 1.09375 124 019.06 24.02% 1.90625 100 941.82 0.94% 3 2010 131 832.57 31.83% 1.09375 131 947.47 31.95% 2.03125 109 697.44 9.70% 2.875
Table 4.30: Results for the whole ten years at 0.6% transaction cost
2001 to 2010 with 0% transaction cost
BH0 BH1 MACD
AVG End value
AVG % Change/Y
AVG Rank AVG End value
AVG % Change/Y
AVG Rank AVG End value
AVG % Change/Y
AVG Rank
Ten Years
756 557.55 17.68% 1.3125 715 604.11 17.17% 2.0625 295 122.92 5.82% 2.625
Source: Research data
82
Figure 4.7: Ranking for each year of the ten-year period 0.6% transaction cost
per method
Source: Research data
Table 4.31: Ranking number per year at 0.6% transaction cost
Source: Research data
Table 4.31 shows the annual results in ranking for the three investment methods at a 0.6% transaction cost level.
Table 4.32: Ranking percentage per year at 0.6% transaction cost
Source: Research data
1
1.2
1.4
1.6
1.8
2
2.2
2.4
2.6
2.8
3
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
Ran
k
BH0
BH1
MACD
BH0 BH1 MACD
Times first 182 88 49 Times second 134 170 18 Times third 4 62 253
BH0 BH1 MACD
% First 56.9% 27.5% 15.3% % Second 41.9% 53.1% 5.6% % Third 1.3% 19.4% 79.1%
83
Table 4.32 shows the annual results in percentage for the three investment methods at a 0.6% transaction cost level.
Table 4.33: t-Test results for 0.6% transaction cost (p-values)
BH0 vs BH1 BH0 vs MACD BH1 vs MACD
2001 with 0.6% transaction cost 5.81E-04 2.98E-04 3.60E-04
2002 with 0.6% transaction cost 5.95E-06 7.88E-10 1.12E-10
2003 with 0.6% transaction cost 4.91E-13 1.88E-14 6.42E-13
2004 with 0.6% transaction cost 2.23E-06 9.73E-14 8.08E-14
2005 with 0.6% transaction cost 6.04E-08 1.77E-16 5.75E-18
2006 with 0.6% transaction cost 1.57E-16 7.73E-03 2.59E-01
2007 with 0.6% transaction cost 5.94E-09 8.64E-12 3.51E-11
2008 with 0.6% transaction cost 2.03E-11 2.08E-01 1.01E-03
2009 with 0.6% transaction cost 4.59E-01 7.56E-17 2.84E-13
2010 with 0.6% transaction cost 6.82E-01 4.40E-11 2.61E-11
Ten years with 0.6% transaction cost 2.16E-04 5.44E-06 1.06E-05
Table 4.34: Eta-squared results for 0.6% transaction cost
BH0 vs BH1 BH0 vs MACD BH1 vs MACD
2001 with 0.6% transaction cost 0.003 0.143 0.126
2002 with 0.6% transaction cost 0.004 0.285 0.331
2003 with 0.6% transaction cost 0.074 0.645 0.572
2004 with 0.6% transaction cost 0.005 0.536 0.552
2005 with 0.6% transaction cost 0.031 0.753 0.818
2006 with 0.6% transaction cost 0.016 0.069
2007 with 0.6% transaction cost 0.004 0.522 0.501
2008 with 0.6% transaction cost 0.132 0.227
2009 with 0.6% transaction cost 0.612 0.476
2010 with 0.6% transaction cost 0.407 0.414
Ten years with 0.6% transaction cost 0.001 0.228 0.215
There are 18 cases where eta2 is larger than 0.14 for 0.6% transaction cost.
84
Figure 4.8: Graphical representation of eta2 for 0.6% transaction cost
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
Eta
2 v
alu
es
Moderate effect Small effect
Large effect
85
0.7% Transaction cost
Table 4.35: Results for the ten years separately at 0.7% transaction cost
0.4% Transaction cost
BH0 BH1 MACD
AVG End value
AVG % Change
AVG Rank AVG End value
AVG % Change
AVG Rank AVG End value
AVG % Change
AVG Rank
2001 190 327.17 90.33% 1.03125 184 168.21 84.17% 2.03125 149 882.84 49.88% 2.9375 2002 85 019.33 -14.98% 2 81 701.99 -18.30% 2.9375 116 991.97 16.99% 1.0625 2003 177 865.24 77.87% 1.09375 160 371.78 60.37% 2.03125 102 684.37 2.68% 2.875 2004 191 692.48 91.69% 1.90625 197 135.73 97.14% 1.21875 126 376.78 26.38% 2.875 2005 145 768.96 45.77% 1.90625 151 279.61 51.28% 1.15625 94 232.96 -5.77% 2.9375 2006 127 272.97 27.27% 1.0625 122 804.35 22.80% 2.375 117 105.55 17.11% 2.5625 2007 122 186.03 22.19% 1.125 120 738.83 20.74% 2 97 952.62 -2.05% 2.875 2008 83 235.30 -16.76% 2.03125 95 747.62 -4.25% 1.21875 76 318.04 -23.68% 2.75 2009 124 694.78 24.69% 1.09375 123 889.93 23.89% 1.90625 97 875.45 -2.12% 3 2010 131 367.77 31.37% 1.09375 131 487.18 31.49% 2.03125 106 937.18 6.94% 2.875
Source: Research data
Table 4.36: Results for the whole ten years at 0.7% transaction cost
2001 to 2010 with 0% transaction cost
BH0 BH1 MACD
AVG End value
AVG % Change/Y
AVG Rank AVG End value
AVG % Change/Y
AVG Rank AVG End value
AVG % Change/Y
AVG Rank
Ten Years
755 829.43 17.67% 1.21875 714 887.96 17.16% 1.96875 230 300.58 3.10% 2.8125
Source: Research data
86
Figure 4.9: Ranking for each year of the ten-year period at 0.7% transaction
cost per method
Source: Research data
Table 4.37: Ranking number per year at 0.7% transaction cost
Source: Research data
Table 4.37 shows the annual results in ranking for the three investment methods at a 0.7% transaction cost level.
Table 4.38: Ranking percentage per year at 0.7% transaction cost
Source: Table 4.38 shows the annual results in percentage for the three investment methods at a 0.4% transaction cost level.
1
1.2
1.4
1.6
1.8
2
2.2
2.4
2.6
2.8
3
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
Ran
k
BH0
BH1
MACD
BH0 BH1 MACD
Times first 185 88 46 Times second 131 179 12 Times third 4 53 262
BH0 BH1 MACD
% First 57.8% 27.5% 14.4% % Second 40.9% 55.9% 3.8% % Third 1.3% 16.6% 81.9%
87
Table 4.39: t-Test results for 0.7% transaction cost (p-values)
BH0 vs BH1 BH0 vs MACD BH1 vs MACD
2001 with 0.7% transaction cost 5.79E-04 1.22E-04 1.26E-04
2002 with 0.7% transaction cost 5.67E-06 3.77E-09 4.80E-10
2003 with 0.7% transaction cost 4.96E-13 7.42E-15 1.94E-13
2004 with 0.7% transaction cost 2.28E-06 3.47E-14 3.16E-14
2005 with 0.7% transaction cost 6.44E-08 3.96E-17 1.44E-18
2006 with 0.7% transaction cost 1.78E-16 4.51E-04 3.05E-02
2007 with 0.7% transaction cost 5.14E-09 5.62E-13 2.01E-12
2008 with 0.7% transaction cost 1.71E-11 7.46E-02 2.95E-04
2009 with 0.7% transaction cost 4.61E-01 3.00E-18 1.08E-14
2010 with 0.7% transaction cost 6.70E-01 4.47E-12 2.56E-12
Ten years with 0.7% transaction cost 2.09E-04 1.44E-07 2.78E-07
Table 4.40: Eta-squared results for 0.7% transaction cost
BH0 vs BH1 BH0 vs MACD BH1 vs MACD
2001 with 0.7% transaction cost 0.003 0.164 0.149
2002 with 0.7% transaction cost 0.004 0.259 0.306
2003 with 0.7% transaction cost 0.074 0.663 0.597
2004 with 0.7% transaction cost 0.005 0.560 0.574
2005 with 0.7% transaction cost 0.031 0.774 0.833
2006 with 0.7% transaction cost 0.016 0.124 0.045
2007 with 0.7% transaction cost 0.004 0.581 0.565
2008 with 0.7% transaction cost 0.133 0.271
2009 with 0.7% transaction cost 0.667 0.536
2010 with 0.7% transaction cost 0.460 0.468
Ten years with 0.7% transaction cost 0.001 0.312 0.299
There are 19 cases where eta2 is larger than 0.14 for 0.7% transaction cost.
88
Figure 4.10: Graphical representation of eta2 for 0.7% transaction cost
An independent-samples t-test was conducted to compare the effect of BH0 against
BH1, BH0 against MACD and BH1 against MACD for each level of transaction cost.
There were significant differences in scores as the results show in Tables 4.15, 4.21,
4.27, 4.33 and 4.39.
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
Eta
2 v
alu
es
Moderate effect Small effect
Large effect
89
Table 4.41: Linking the results to the objectives of the study.
Objective
Tra
nsa
cti
on
Co
st
a)
For
eac
h sh
are,
det
erm
ine
the
retu
rn o
n th
e Bu
y-an
d-ho
ld s
trate
gy p
er y
ear a
nd o
ver a
ten-
year
per
iod.
b)
For
eac
h sh
are
dete
rmin
e th
e ad
min
istra
tive
cost
s on
a
Buy-
and-
hold
stra
tegy
per
yea
r and
ove
r a te
n-ye
ar p
erio
d.
c)
For
eac
h sh
are
dete
rmin
e th
e ne
t ret
urn
on th
e Bu
y-an
d-ho
ld a
nd th
e M
ACD
stra
tegy
ove
r a te
n-ye
ar p
erio
d.
d)
For
eac
h sh
are
dete
rmin
e th
e ad
min
istra
tive
cost
s on
th
e M
ACD
stra
tegy
per
yea
r and
ove
r a te
n-ye
ar p
erio
d.
e)
For
eac
h sh
are
com
pare
the
effe
ctiv
enes
s of
the
two
stra
tegi
es in
term
s of
adm
inis
tratio
n co
sts.
f)
Com
pare
the
over
all e
ffect
iven
ess
of th
e tw
o st
rate
gies
in
term
s of
adm
inis
tratio
n co
sts.
g)
Cal
cula
te th
e m
agni
tude
of t
he d
iffer
ence
s in
the
mea
ns to
obs
erve
if th
e di
ffere
nces
are
sta
tistic
ally
si
gnifi
cant
.
0% 4.11, 4.12 4.11, 4.12 4.11, 4.12 4.11, 4.12 4.3, 4.4 4.3, 4.4 4.15, 4.16 0.4% 4.17, 4.18 4.17, 4.18 4.17, 4.18 4.17, 4.18 4.9, 4.10 4.9, 4.10 4.21, 4.22 0.5% 4.23, 4.24 4.23, 4.24 4.23, 4.24 4.23, 4.24 4.25, 4.26 4.25, 4.26 4.27, 4.28 0.6% 4.29, 4.30 4.29, 4.30 4.29, 4.30 4.29, 4.30 4.31, 4.32 4.31, 4.32 4.33, 4.34 0.7% 4.35, 4.36 4.35, 4.36 4.35, 4.36 4.35, 4.36 4.37, 4.38 4.37, 4.38 4.39, 4.40
Table number
4.4 Conclusion of the chapter
The first section of this chapter explains how the data were analysed. The results of
the data analysis point to very definite trends in the effectiveness of the different
strategies and these will be explained in the next chapter. The data were analysed
over a ten-year period for the different levels of transaction cost.
90
Chapter 5
Findings, conclusions and
recommendations
5.1 Introduction
Based on this study it is clear that a Buy-and-hold investment strategy is more
effective than using the MACD Technical Analysis strategy for the ten years, 2001 to
2010. The practical implication of the study is that the MACD should not be used on
its own when investing in the FTSE/JSE Top 40 Index shares in South Africa and
that it should maybe just be used as an investing aid. This statement is supported by
the results of the study and conclusions drawn in this chapter.
5.2 Reason for undertaking the research
The research was undertaken to investigate the effectiveness of Technical Analysis
as a trading tool or method compared to a Buy-and-hold strategy in the South
African equities market. The technical indicator used for this study was the MACD
with default settings versus the Buy-and-hold strategy on the FTSE/JSE Top 40
Index shares on the JSE Ltd over the last ten years.
Through the last few decades there have been claims that there is some kind of
recipe or formula for the share market. Technical Analysis is one of those schools of
thought that believe that past market information contains most of what is needed to
predict the future of a share (Ellinger, 1971). In the fifties and sixties, Benjamin
Graham found that with simple analysis, shares could be analysed and easily shown
to be “cheap” or “expensive” (Graham, 2006). Although this was true at the time,
most other investment strategies quickly caught on and after a while it was not as
clear as before which shares were “cheap”. It is the author’s opinion that the same is
true of Technical Analysis: it was successful for a while as it considered factors not
91
previously taken into account but the advantage gap was soon closed by other
investors also looking at the same information.
5.3 Summary of the findings
The MACD strategy was tested for 10 years on 32 equities from 2001 until the end of
2011 using 0%, 0.4%, 0.5%, 0.6% and 0.7% transaction cost. This provided 320
results per classification of transaction cost. There are 5 different transaction cost,
giving a total of 1 600 results. The breakdown of these results is described in Table
5.1 as follows:
Table 5.1: Annual ranking number for BH0, BH1 and MACD
BH0 BH1 MACD
Times first 817 468 311 Times second 731 777 101 Times third 52 355 1 188
1 600 1 600 1 600
Source: Research data
Table 5.2: Annual ranking percentage for BH0, BH1 and MACD
BH0 BH1 MACD
Times first 51.06% 29.25% 19.44% Times second 45.69% 48.56% 6.31% Times third 3.25% 22.19% 74.25%
100% 100% 100%
Source: Research data
The MACD was the best method for only 19.44% of the time.
For the 311 times that the MACD was rated first, the other methods had negative
returns 178 times (57.23%). This indicates that the MACD is an effective way to
prevent losses. This will make the MACD an effective stop loss but not necessarily
an effective investment strategy.
In Tables 4.1 to 4.5 it can be observed that the BH0 and BH1 are very strongly
positive correlated. This is to be expected as the BH0 and BH1 strategies are
basically the same strategy with the only difference being that the buy date of the
BH1 is the same as the buy date of the first MACD buy signal, whereas the BH0 buy
date was 1 January 2001. The MACD is a short-term indicator so the majority of first
92
buy signals occurred early in the year, causing the BH0 and BH1 to follow each other
closely. The reason BH1 was introduced was to account for the fact that if a Buy-
and-hold investor is about to buy a share and the share price is falling sharply, it
stands to reason that the investor will wait a while for the share price to stabilise.
The results for the whole period under review are very similar:
Table 5.3: Ten-year ranking number for BH0, BH1 and MACD
BH0 BH1 MACD
Times first 94 17 49 Times second 63 96 1 Times third 3 47 110
160 160 160
Source: Research data
Table 5.4: Ten-year ranking percentage for BH0, BH1 and MACD
BH0 BH1 MACD
Times first 58.75% 10.63% 30.63% Times second 39.38% 60% 0.63% Times third 1.87% 29.37% 68.74%
100% 100% 100%
Source: Research data
From Tables 5.1 to 5.4 it is clear that the Buy-and-hold strategies (BH0 and BH1)
outperformed the Technical Analysis (MACD) strategy. A fact that needs to be kept
in mind is that in the Buy-and-hold strategies, as used in this study, analysis did not
involve the amount of consideration and analysis a fundamental analyst would have
done. In practice, as discussed in Chapter 2, fundamental analysts would consider
aspects such as the financial statements, growth prospects, tax, etc. With such an
analysis completed the analyst would then have decided to buy or not to buy a
share. In this study it was always assumed that the Buy-and-hold strategy would buy
a share. If the Fundamental Analysis approach were followed properly the results
could have been even more in favour of the Buy-and-hold strategy.
The results are also confirmed by looking at the end values of the investments and
the percentage returns for each share per transaction cost. The impact of transaction
cost is also clear in Figure 5.1.
93
Table 5.5: Returns for BH0, BH1 and MACD for the ten-year period
Transaction cost
Average BH0 end value
Average BH0 % change
Average BH1 end value
Average BH1 % change
Average MACD end value
Average MACD
% change
0% 761 102.01 17.75% 719 902.89 17.24% 1 311 955.14 23.73%
0.40% 758 715.09 17.70% 717 618.32 17.20% 586 290.68 11.90%
0.50% 757 473.75 17.69% 716 472.25 17.18% 391 705.29 8.71%
0.60% 756 557.55 17.68% 715 604.11 17.17% 295 122.92 5.82%
0.70% 755 829.43 17.67% 714 887.96 17.16% 230 300.58 3.10%
Source: Research data
Figure 5.1: Percentage returns for Buy-and-hold and MACD for the ten-year
period
Source: Research data
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
0% 0.40% 0.50% 0.60% 0.70%
Retu
rns p
er
year
Transaction cost
Returns per transaction cost
Buy-and-hold
MACD
94
Table 5.6: Returns for BH0, BH1 and MACD for each of the ten years
Transaction cost
Average BH0 end value
Average BH0 % change
Average BH1 end
value
Average BH1 % change
Average MACD end
value
Average MACD % change
0% - 2001 191 658.45 91.66% 185 456.05 85.46% 174 176.56 74.18% 0.4% - 2001 190 896.81 90.90% 184 717.89 84.72% 159 845.55 59.85% 0.5% - 2001 190 720.46 90.72% 184 550.82 84.55% 156 598.69 56.60% 0.6% - 2001 190 518.05 90.52% 184 354.61 84.35% 153 132.78 53.13% 0.7% - 2001 190 327.17 90.33% 184 168.21 84.17% 149 882.84 49.88%
0% - 2002 85 281.97 -14.72% 81 946.57 -18.05% 138 329.18 38.33% 0.4% - 2002 84 969.30 -15.03% 81 647.01 -18.35% 125 928.65 25.93% 0.5% - 2002 84 863.18 -15.14% 81 547.50 -18.45% 122 582.38 22.58% 0.6% - 2002 84 775.63 -15.22% 81 462.85 -18.54% 119 538.62 19.54% 0.7% - 2002 85 019.33 -14.98% 81 701.99 -18.30% 116 991.97 16.99%
0% - 2003 179 110.59 79.11% 161 494.19 61.49% 123 089.05 23.09% 0.4% - 2003 178 412.14 78.41% 160 868.62 60.87% 111 323.88 11.32% 0.5% - 2003 178 224.13 78.22% 160 693.34 60.69% 108 223.05 8.22% 0.6% - 2003 178 040.77 78.04% 160 530.35 60.53% 105 378.11 5.38% 0.7% - 2003 177 865.24 77.87% 160 371.78 60.37% 102 684.37 2.68%
0% - 2004 193 036.24 93.04% 198 521.98 98.52% 149 633.58 49.63% 0.4% - 2004 192 298.37 92.30% 197 755.65 97.76% 136 308.06 36.31% 0.5% - 2004 192 082.41 92.08% 197 535.12 97.54% 132 730.10 32.73% 0.6% - 2004 191 886.49 91.89% 197 335.06 97.34% 129 463.04 29.46% 0.7% - 2004 191 692.48 91.69% 197 135.73 97.14% 126 376.78 26.38%
0% - 2005 146 790.78 46.79% 152 349.16 52.35% 116 321.60 16.32% 0.4% - 2005 146 220.78 46.22% 151 757.14 51.76% 103 531.53 3.53% 0.5% - 2005 146 069.20 46.07% 151 588.03 51.59% 100 169.27 0.17% 0.6% - 2005 145 916.84 45.92% 151 438.22 51.44% 97 110.36 -2.89% 0.7% - 2005 145 768.96 45.77% 151 279.61 51.28% 94 232.96 -5.77%
0% - 2006 128 154.65 28.15% 123 696.49 23.70% 139 287.32 39.29% 0.4% - 2006 127 667.59 27.67% 123 209.12 23.21% 126 582.53 26.58% 0.5% - 2006 127 525.91 27.53% 123 075.68 23.08% 123 155.65 23.16% 0.6% - 2006 127 398.15 27.40% 122 921.34 22.92% 120 042.21 20.04% 0.7% - 2006 127 272.97 27.27% 122 804.35 22.80% 117 105.55 17.11%
0% - 2007 123 032.90 23.03% 121 585.17 21.59% 119 342.88 19.34% 0.4% - 2007 122 566.21 22.57% 121 126.77 21.13% 107 014.40 7.01% 0.5% - 2007 122 431.87 22.43% 120 989.31 20.99% 103 725.93 3.73% 0.6% - 2007 122 303.02 22.30% 120 861.35 20.86% 100 748.39 0.75% 0.7% - 2007 122 186.03 22.19% 120 738.83 20.74% 97 952.62 -2.05%
0% - 2008 83 817.30 -16.18% 96 415.02 -3.58% 93 079.63 -6.92% 0.4% - 2008 83 501.14 -16.50% 96 034.78 -3.97% 83 458.69 -16.54% 0.5% - 2008 83 408.49 -16.59% 95 930.70 -4.07% 80 852.03 -19.15% 0.6% - 2008 83 319.59 -16.68% 95 829.21 -4.17% 78 501.32 -21.50% 0.7% - 2008 83 235.30 -16.76% 95 747.62 -4.25% 76 318.04 -23.68%
0% - 2009 125 570.73 25.57% 124 747.44 24.75% 121 518.61 21.52% 0.4% - 2009 125 085.09 25.09% 124 271.60 24.27% 107 753.95 7.75% 0.5% - 2009 124 947.60 24.95% 124 131.77 24.13% 104 198.10 4.20% 0.6% - 2009 124 822.24 24.82% 124 019.06 24.02% 100 941.82 0.94% 0.7% - 2009 124 694.78 24.69% 123 889.93 23.89% 97 875.45 -2.12%
95
0% - 2010 132 283.83 32.28% 132 390.66 32.39% 127 195.16 27.20% 0.4% - 2010 131 772.03 31.77% 131 890.65 31.89% 115 455.40 15.46% 0.5% - 2010 131 635.66 31.64% 131 760.77 31.76% 112 431.84 12.43% 0.6% - 2010 131 832.57 31.83% 131 947.47 31.95% 109 697.44 9.70% 0.7% - 2010 131 367.77 31.37% 131 487.18 31.49% 106 937.18 6.94%
Source: Research data
5.4 Discussion of the findings
The research objective of this study was to compare the investment strategy of using
the MACD as a buy or sell signal compared to the Buy-and-hold strategy. Factors
that were taken into consideration were:
The effect of transaction cost
The annual performance versus the total time period performance
It is clear from the results obtained (Tables 5.1, 5.2, 5.3 and 5.4) that the MACD
does not form an effective investment strategy in South Africa’s FTSE/JSE Top 40
Index shares using the defualt settings for the ten years from 2001 to 2010. The
MACD only did very well in years when there was an overall falling in share prices.
This can be observed in 2002 and 2006 when the MACD did very well. In 2002 the
MACD strategy was ranked first 155 times (96.87%) and in 2006 it was ranked first
77 times (48.13%). (The data are shown in Appendices 1 to 5).
The effect of transaction cost was also observed. This study looked at zero fees as
well as 0.4, 0.5, 0.6 and 0.7% transaction cost, which fall within the range of the
available fees in South Africa as can be observed in Table 5.7.
Table 5.7: MACD ranking per transaction cost
MACD First MACD Second MACD Third
0% Fees 81 52 187 0.4% Fees 72 10 238 0.5% Fees 63 9 248 0.6% Fees 49 18 253 0.7% Fees 46 12 262
Source: Research data
From Table 5.6 and Figure 5.2 it is clear that although the MACD strategy was not
successful to start off with, it lost even more effectiveness when transaction cost
were introduced. The effectiveness does seem to level out after 0.6% transaction
cost. This can be explained by the stop-loss effect described earlier.
96
Figure 5.2: MACD first rankings per transaction cost
Source: Research data
If the results are compared to the Buy-and-hold (BH0 and BH1) strategies it is clear
that transaction cost has the opposite effect on the Buy-and-hold strategies
compared to the MACD strategy. This is due to the fact that for the Buy-and-hold
strategies, only one transaction per period was analysed.
Figure 5.3: Buy-and-hold first rankings per transaction cost
Source: Research data
0%
5%
10%
15%
20%
25%
30%
0% Fees 0.4% Fees 0.5% Fees 0.6% Fees 0.7% Fees
68%
70%
72%
74%
76%
78%
80%
82%
84%
86%
88%
0% Fees 0.4% Fees 0.5% Fees 0.6% Fees 0.7% Fees
97
5.5 Contribution of the study
As was shown in Chapter 2 there are some studies that show the MACD is a
successful strategy and some that show it is not. In this study it is the latter where
the MACD has been shown not to be a successful strategy. The possible explanation
could be that the MACD was just not successful for the shares and period under
consideration but, as shown in chapter 2, the MACD seems to perform better in
active markets. The other investment markets in South Africa are not more active
than the share market so it is unlikely that the MACD would work as a stand-alone
investment method in any other market.
This study will contribute to the South African equities market in that it will show to
what degree the MACD can be used as a technical trading method or not. From the
data as shown in Appendices 1 to 5, certain equities appear to have a higher
consistent success rate with the MACD strategy. Future studies could analyse these
equities for properties that make them better candidates for the MACD strategy. One
of the main reasons investors are looking for strategies like the MACD and other
Technical Analysis methods is to remove emotion from the investment process.
Emotion is accredited with the reason most long-term investments fail. When
investors see their investments doing badly, they become “scared” and remove their
money or when they should be selling they become “greedy” and leave their
investments intact. Since the MACD seems to work in certain circumstances, there
should be a productive use for it in developing a more sophisticated investment
system. By looking at the results in Chapter 4, the MACD seems to be more effective
in years when there was a financial crisis in the world (2002 and 2008). This is
because the MACD produces a sell signal in a falling market and does not produce a
buy signal again until the market rises.
It also indicates the need for similar studies, for example how the MACD strategy
can be used in addition to other strategies or as an aid to those strategies. The
MACD strategy, as can be seen in this study, can be automated. Therefore, even if
investors prefer to use Fundamental Analysis as their investment strategy, they will
still be able to keep an eye on the MACD signals as an additional input into their
assessment of their investments.
98
5.6 Limitations
This study found that the MACD trading strategy, using the default settings and
looking at the Top 40 shares in South Africa with a ten-year history, has not been a
superior strategy. The following limitations need to be considered together with the
results:
Only 32 companies were considered for this study for reasons explained earlier.
The Buy-and-hold strategy was done manually to coincide with the time period of
this study. In practice this strategy would be a more sophisticated process and
the buying of shares would be selective and related to detailed information about
the company, its future and performance.
In practice, even if the Technical Analysis method is used, resources will be
limited and investors will have to make judgement calls on how to do their asset
allocation. They will only be able to invest in a select few equities.
5.7 Recommendations for further research
Based on this study the following recommendations for further research are made:
Although the MACD strategy was found not to be effective in this study, ways to use
Technical Analysis as an aid to investment decision making could be researched
further. Investors could use the MACD as an indicator to re-assess their investments.
A new “middle” path could be suggested which could be a blend of Buy-and-hold and
technical trading. The areas of value investing and Technical Analysis could form
complementary tools in investing, instead of opposites. Currently investment
specialists seem to prefer either Fundamental Analysis or Technical Analysis. A
complete new system could be devised where elements of both these strategies are
used together in a new strategy.
Factors that make some equities more successful can also be investigated. In
Appendices 1 to 5, the results of the analysis are shown and it would appear that the
few shares that did better with the MACD belong to the resources sector of the JSE
Ltd. Another study could be done to investigate if some sectors or types of shares
are better suited to the MACD strategy. If this is the case, investors can split their
share portfolios and use Technical Analysis for shares that are suited to it and
Fundamental Analysis for the rest.
99
The MACD was tested only with its default settings for the Exponential Moving
Averages (EMA) which were 12, 16 and 9 days. The effectiveness of the MACD
could also be tested for different settings within the MACD. If the numbers were to be
increased, fewer buy and sell signals would be created and if the number were to
decrease, more buy and sell signals would be created. These alterations could be
applied as a blanket change or, with regressions, each share could be fitted with a
custom best fit MACD. If the MACD with its default settings performs better in active
markets it may be needed to extend these settings to less active markets.
The MACD strategy is reported to work better in active markets. In this study only the
FTSE/JSE Top 40 Index shares on the JSE Ltd were assessed. A further study could
be done on some or all of the other shares on the JSE Ltd to see whether it will have
a useful application to some other shares.
100
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104
Appendices
Appendix 1: Data analysis 0% transaction cost
2001 with 0% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 167 287.60 67.29% 163 616.95 63.62% 165 497.51 65.50%
2 ACL ArcelorMittal South Africa Ltd 485 780.03 385.78% 433 729.66 333.73% 219 695.01 119.70%
3 AGL Anglo American 179 545.89 79.55% 155 528.79 55.53% 160 894.18 60.89%
4 AMS Anglo Platinum 134 875.20 34.88% 133 663.80 33.66% 173 076.28 73.08%
5 ANG Anglogold Ashanti 196 954.00 96.95% 188 446.25 88.45% 148 799.26 48.80%
6 APN Aspen Pharmacare Holdings 164 110.13 64.11% 160 509.18 60.51% 160 918.25 60.92%
7 ARI African Rainbow Minerals Ltd 162 614.85 62.61% 159 046.70 59.05% 160 918.25 60.92%
8 ASA Absa Group 185 978.60 85.98% 181 897.95 81.90% 184 272.46 84.27%
9 BIL BHP Billiton 166 072.69 66.07% 162 428.69 62.43% 160 918.25 60.92%
10 BVT Bidvest Group 180 184.39 80.18% 176 230.84 76.23% 170 826.42 70.83%
11 CSO Capital Shopping Centres Group Plc 166 773.60 66.77% 163 114.22 63.11% 162 890.76 62.89%
12 FSR Firstrand Limited 167 053.96 67.05% 163 388.44 63.39% 163 322.08 63.32%
13 GFI Gold Fields 205 604.15 105.60% 201 093.00 101.09% 160 918.25 60.92%
14 GRT Growthpoint Prop Ltd 177 474.20 77.47% 173 580.10 73.58% 160 918.25 60.92%
15 HAR Harmony 185 044.05 85.04% 180 983.90 80.98% 171 602.70 71.60%
16 IMP Impala Platinum Hlds 321 488.35 221.49% 314 435.20 214.44% 215 504.46 115.50%
17 INL Investec Ltd 162 614.85 62.61% 159 046.70 59.05% 160 918.25 60.92%
18 LON Lonmin PLC 173 829.45 73.83% 170 015.30 70.02% 165 554.14 65.55%
19 MTN MTN Group 164 483.95 64.48% 160 874.80 60.87% 162 983.56 62.98%
20 NED Nedbank Group 242 986.15 142.99% 237 655.00 137.66% 250 289.36 150.29%
21 NPN Naspers 167 100.69 67.10% 163 434.14 63.43% 165 554.14 65.55%
22 OML Old Mutual 163 512.02 63.51% 159 924.19 59.92% 160 918.25 60.92%
23 PIK Pick N Pay Stores 170 932.35 70.93% 167 181.75 67.18% 162 844.65 62.84%
24 RMH RMB Holdings 169 343.61 69.34% 165 627.86 65.63% 163 440.17 63.44%
25 SAB SABMiller 202 097.72 102.10% 197 663.48 97.66% 203 297.46 103.30%
26 SBK Standard Bank Group 179 623.66 79.62% 175 682.41 75.68% 172 679.06 72.68%
27 SHF Steinhoff International Holdings 164 857.77 64.86% 161 240.42 61.24% 160 918.25 60.92%
28 SHP Shoprite 166 446.51 66.45% 162 794.31 62.79% 160 918.25 60.92%
29 SLM Sanlam 168 222.15 68.22% 164 531.00 64.53% 160 918.25 60.92%
30 SOL Sasol 222 426.05 122.43% 217 545.90 117.55% 225 445.02 125.45%
31 TBS Tiger Brands 202 426.68 102.43% 197 985.23 97.99% 195 080.42 95.08%
32 TRU Truworths International 165 325.05 65.33% 161 697.45 61.70% 160 918.25 60.92%
105
2002 with 0% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 68 391.50 -31.61% 66 111.45 -33.89% 123 676.48 23.68%
2 ACL ArcelorMittal South Africa Ltd 190 743.00 90.74% 188 254.25 88.25% 144 797.90 44.80%
3 AGL Anglo American 69 362.43 -30.64% 67 550.70 -32.45% 112 186.96 12.19%
4 AMS Anglo Platinum 76 406.60 -23.59% 77 174.00 -22.83% 97 082.48 -2.92%
5 ANG Anglogold Ashanti 143 385.22 43.39% 131 272.78 31.27% 175 367.22 75.37%
6 APN Aspen Pharmacare Holdings 66 207.64 -33.79% 64 000.36 -36.00% 119 858.14 19.86%
7 ARI African Rainbow Minerals Ltd 64 943.30 -35.06% 62 778.15 -37.22% 119 858.14 19.86%
8 ASA Absa Group 79 080.92 -20.92% 76 444.68 -23.56% 132 298.34 32.30%
9 BIL BHP Billiton 66 494.99 -33.51% 64 278.14 -35.72% 119 858.14 19.86%
10 BVT Bidvest Group 86 781.90 -13.22% 83 889.05 -16.11% 162 231.96 62.23%
11 CSO Capital Shopping Centres Group Plc 67 615.66 -32.38% 65 361.46 -34.64% 121 850.51 21.85%
12 FSR Firstrand Limited 68 219.09 -31.78% 65 944.79 -34.06% 119 858.14 19.86%
13 GFI Gold Fields 100 574.70 0.57% 97 222.25 -2.78% 138 554.30 38.55%
14 GRT Growthpoint Prop Ltd 71 168.45 -28.83% 68 795.87 -31.20% 124 818.68 24.82%
15 HAR Harmony 122 413.30 22.41% 118 333.15 18.33% 209 698.84 109.70%
16 IMP Impala Platinum Hlds 118 103.05 18.10% 114 166.53 14.17% 221 547.46 121.55%
17 INL Investec Ltd 64 943.30 -35.06% 62 778.15 -37.22% 119 858.14 19.86%
18 LON Lonmin PLC 97 701.20 -2.30% 94 444.50 -5.56% 164 518.49 64.52%
19 MTN MTN Group 64 943.30 -35.06% 62 778.15 -37.22% 119 858.14 19.86%
20 NED Nedbank Group 124 137.40 24.14% 119 999.80 20.00% 171 318.74 71.32%
21 NPN Naspers 67 816.80 -32.18% 65 555.90 -34.44% 119 858.14 19.86%
22 OML Old Mutual 65 495.01 -34.50% 63 311.48 -36.69% 120 389.18 20.39%
23 PIK Pick N Pay Stores 71 293.74 -28.71% 68 916.98 -31.08% 119 858.14 19.86%
24 RMH RMB Holdings 70 046.64 -29.95% 67 711.43 -32.29% 119 858.14 19.86%
25 SAB SABMiller 87 061.20 -12.94% 84 159.05 -15.84% 158 128.95 58.13%
26 SBK Standard Bank Group 77 356.82 -22.64% 74 778.03 -25.22% 132 142.12 32.14%
27 SHF Steinhoff International Holdings 66 667.40 -33.33% 64 444.80 -35.56% 119 858.14 19.86%
28 SHP Shoprite 67 874.27 -32.13% 65 611.46 -34.39% 122 155.73 22.16%
29 SLM Sanlam 68 966.20 -31.03% 66 667.00 -33.33% 119 858.14 19.86%
30 SOL Sasol 116 666.30 16.67% 112 777.65 12.78% 218 134.19 118.13%
31 TBS Tiger Brands 90 689.86 -9.31% 71 555.84 -28.44% 135 457.25 35.46%
32 TRU Truworths International 67 471.98 -32.53% 65 222.57 -34.78% 121 738.48 21.74%
106
2003 with 0% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 194 689.65 94.69% 176 000.00 76.00% 114 352.20 14.35%
2 ACL ArcelorMittal South Africa Ltd 144 932.75 44.93% 131 061.50 31.06% 169 215.90 69.22%
3 AGL Anglo American 113 439.74 13.44% 116 071.60 16.07% 93 184.39 -6.82%
4 AMS Anglo Platinum 96 271.20 -3.73% 89 217.60 -10.78% 121 738.94 21.74%
5 ANG Anglogold Ashanti 111 804.91 11.80% 105 567.40 5.57% 97 513.11 -2.49%
6 APN Aspen Pharmacare Holdings 170 619.01 70.62% 154 240.00 54.24% 114 352.20 14.35%
7 ARI African Rainbow Minerals Ltd 167 079.21 67.08% 151 040.00 51.04% 114 352.20 14.35%
8 ASA Absa Group 194 866.64 94.87% 176 160.00 76.16% 123 129.72 23.13%
9 BIL BHP Billiton 169 822.56 69.82% 153 520.00 53.52% 115 328.52 15.33%
10 BVT Bidvest Group 206 017.01 106.02% 186 240.00 86.24% 131 777.46 31.78%
11 CSO Capital Shopping Centres Group Plc 171 371.22 71.37% 154 920.00 54.92% 118 506.63 18.51%
12 FSR Firstrand Limited 173 273.86 73.27% 156 640.00 56.64% 114 352.20 14.35%
13 GFI Gold Fields 211 326.71 111.33% 191 040.00 91.04% 140 460.58 40.46%
14 GRT Growthpoint Prop Ltd 178 857.89 78.86% 161 688.00 61.69% 116 245.66 16.25%
15 HAR Harmony 215 751.46 115.75% 195 040.00 95.04% 114 352.20 14.35%
16 IMP Impala Platinum Hlds 225 707.15 125.71% 204 040.00 104.04% 148 384.27 48.38%
17 INL Investec Ltd 167 079.21 67.08% 151 040.00 51.04% 114 352.20 14.35%
18 LON Lonmin PLC 179 822.49 79.82% 162 560.00 62.56% 126 824.69 26.82%
19 MTN MTN Group 167 079.21 67.08% 151 040.00 51.04% 114 352.20 14.35%
20 NED Nedbank Group 258 229.06 158.23% 233 440.00 133.44% 114 352.20 14.35%
21 NPN Naspers 172 388.91 72.39% 155 840.00 55.84% 119 070.66 19.07%
22 OML Old Mutual 167 928.76 67.93% 151 808.00 51.81% 115 123.87 15.12%
23 PIK Pick N Pay Stores 179 734.00 79.73% 162 480.00 62.48% 114 352.20 14.35%
24 RMH RMB Holdings 176 813.66 76.81% 159 840.00 59.84% 114 352.20 14.35%
25 SAB SABMiller 171 680.95 71.68% 155 200.00 55.20% 115 266.53 15.27%
26 SBK Standard Bank Group 190 353.40 90.35% 172 080.00 72.08% 140 517.84 40.52%
27 SHF Steinhoff International Holdings 170 265.03 70.27% 153 920.00 53.92% 114 352.20 14.35%
28 SHP Shoprite 172 477.41 72.48% 155 920.00 55.92% 116 948.19 16.95%
29 SLM Sanlam 173 627.84 73.63% 156 960.00 56.96% 121 067.80 21.07%
30 SOL Sasol 246 724.71 146.72% 223 040.00 123.04% 205 357.95 105.36%
31 TBS Tiger Brands 218 406.31 118.41% 163 680.00 63.68% 127 657.33 27.66%
32 TRU Truworths International 173 096.87 73.10% 156 480.00 56.48% 117 655.29 17.66%
107
2004 with 0% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 209 213.83 109.21% 217 032.85 117.03% 148 674.22 48.67%
2 ACL ArcelorMittal South Africa Ltd 230 026.40 130.03% 224 085.58 124.09% 155 307.24 55.31%
3 AGL Anglo American 93 765.83 -6.23% 89 028.46 -10.97% 98 129.61 -1.87%
4 AMS Anglo Platinum 73 314.60 -26.69% 69 218.10 -30.78% 129 055.19 29.06%
5 ANG Anglogold Ashanti 65 018.12 -34.98% 64 934.76 -35.07% 101 687.89 1.69%
6 APN Aspen Pharmacare Holdings 197 031.88 97.03% 204 395.50 104.40% 151 716.44 51.72%
7 ARI African Rainbow Minerals Ltd 193 853.98 93.85% 201 098.80 101.10% 148 674.22 48.67%
8 ASA Absa Group 215 569.63 115.57% 223 626.25 123.63% 171 270.40 71.27%
9 BIL BHP Billiton 195 760.72 95.76% 203 076.82 103.08% 149 756.58 49.76%
10 BVT Bidvest Group 220 357.67 120.36% 228 593.28 128.59% 164 270.04 64.27%
11 CSO Capital Shopping Centres Group Plc 196 571.08 96.57% 203 917.48 103.92% 150 087.60 50.09%
12 FSR Firstrand Limited 198 726.76 98.73% 206 153.74 106.15% 151 127.43 51.13%
13 GFI Gold Fields 202 328.38 102.33% 209 890.00 109.89% 153 234.24 53.23%
14 GRT Growthpoint Prop Ltd 201 163.15 101.16% 208 681.21 108.68% 152 722.06 52.72%
15 HAR Harmony 201 269.08 101.27% 208 791.10 108.79% 152 093.85 52.09%
16 IMP Impala Platinum Hlds 221 660.61 121.66% 229 944.93 129.94% 148 674.22 48.67%
17 INL Investec Ltd 195 125.14 95.13% 202 417.48 102.42% 149 854.16 49.85%
18 LON Lonmin PLC 201 480.94 101.48% 209 010.88 109.01% 154 538.05 54.54%
19 MTN MTN Group 198 197.11 98.20% 205 604.29 105.60% 153 757.33 53.76%
20 NED Nedbank Group 202 222.45 102.22% 209 780.11 109.78% 153 690.33 53.69%
21 NPN Naspers 197 879.32 97.88% 205 274.62 105.27% 153 007.15 53.01%
22 OML Old Mutual 194 367.74 94.37% 201 631.77 101.63% 149 229.94 49.23%
23 PIK Pick N Pay Stores 202 677.95 102.68% 210 252.64 110.25% 148 674.22 48.67%
24 RMH RMB Holdings 202 063.56 102.06% 209 615.28 109.62% 151 923.28 51.92%
25 SAB SABMiller 197 508.57 97.51% 204 890.01 104.89% 149 660.38 49.66%
26 SBK Standard Bank Group 210 802.78 110.80% 218 681.20 118.68% 154 432.18 54.43%
27 SHF Steinhoff International Holdings 196 184.44 96.18% 203 516.38 103.52% 150 905.48 50.91%
28 SHP Shoprite 197 667.46 97.67% 205 054.84 105.05% 150 897.11 50.90%
29 SLM Sanlam 198 091.18 98.09% 205 494.40 105.49% 153 831.86 53.83%
30 SOL Sasol 241 522.48 141.52% 250 549.30 150.55% 174 667.89 74.67%
31 TBS Tiger Brands 226 798.21 126.80% 212 087.80 112.09% 160 971.85 60.97%
32 TRU Truworths International 198 938.62 98.94% 206 373.52 106.37% 151 752.16 51.75%
108
2005 with 0% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 150 103.64 50.10% 157 633.23 57.63% 111 628.20 11.63%
2 ACL ArcelorMittal South Africa Ltd 107 379.55 7.38% 108 291.25 8.29% 153 091.69 53.09%
3 AGL Anglo American 154 916.11 54.92% 154 917.11 54.92% 139 038.79 39.04%
4 AMS Anglo Platinum 219 233.65 119.23% 208 483.20 108.48% 143 105.46 43.11%
5 ANG Anglogold Ashanti 156 211.00 56.21% 156 212.00 56.21% 140 102.78 40.10%
6 APN Aspen Pharmacare Holdings 140 330.06 40.33% 147 368.97 47.37% 110 864.14 10.86%
7 ARI African Rainbow Minerals Ltd 137 633.90 37.63% 144 537.45 44.54% 108 552.19 8.55%
8 ASA Absa Group 157 855.10 57.86% 165 773.85 65.77% 115 640.19 15.64%
9 BIL BHP Billiton 139 206.66 39.21% 146 189.17 46.19% 108 552.19 8.55%
10 BVT Bidvest Group 154 821.92 54.82% 162 588.39 62.59% 117 484.01 17.48%
11 CSO Capital Shopping Centres Group Plc 139 122.41 39.12% 146 100.69 46.10% 110 124.28 10.12%
12 FSR Firstrand Limited 140 728.87 40.73% 147 787.80 47.79% 110 076.77 10.08%
13 GFI Gold Fields 141 565.80 41.57% 148 666.75 48.67% 108 552.19 8.55%
14 GRT Growthpoint Prop Ltd 141 745.54 41.75% 148 855.52 48.86% 110 507.45 10.51%
15 HAR Harmony 137 633.90 37.63% 144 537.45 44.54% 108 552.19 8.55%
16 IMP Impala Platinum Hlds 153 754.69 53.75% 161 467.58 61.47% 124 374.07 24.37%
17 INL Investec Ltd 138 476.45 38.48% 145 422.30 45.42% 108 888.87 8.89%
18 LON Lonmin PLC 141 678.14 41.68% 148 784.73 48.78% 112 748.45 12.75%
19 MTN MTN Group 141 284.95 41.28% 148 371.80 48.37% 112 282.36 12.28%
20 NED Nedbank Group 147 800.67 47.80% 155 214.64 55.21% 113 487.75 13.49%
21 NPN Naspers 141 565.80 41.57% 148 666.75 48.67% 108 552.19 8.55%
22 OML Old Mutual 137 934.41 37.93% 144 853.05 44.85% 108 552.19 8.55%
23 PIK Pick N Pay Stores 143 250.90 43.25% 150 436.45 50.44% 113 092.34 13.09%
24 RMH RMB Holdings 148 530.88 48.53% 155 981.51 55.98% 116 277.16 16.28%
25 SAB SABMiller 139 824.53 39.82% 146 838.06 46.84% 109 873.62 9.87%
26 SBK Standard Bank Group 154 653.41 54.65% 162 411.42 62.41% 127 316.81 27.32%
27 SHF Steinhoff International Holdings 139 319.00 39.32% 146 307.15 46.31% 108 552.19 8.55%
28 SHP Shoprite 140 442.40 40.44% 147 486.95 47.49% 110 005.16 10.01%
29 SLM Sanlam 140 442.40 40.44% 147 486.95 47.49% 111 825.17 11.83%
30 SOL Sasol 167 965.70 67.97% 176 392.05 76.39% 123 485.87 23.49%
31 TBS Tiger Brands 160 382.75 60.38% 152 501.10 52.50% 108 552.19 8.55%
32 TRU Truworths International 141 509.63 41.51% 148 607.76 48.61% 108 552.19 8.55%
109
2006 with 0% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 121 629.30 21.63% 117 324.60 17.32% 134 129.07 34.13%
2 ACL ArcelorMittal South Africa Ltd 165 002.56 65.00% 159 809.23 59.81% 149 559.53 49.56%
3 AGL Anglo American 160 831.02 60.83% 162 204.98 62.20% 141 765.85 41.77%
4 AMS Anglo Platinum 191 566.54 91.57% 181 547.21 81.55% 154 265.26 54.27%
5 ANG Anglogold Ashanti 105 949.78 5.95% 100 198.66 0.20% 126 095.50 26.10%
6 APN Aspen Pharmacare Holdings 119 262.32 19.26% 115 041.14 15.04% 134 129.07 34.13%
7 ARI African Rainbow Minerals Ltd 116 732.10 16.73% 112 600.20 12.60% 134 129.07 34.13%
8 ASA Absa Group 130 729.93 30.73% 126 104.11 26.10% 145 460.13 45.46%
9 BIL BHP Billiton 118 201.26 18.20% 114 017.52 14.02% 134 129.07 34.13%
10 BVT Bidvest Group 131 790.99 31.79% 127 127.73 27.13% 140 693.01 40.69%
11 CSO Capital Shopping Centres Group Plc 117 838.05 17.84% 113 667.13 13.67% 134 837.30 34.84%
12 FSR Firstrand Limited 119 425.56 19.43% 115 198.62 15.20% 137 159.35 37.16%
13 GFI Gold Fields 122 853.60 22.85% 118 505.70 18.51% 142 061.70 42.06%
14 GRT Growthpoint Prop Ltd 120 049.95 20.05% 115 800.98 15.80% 136 429.44 36.43%
15 HAR Harmony 116 732.10 16.73% 112 600.20 12.60% 134 129.07 34.13%
16 IMP Impala Platinum Hlds 161 112.98 61.11% 155 415.08 55.42% 134 129.07 34.13%
17 INL Investec Ltd 117 572.79 17.57% 113 411.22 13.41% 134 597.97 34.60%
18 LON Lonmin PLC 120 282.57 20.28% 116 025.39 16.03% 134 129.07 34.13%
19 MTN MTN Group 119 384.75 19.38% 115 159.25 15.16% 134 129.07 34.13%
20 NED Nedbank Group 132 811.24 32.81% 128 111.98 28.11% 153 793.59 53.79%
21 NPN Naspers 121 629.30 21.63% 117 324.60 17.32% 134 129.07 34.13%
22 OML Old Mutual 116 966.76 16.97% 112 826.58 12.83% 134 406.58 34.41%
23 PIK Pick N Pay Stores 121 527.28 21.53% 117 226.18 17.23% 134 129.07 34.13%
24 RMH RMB Holdings 121 364.04 21.36% 117 068.70 17.07% 139 406.57 39.41%
25 SAB SABMiller 118 568.55 18.57% 114 371.85 14.37% 134 785.53 34.79%
26 SBK Standard Bank Group 128 526.19 28.53% 123 978.13 23.98% 148 292.16 48.29%
27 SHF Steinhoff International Holdings 118 262.48 18.26% 114 076.58 14.08% 134 129.07 34.13%
28 SHP Shoprite 119 711.23 19.71% 115 474.21 15.47% 136 666.32 36.67%
29 SLM Sanlam 119 384.75 19.38% 115 159.25 15.16% 134 129.07 34.13%
30 SOL Sasol 145 707.20 45.71% 140 552.90 40.55% 169 040.89 69.04%
31 TBS Tiger Brands 139 177.60 39.18% 134 253.70 34.25% 151 716.85 51.72%
32 TRU Truworths International 120 364.19 20.36% 116 104.13 16.10% 136 611.85 36.61%
110
2007 with 0% transaction costs
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 123 248.40 23.25% 121 882.81 21.88% 117 000.34 17.00%
2 ACL ArcelorMittal South Africa Ltd 157 836.79 57.84% 154 705.39 54.71% 125 858.44 25.86%
3 AGL Anglo American 110 746.41 10.75% 111 300.27 11.30% 109 616.32 9.62%
4 AMS Anglo Platinum 125 754.32 25.75% 120 207.55 20.21% 147 177.98 47.18%
5 ANG Anglogold Ashanti 89 791.93 -10.21% 90 884.26 -9.12% 125 085.42 25.09%
6 APN Aspen Pharmacare Holdings 117 829.60 17.83% 116 524.46 16.52% 116 133.25 16.13%
7 ARI African Rainbow Minerals Ltd 120 626.40 20.63% 119 290.06 19.29% 113 606.46 13.61%
8 ASA Absa Group 133 037.20 33.04% 131 562.41 31.56% 122 281.99 22.28%
9 BIL BHP Billiton 117 025.52 17.03% 115 729.35 15.73% 114 285.80 14.29%
10 BVT Bidvest Group 130 988.54 30.99% 129 536.61 29.54% 120 338.62 20.34%
11 CSO Capital Shopping Centres Group Plc 116 396.24 16.40% 115 107.09 15.11% 114 104.30 14.10%
12 FSR Firstrand Limited 118 249.12 18.25% 116 939.30 16.94% 116 358.53 16.36%
13 GFI Gold Fields 121 850.00 21.85% 120 500.01 20.50% 117 040.97 17.04%
14 GRT Growthpoint Prop Ltd 118 637.18 18.64% 116 285.93 16.29% 114 116.48 14.12%
15 HAR Harmony 115 382.40 15.38% 114 104.56 14.10% 113 606.46 13.61%
16 IMP Impala Platinum Hlds 149 468.40 49.47% 147 810.31 47.81% 122 954.55 22.95%
17 INL Investec Ltd 116 238.92 16.24% 114 951.53 14.95% 113 606.46 13.61%
18 LON Lonmin PLC 119 228.00 19.23% 117 907.26 17.91% 113 606.46 13.61%
19 MTN MTN Group 118 528.80 18.53% 117 215.86 17.22% 113 606.46 13.61%
20 NED Nedbank Group 136 148.64 36.15% 134 639.14 34.64% 123 262.17 23.26%
21 NPN Naspers 120 836.16 20.84% 119 497.48 19.50% 119 244.42 19.24%
22 OML Old Mutual 115 607.89 15.61% 114 327.54 14.33% 113 682.58 13.68%
23 PIK Pick N Pay Stores 120 219.12 20.22% 118 887.32 18.89% 117 438.61 17.44%
24 RMH RMB Holdings 120 329.24 20.33% 118 996.22 19.00% 118 366.55 18.37%
25 SAB SABMiller 117 200.32 17.20% 115 902.20 15.90% 113 606.46 13.61%
26 SBK Standard Bank Group 127 863.12 27.86% 126 446.05 26.45% 119 591.51 19.59%
27 SHF Steinhoff International Holdings 117 130.40 17.13% 115 833.06 15.83% 113 606.46 13.61%
28 SHP Shoprite 118 913.36 18.91% 117 596.13 17.60% 116 984.57 16.98%
29 SLM Sanlam 118 074.32 18.07% 116 766.45 16.77% 113 606.46 13.61%
30 SOL Sasol 146 846.40 46.85% 145 217.56 45.22% 145 287.44 45.29%
31 TBS Tiger Brands 137 442.16 37.44% 135 918.23 35.92% 138 261.78 38.26%
32 TRU Truworths International 119 577.60 19.58% 118 252.96 18.25% 115 647.86 15.65%
111
2008 with 0% transaction costs
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 84 244.00 -15.76% 99 285.80 -0.71% 91 956.04 -8.04%
2 ACL ArcelorMittal South Africa Ltd 68 765.56 -31.23% 65 756.00 -34.24% 134 995.83 35.00%
3 AGL Anglo American 51 344.80 -48.66% 42 758.00 -57.24% 73 916.55 -26.08%
4 AMS Anglo Platinum 56 989.45 -43.01% 52 444.00 -47.56% 136 491.67 36.49%
5 ANG Anglogold Ashanti 86 370.23 -13.63% 89 744.62 -10.26% 130 778.05 30.78%
6 APN Aspen Pharmacare Holdings 77 881.00 -22.12% 91 786.70 -8.21% 88 129.09 -11.87%
7 ARI African Rainbow Minerals Ltd 90 001.00 -10.00% 106 070.70 6.07% 102 032.12 2.03%
8 ASA Absa Group 95 606.50 -4.39% 112 677.05 12.68% 88 129.09 -11.87%
9 BIL BHP Billiton 80 002.00 -20.00% 94 286.40 -5.71% 88 129.09 -11.87%
10 BVT Bidvest Group 92 879.50 -7.12% 109 463.15 9.46% 95 585.68 -4.41%
11 CSO Capital Shopping Centres Group Plc 78 903.63 -21.10% 92 991.91 -7.01% 88 129.09 -11.87%
12 FSR Firstrand Limited 80 380.75 -19.62% 94 732.78 -5.27% 88 129.09 -11.87%
13 GFI Gold Fields 83 486.50 -16.51% 98 393.05 -1.61% 88 129.09 -11.87%
14 GRT Growthpoint Prop Ltd 81 107.95 -18.89% 95 589.82 -4.41% 88 129.09 -11.87%
15 HAR Harmony 77 881.00 -22.12% 91 786.70 -8.21% 88 129.09 -11.87%
16 IMP Impala Platinum Hlds 122 573.50 22.57% 144 458.95 44.46% 88 129.09 -11.87%
17 INL Investec Ltd 78 532.45 -21.47% 92 554.47 -7.45% 88 558.00 -11.44%
18 LON Lonmin PLC 81 486.70 -18.51% 96 036.19 -3.96% 89 832.53 -10.17%
19 MTN MTN Group 82 001.80 -18.00% 96 643.26 -3.36% 88 129.09 -11.87%
20 NED Nedbank Group 97 879.00 -2.12% 115 355.30 15.36% 88 129.09 -11.87%
21 NPN Naspers 83 335.00 -16.67% 98 214.50 -1.79% 88 129.09 -11.87%
22 OML Old Mutual 78 093.10 -21.91% 92 036.67 -7.96% 88 214.56 -11.79%
23 PIK Pick N Pay Stores 79 321.77 -20.68% 93 484.71 -6.52% 89 769.09 -10.23%
24 RMH RMB Holdings 82 168.45 -17.83% 96 839.67 -3.16% 88 129.09 -11.87%
25 SAB SABMiller 79 638.40 -20.36% 93 857.88 -6.14% 88 129.09 -11.87%
26 SBK Standard Bank Group 89 940.40 -10.06% 105 999.28 6.00% 88 129.09 -11.87%
27 SHF Steinhoff International Holdings 79 699.00 -20.30% 93 929.30 -6.07% 90 153.43 -9.85%
28 SHP Shoprite 82 577.50 -17.42% 97 321.75 -2.68% 91 811.91 -8.19%
29 SLM Sanlam 80 698.90 -19.30% 95 107.73 -4.89% 88 129.09 -11.87%
30 SOL Sasol 117 271.00 17.27% 138 209.70 38.21% 88 129.09 -11.87%
31 TBS Tiger Brands 98 848.60 -1.15% 100 535.65 0.54% 88 129.09 -11.87%
32 TRU Truworths International 82 244.20 -17.76% 96 928.94 -3.07% 88 129.09 -11.87%
112
2009 with 0% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 123 151.45 23.15% 120 778.40 20.78% 114 539.32 14.54%
2 ACL ArcelorMittal South Africa Ltd 122 261.00 22.26% 123 582.30 23.58% 126 314.75 26.31%
3 AGL Anglo American 151 320.50 51.32% 168 111.74 68.11% 115 368.10 15.37%
4 AMS Anglo Platinum 153 055.70 53.06% 180 017.50 80.02% 158 528.14 58.53%
5 ANG Anglogold Ashanti 121 934.44 21.93% 117 373.60 17.37% 130 106.55 30.11%
6 APN Aspen Pharmacare Holdings 115 953.10 15.95% 113 718.80 13.72% 114 539.32 14.54%
7 ARI African Rainbow Minerals Ltd 122 762.35 22.76% 120 396.80 20.40% 121 270.69 21.27%
8 ASA Absa Group 137 548.15 37.55% 134 897.60 34.90% 123 431.87 23.43%
9 BIL BHP Billiton 119 143.72 19.14% 116 847.92 16.85% 117 952.34 17.95%
10 BVT Bidvest Group 127 237.00 27.24% 124 785.20 24.79% 118 959.25 18.96%
11 CSO Capital Shopping Centres Group Plc 117 474.48 17.47% 115 210.86 15.21% 115 173.98 15.17%
12 FSR Firstrand Limited 118 132.06 18.13% 115 855.76 15.86% 116 887.83 16.89%
13 GFI Gold Fields 120 233.20 20.23% 117 916.40 17.92% 117 701.67 17.70%
14 GRT Growthpoint Prop Ltd 120 412.19 20.41% 118 091.94 18.09% 119 317.87 19.32%
15 HAR Harmony 117 898.60 17.90% 115 626.80 15.63% 116 462.58 16.46%
16 IMP Impala Platinum Hlds 128 404.30 28.40% 125 930.00 25.93% 127 892.34 27.89%
17 INL Investec Ltd 116 458.93 16.46% 114 214.88 14.21% 114 539.32 14.54%
18 LON Lonmin PLC 115 953.10 15.95% 113 718.80 13.72% 114 539.32 14.54%
19 MTN MTN Group 122 995.81 23.00% 120 625.76 20.63% 122 538.42 22.54%
20 NED Nedbank Group 136 186.30 36.19% 133 562.00 33.56% 122 617.42 22.62%
21 NPN Naspers 124 007.47 24.01% 121 617.92 21.62% 122 502.00 22.50%
22 OML Old Mutual 116 054.27 16.05% 113 818.02 13.82% 114 539.32 14.54%
23 PIK Pick N Pay Stores 122 723.44 22.72% 120 358.64 20.36% 121 869.63 21.87%
24 RMH RMB Holdings 119 805.19 19.81% 117 496.64 17.50% 118 668.89 18.67%
25 SAB SABMiller 118 248.79 18.25% 115 970.24 15.97% 116 199.15 16.20%
26 SBK Standard Bank Group 128 949.04 28.95% 126 464.24 26.46% 128 895.55 28.90%
27 SHF Steinhoff International Holdings 118 287.70 18.29% 116 008.40 16.01% 116 862.74 16.86%
28 SHP Shoprite 123 735.10 23.74% 121 350.80 21.35% 122 767.85 22.77%
29 SLM Sanlam 119 766.28 19.77% 117 458.48 17.46% 114 539.32 14.54%
30 SOL Sasol 149 026.60 49.03% 146 154.80 46.15% 137 324.75 37.32%
31 TBS Tiger Brands 146 536.36 46.54% 143 712.56 43.71% 124 016.15 24.02%
32 TRU Truworths International 122 606.71 22.61% 120 244.16 20.24% 121 729.04 21.73%
113
2010 with 0% transaction costs
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 136 234.00 36.23% 136 215.00 36.22% 132 477.57 32.48%
2 ACL ArcelorMittal South Africa Ltd 76 933.40 -23.07% 73 286.00 -26.71% 111 253.60 11.25%
3 AGL Anglo American 107 413.12 7.41% 107 096.00 7.10% 85 668.08 -14.33%
4 AMS Anglo Platinum 87 605.38 -12.39% 95 668.06 -4.33% 111 765.02 11.77%
5 ANG Anglogold Ashanti 107 158.96 7.16% 107 011.50 7.01% 109 114.34 9.11%
6 APN Aspen Pharmacare Holdings 132 375.75 32.38% 132 356.75 32.36% 125 570.17 25.57%
7 ARI African Rainbow Minerals Ltd 136 737.25 36.74% 136 718.25 36.72% 132 750.22 32.75%
8 ASA Absa Group 144 957.00 44.96% 144 938.00 44.94% 141 968.90 41.97%
9 BIL BHP Billiton 132 946.10 32.95% 132 927.10 32.93% 128 696.99 28.70%
10 BVT Bidvest Group 144 520.85 44.52% 144 501.85 44.50% 141 475.68 41.48%
11 CSO Capital Shopping Centres Group Plc 130 580.83 30.58% 130 561.83 30.56% 126 037.90 26.04%
12 FSR Firstrand Limited 132 610.60 32.61% 132 591.60 32.59% 125 570.17 25.57%
13 GFI Gold Fields 134 053.25 34.05% 134 034.25 34.03% 129 898.54 29.90%
14 GRT Growthpoint Prop Ltd 134 093.51 34.09% 134 074.51 34.07% 129 938.83 29.94%
15 HAR Harmony 131 704.75 31.70% 131 685.75 31.69% 127 364.12 27.36%
16 IMP Impala Platinum Hlds 143 111.75 43.11% 143 092.75 43.09% 139 857.23 39.86%
17 INL Investec Ltd 130 564.05 30.56% 130 545.05 30.55% 125 570.17 25.57%
18 LON Lonmin PLC 130 027.25 30.03% 130 008.25 30.01% 125 570.17 25.57%
19 MTN MTN Group 141 534.90 41.53% 141 515.90 41.52% 130 990.88 30.99%
20 NED Nedbank Group 144 856.35 44.86% 144 837.35 44.84% 133 180.80 33.18%
21 NPN Naspers 137 911.50 37.91% 137 892.50 37.89% 134 006.61 34.01%
22 OML Old Mutual 130 027.25 30.03% 130 008.25 30.01% 125 570.17 25.57%
23 PIK Pick N Pay Stores 135 789.46 35.79% 135 770.46 35.77% 132 342.97 32.34%
24 RMH RMB Holdings 134 187.45 34.19% 134 168.45 34.17% 125 570.17 25.57%
25 SAB SABMiller 132 392.53 32.39% 132 373.53 32.37% 126 225.64 26.23%
26 SBK Standard Bank Group 142 977.55 42.98% 142 958.55 42.96% 130 631.49 30.63%
27 SHF Steinhoff International Holdings 132 140.90 32.14% 132 121.90 32.12% 127 687.87 27.69%
28 SHP Shoprite 137 643.10 37.64% 137 624.10 37.62% 133 809.86 33.81%
29 SLM Sanlam 133 516.45 33.52% 133 497.45 33.50% 125 570.17 25.57%
30 SOL Sasol 165 254.75 65.25% 165 235.75 65.24% 125 570.17 25.57%
31 TBS Tiger Brands 154 485.20 54.49% 154 466.20 54.47% 135 723.14 35.72%
32 TRU Truworths International 136 737.25 36.74% 136 718.25 36.72% 132 817.62 32.82%
114
2001 to 2010 with 0% transaction costs
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 1 005 205.13 25.96% 983 154.18 25.68% 879 961.61 24.29%
2 ACL ArcelorMittal South Africa Ltd 5 168 100.03 48.37% 4 614 341.26 46.69% 5 290 858.32 48.71%
3 AGL Anglo American 312 169.24 12.06% 270 399.40 10.46% 223 692.47 8.38%
4 AMS Anglo Platinum 261 789.12 10.10% 259 237.08 9.99% 2 572 362.86 38.37%
5 ANG Anglogold Ashanti 338 813.48 12.98% 324 185.68 12.48% 1 157 721.27 27.75%
6 APN Aspen Pharmacare Holdings 1 987 399.16 34.84% 1 999 963.52 34.93% 951 002.05 25.26%
7 ARI African Rainbow Minerals Ltd 953 533.45 25.29% 953 516.45 25.29% 4 626 824.87 46.73%
8 ASA Absa Group 608 423.28 19.79% 604 234.16 19.71% 349 639.30 13.33%
9 BIL BHP Billiton 945 796.34 25.19% 878 105.49 24.27% 1 043 134.11 26.43%
10 BVT Bidvest Group 411 036.94 15.18% 390 945.11 14.61% 313 883.99 12.12%
11 CSO Capital Shopping Centres Group Plc 110 879.81 1.04% 108 380.91 0.81% 503 951.25 17.55%
12 FSR Firstrand Limited 350 528.44 13.36% 342 371.36 13.10% 367 911.99 13.91%
13 GFI Gold Fields 535 013.80 18.26% 503 662.60 17.55% 2 558 979.49 38.30%
14 GRT Growthpoint Prop Ltd 598 241.68 19.59% 626 053.68 20.13% 777 989.18 22.77%
15 HAR Harmony 265 622.40 10.26% 253 068.30 9.73% 6 844 274.10 52.59%
16 IMP Impala Platinum Hlds 616 472.40 19.95% 636 983.34 20.34% 2 281 681.21 36.72%
17 INL Investec Ltd 113 860.22 1.31% 104 185.39 0.41% 514 429.30 17.80%
18 LON Lonmin PLC 196 912.25 7.01% 193 409.93 6.82% 1 314 668.11 29.38%
19 MTN MTN Group 568 035.36 18.97% 539 171.60 18.35% 583 059.63 19.28%
20 NED Nedbank Group 101 547.60 0.15% 96 691.80 -0.34% 358 596.66 13.62%
21 NPN Naspers 1 296 898.60 29.21% 1 181 278.10 28.01% 1 828 002.21 33.72%
22 OML Old Mutual 72 335.10 -3.19% 70 074.83 -3.49% 303 151.65 11.73%
23 PIK Pick N Pay Stores 424 963.86 15.57% 418 878.42 15.40% 260 396.44 10.04%
24 RMH RMB Holdings 441 016.34 16.00% 428 243.03 15.66% 327 533.98 12.60%
25 SAB SABMiller 457 398.39 16.42% 433 022.52 15.78% 342 193.01 13.09%
26 SBK Standard Bank Group 436 404.75 15.87% 419 894.45 15.43% 261 590.64 10.09%
27 SHF Steinhoff International Holdings 426 882.83 15.62% 420 514.38 15.45% 747 574.21 22.28%
28 SHP Shoprite 1 377 635.23 29.99% 1 395 268.70 30.16% 478 734.77 16.95%
29 SLM Sanlam 357 839.00 13.60% 352 672.89 13.43% 443 689.52 16.07%
30 SOL Sasol 850 496.26 23.87% 663 058.56 20.82% 1 714 531.75 32.87%
31 TBS Tiger Brands 581 178.03 19.24% 577 754.72 19.17% 531 660.74 18.19%
32 TRU Truworths International 2 182 835.76 36.11% 1 994 170.62 34.89% 1 228 883.91 28.51%
115
Appendix 2: Data analysis 0.4% transaction cost
2001 with 0.4% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 166 622.80 66.62% 162 963.60 62.96% 152 171.40 52.17%
2 ACL ArcelorMittal South Africa Ltd 483 840.31 383.84% 432 003.82 332.00% 199 583.57 99.58%
3 AGL Anglo American 178 879.25 78.88% 154 914.44 54.91% 143 872.07 43.87%
4 AMS Anglo Platinum 134 232.54 34.23% 133 146.40 33.15% 158 479.47 58.48%
5 ANG Anglogold Ashanti 196 234.01 96.23% 187 741.26 87.74% 133 056.04 33.06%
6 APN Aspen Pharmacare Holdings 163 457.91 63.46% 159 868.24 59.87% 147 954.36 47.95%
7 ARI African Rainbow Minerals Ltd 161 968.55 61.97% 158 411.60 58.41% 147 954.36 47.95%
8 ASA Absa Group 185 239.80 85.24% 181 171.60 81.17% 169 477.92 69.48%
9 BIL BHP Billiton 165 412.69 65.41% 161 780.08 61.78% 147 954.36 47.95%
10 BVT Bidvest Group 179 468.53 79.47% 175 527.12 75.53% 157 100.53 57.10%
11 CSO Capital Shopping Centres Group Plc 166 110.83 66.11% 162 462.88 62.46% 149 775.17 49.78%
12 FSR Firstrand Limited 166 390.08 66.39% 162 736.00 62.74% 150 174.32 50.17%
13 GFI Gold Fields 204 787.65 104.79% 200 290.00 100.29% 147 954.36 47.95%
14 GRT Growthpoint Prop Ltd 176 769.06 76.77% 172 886.96 72.89% 147 954.36 47.95%
15 HAR Harmony 184 308.95 84.31% 180 261.20 80.26% 157 817.06 57.82%
16 IMP Impala Platinum Hlds 320 213.05 220.21% 313 179.60 213.18% 198 343.51 98.34%
17 INL Investec Ltd 161 968.55 61.97% 158 411.60 58.41% 147 954.36 47.95%
18 LON Lonmin PLC 173 138.75 73.14% 169 336.40 69.34% 152 234.55 52.23%
19 MTN MTN Group 163 830.25 63.83% 160 232.40 60.23% 149 860.62 49.86%
20 NED Nedbank Group 242 021.65 142.02% 236 706.00 136.71% 230 490.84 130.49%
21 NPN Naspers 166 436.63 66.44% 162 781.52 62.78% 152 234.55 52.23%
22 OML Old Mutual 162 862.16 62.86% 159 285.58 59.29% 147 954.36 47.95%
23 PIK Pick N Pay Stores 170 253.11 70.25% 166 514.16 66.51% 149 732.68 49.73%
24 RMH RMB Holdings 168 670.67 68.67% 164 966.48 64.97% 150 282.21 50.28%
25 SAB SABMiller 201 295.10 101.30% 196 874.18 96.87% 187 032.09 87.03%
26 SBK Standard Bank Group 178 910.02 78.91% 174 980.88 74.98% 158 811.19 58.81%
27 SHF Steinhoff International Holdings 164 202.59 64.20% 160 596.56 60.60% 147 954.36 47.95%
28 SHP Shoprite 165 785.03 65.79% 162 144.24 62.14% 147 954.36 47.95%
29 SLM Sanlam 167 553.65 67.55% 163 874.00 63.87% 147 954.36 47.95%
30 SOL Sasol 221 542.95 121.54% 216 677.20 116.68% 207 539.14 107.54%
31 TBS Tiger Brands 201 622.76 101.62% 197 194.64 97.19% 179 490.75 79.49%
32 TRU Truworths International 164 668.01 64.67% 161 051.76 61.05% 147 954.36 47.95%
116
2002 with 0.4% transaction costs
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 68 119.61 -31.88% 65 850.32 -34.15% 111 909.88 11.91%
2 ACL ArcelorMittal South Africa Ltd 190 743.00 90.74% 188 254.25 88.25% 144 797.90 44.80%
3 AGL Anglo American 69 088.16 -30.91% 67 286.47 -32.71% 104 823.89 4.82%
4 AMS Anglo Platinum 76 115.64 -23.88% 76 877.20 -23.12% 87 851.73 -12.15%
5 ANG Anglogold Ashanti 142 895.12 42.90% 130 802.25 30.80% 163 868.93 63.87%
6 APN Aspen Pharmacare Holdings 65 944.49 -34.06% 63 747.78 -36.25% 108 454.78 8.45%
7 ARI African Rainbow Minerals Ltd 64 685.21 -35.31% 62 530.52 -37.47% 108 454.78 8.45%
8 ASA Absa Group 78 766.25 -21.23% 76 141.70 -23.86% 119 756.39 19.76%
9 BIL BHP Billiton 66 230.69 -33.77% 64 024.43 -35.98% 108 454.78 8.45%
10 BVT Bidvest Group 86 436.41 -13.56% 83 555.92 -16.44% 146 959.40 46.96%
11 CSO Capital Shopping Centres Group Plc 67 346.87 -32.65% 65 103.37 -34.90% 110 264.84 10.26%
12 FSR Firstrand Limited 67 947.89 -32.05% 65 684.33 -34.32% 108 454.78 8.45%
13 GFI Gold Fields 100 174.01 0.17% 96 835.12 -3.16% 125 438.76 25.44%
14 GRT Growthpoint Prop Ltd 70 885.45 -29.11% 68 523.87 -31.48% 112 958.91 12.96%
15 HAR Harmony 121 925.21 21.93% 117 860.52 17.86% 190 071.14 90.07%
16 IMP Impala Platinum Hlds 117 632.21 17.63% 113 710.77 13.71% 200 885.13 100.89%
17 INL Investec Ltd 64 685.21 -35.31% 62 530.52 -37.47% 108 454.78 8.45%
18 LON Lonmin PLC 97 312.01 -2.69% 94 068.62 -5.93% 149 026.35 49.03%
19 MTN MTN Group 64 685.21 -35.31% 62 530.52 -37.47% 108 454.78 8.45%
20 NED Nedbank Group 123 642.41 23.64% 119 520.42 19.52% 155 208.48 55.21%
21 NPN Naspers 67 547.21 -32.45% 65 297.02 -34.70% 108 454.78 8.45%
22 OML Old Mutual 65 234.71 -34.77% 63 061.69 -36.94% 108 937.10 8.94%
23 PIK Pick N Pay Stores 71 010.23 -28.99% 68 644.49 -31.36% 108 454.78 8.45%
24 RMH RMB Holdings 69 768.12 -30.23% 67 443.83 -32.56% 108 454.78 8.45%
25 SAB SABMiller 86 714.60 -13.29% 83 824.83 -16.18% 143 218.89 43.22%
26 SBK Standard Bank Group 77 049.05 -22.95% 74 481.80 -25.52% 119 615.50 19.62%
27 SHF Steinhoff International Holdings 66 402.41 -33.60% 64 190.42 -35.81% 108 454.78 8.45%
28 SHP Shoprite 67 604.45 -32.40% 65 352.35 -34.65% 110 541.21 10.54%
29 SLM Sanlam 68 692.01 -31.31% 66 403.62 -33.60% 108 454.78 8.45%
30 SOL Sasol 116 201.21 16.20% 112 327.52 12.33% 197 790.85 97.79%
31 TBS Tiger Brands 90 328.73 -9.67% 71 272.66 -28.73% 122 626.68 22.63%
32 TRU Truworths International 67 203.77 -32.80% 64 965.04 -35.03% 110 162.38 10.16%
117
2003 with 0.4% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 193 911.41 93.91% 175 297.60 75.30% 103 057.53 3.06%
2 ACL ArcelorMittal South Africa Ltd 144 932.75 44.93% 131 061.50 31.06% 169 215.90 69.22%
3 AGL Anglo American 112 985.54 12.99% 115 598.49 15.60% 81 669.27 -18.33%
4 AMS Anglo Platinum 95 884.84 -4.12% 88 856.11 -11.14% 109 287.77 9.29%
5 ANG Anglogold Ashanti 111 338.87 11.34% 105 242.58 5.24% 85 496.17 -14.50%
6 APN Aspen Pharmacare Holdings 169 937.33 69.94% 153 624.64 53.62% 103 057.53 3.06%
7 ARI African Rainbow Minerals Ltd 166 411.73 66.41% 150 437.44 50.44% 103 057.53 3.06%
8 ASA Absa Group 194 087.69 94.09% 175 456.96 75.46% 110 999.85 11.00%
9 BIL BHP Billiton 169 144.07 69.14% 152 907.52 52.91% 103 941.32 3.94%
10 BVT Bidvest Group 205 193.33 105.19% 185 496.64 85.50% 118 824.03 18.82%
11 CSO Capital Shopping Centres Group Plc 170 686.52 70.69% 154 301.92 54.30% 106 816.05 6.82%
12 FSR Firstrand Limited 172 581.53 72.58% 156 015.04 56.02% 103 057.53 3.06%
13 GFI Gold Fields 210 481.73 110.48% 190 277.44 90.28% 126 680.82 26.68%
14 GRT Growthpoint Prop Ltd 178 143.16 78.14% 161 042.85 61.04% 104 769.73 4.77%
15 HAR Harmony 214 888.73 114.89% 194 261.44 94.26% 103 057.53 3.06%
16 IMP Impala Platinum Hlds 224 804.48 124.80% 203 225.44 103.23% 133 851.87 33.85%
17 INL Investec Ltd 166 411.73 66.41% 150 437.44 50.44% 103 057.53 3.06%
18 LON Lonmin PLC 179 103.89 79.10% 161 911.36 61.91% 114 344.76 14.34%
19 MTN MTN Group 166 411.73 66.41% 150 437.44 50.44% 103 057.53 3.06%
20 NED Nedbank Group 257 195.93 157.20% 232 507.84 132.51% 103 057.53 3.06%
21 NPN Naspers 171 700.13 71.70% 155 218.24 55.22% 107 326.53 7.33%
22 OML Old Mutual 167 257.87 67.26% 151 202.37 51.20% 103 755.16 3.76%
23 PIK Pick N Pay Stores 179 015.75 79.02% 161 831.68 61.83% 103 057.53 3.06%
24 RMH RMB Holdings 176 107.13 76.11% 159 202.24 59.20% 103 057.53 3.06%
25 SAB SABMiller 170 995.01 71.00% 154 580.80 54.58% 103 884.85 3.88%
26 SBK Standard Bank Group 189 592.55 89.59% 171 393.28 71.39% 126 736.07 26.74%
27 SHF Steinhoff International Holdings 169 584.77 69.58% 153 305.92 53.31% 103 057.53 3.06%
28 SHP Shoprite 171 788.27 71.79% 155 297.92 55.30% 105 405.59 5.41%
29 SLM Sanlam 172 934.09 72.93% 156 333.76 56.33% 109 134.28 9.13%
30 SOL Sasol 245 737.73 145.74% 222 149.44 122.15% 185 448.91 85.45%
31 TBS Tiger Brands 217 532.93 117.53% 163 026.88 63.03% 115 095.82 15.10%
32 TRU Truworths International 172 405.25 72.41% 155 855.68 55.86% 106 046.65 6.05%
118
2004 with 0.4% transaction costs
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 208 382.40 108.38% 216 165.85 116.17% 135 066.01 35.07%
2 ACL ArcelorMittal South Africa Ltd 230 026.40 130.03% 224 085.58 124.09% 155 307.24 55.31%
3 AGL Anglo American 93 397.35 -6.60% 88 685.08 -11.31% 87 035.68 -12.96%
4 AMS Anglo Platinum 73 072.59 -26.93% 68 915.41 -31.08% 118 644.89 18.64%
5 ANG Anglogold Ashanti 64 729.99 -35.27% 64 647.72 -35.35% 90 211.15 -9.79%
6 APN Aspen Pharmacare Holdings 196 248.75 96.25% 203 579.10 103.58% 137 840.69 37.84%
7 ARI African Rainbow Minerals Ltd 193 083.45 93.08% 200 295.60 100.30% 135 066.01 35.07%
8 ASA Absa Group 214 713.00 114.71% 222 732.85 122.73% 155 677.64 55.68%
9 BIL BHP Billiton 194 982.63 94.98% 202 265.70 102.27% 136 054.22 36.05%
10 BVT Bidvest Group 219 482.06 119.48% 227 679.99 127.68% 149 292.05 49.29%
11 CSO Capital Shopping Centres Group Plc 195 789.79 95.79% 203 102.99 103.10% 136 355.82 36.36%
12 FSR Firstrand Limited 197 936.91 97.94% 205 330.30 105.33% 137 302.21 37.30%
13 GFI Gold Fields 201 524.25 101.52% 209 051.60 109.05% 139 225.95 39.23%
14 GRT Growthpoint Prop Ltd 200 363.64 100.36% 207 847.65 107.85% 138 758.26 38.76%
15 HAR Harmony 200 469.15 100.47% 207 957.10 107.96% 138 185.71 38.19%
16 IMP Impala Platinum Hlds 220 779.83 120.78% 229 026.23 129.03% 135 066.01 35.07%
17 INL Investec Ltd 194 349.57 94.35% 201 609.00 101.61% 136 142.23 36.14%
18 LON Lonmin PLC 200 680.17 100.68% 208 176.00 108.18% 140 412.94 40.41%
19 MTN MTN Group 197 409.36 97.41% 204 783.05 104.78% 139 702.63 39.70%
20 NED Nedbank Group 201 418.74 101.42% 208 942.15 108.94% 139 642.08 39.64%
21 NPN Naspers 197 092.83 97.09% 204 454.70 104.45% 139 017.51 39.02%
22 OML Old Mutual 193 595.18 93.60% 200 826.43 100.83% 135 573.45 35.57%
23 PIK Pick N Pay Stores 201 872.44 101.87% 209 412.79 109.41% 135 066.01 35.07%
24 RMH RMB Holdings 201 260.48 101.26% 208 777.98 108.78% 138 029.87 38.03%
25 SAB SABMiller 196 723.55 96.72% 204 071.63 104.07% 135 965.53 35.97%
26 SBK Standard Bank Group 209 965.05 109.97% 217 807.60 117.81% 140 318.53 40.32%
27 SHF Steinhoff International Holdings 195 404.67 95.40% 202 703.50 102.70% 137 101.33 37.10%
28 SHP Shoprite 196 881.81 96.88% 204 235.80 104.24% 137 093.45 37.09%
29 SLM Sanlam 197 303.85 97.30% 204 673.60 104.67% 139 770.97 39.77%
30 SOL Sasol 240 562.95 140.56% 249 548.10 149.55% 158 776.47 58.78%
31 TBS Tiger Brands 225 897.06 125.90% 211 240.60 111.24% 146 281.94 46.28%
32 TRU Truworths International 198 147.93 98.15% 205 549.20 105.55% 137 873.39 37.87%
119
2005 with 0.4% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 149 509.04 49.51% 157 010.13 57.01% 98 625.12 -1.37%
2 ACL ArcelorMittal South Africa Ltd 107 379.55 7.38% 108 291.25 8.29% 153 091.69 53.09%
3 AGL Anglo American 154 294.50 54.29% 154 287.37 54.29% 124 821.51 24.82%
4 AMS Anglo Platinum 218 329.64 118.33% 207 601.07 107.60% 128 962.79 28.96%
5 ANG Anglogold Ashanti 155 584.13 55.58% 155 577.00 55.58% 125 761.23 25.76%
6 APN Aspen Pharmacare Holdings 139 773.74 39.77% 146 785.89 46.79% 97 946.67 -2.05%
7 ARI African Rainbow Minerals Ltd 137 088.14 37.09% 143 965.41 43.97% 95 895.25 -4.10%
8 ASA Absa Group 157 230.14 57.23% 165 119.01 65.12% 102 157.65 2.16%
9 BIL BHP Billiton 138 654.74 38.65% 145 610.69 45.61% 95 895.25 -4.10%
10 BVT Bidvest Group 154 208.84 54.21% 161 945.97 61.95% 103 815.27 3.82%
11 CSO Capital Shopping Centres Group Plc 138 570.81 38.57% 145 522.55 45.52% 97 288.43 -2.71%
12 FSR Firstrand Limited 140 170.98 40.17% 147 203.08 47.20% 97 247.20 -2.75%
13 GFI Gold Fields 141 004.64 41.00% 148 078.61 48.08% 95 895.25 -4.10%
14 GRT Growthpoint Prop Ltd 141 183.68 41.18% 148 266.64 48.27% 97 629.09 -2.37%
15 HAR Harmony 137 088.14 37.09% 143 965.41 43.97% 95 895.25 -4.10%
16 IMP Impala Platinum Hlds 153 145.79 53.15% 160 829.53 60.83% 109 926.92 9.93%
17 INL Investec Ltd 137 927.39 37.93% 144 846.81 44.85% 96 192.71 -3.81%
18 LON Lonmin PLC 141 116.54 41.12% 148 196.13 48.20% 99 617.01 -0.38%
19 MTN MTN Group 140 724.89 40.72% 147 784.81 47.78% 99 202.74 -0.80%
20 NED Nedbank Group 147 215.09 47.22% 154 600.97 54.60% 100 271.19 0.27%
21 NPN Naspers 141 004.64 41.00% 148 078.61 48.08% 95 895.25 -4.10%
22 OML Old Mutual 137 387.47 37.39% 144 279.77 44.28% 95 895.25 -4.10%
23 PIK Pick N Pay Stores 142 683.14 42.68% 149 841.41 49.84% 99 922.51 -0.08%
24 RMH RMB Holdings 147 942.44 47.94% 155 364.85 55.36% 102 745.07 2.75%
25 SAB SABMiller 139 270.19 39.27% 146 257.05 46.26% 97 067.76 -2.93%
26 SBK Standard Bank Group 154 040.99 54.04% 161 769.69 61.77% 112 539.01 12.54%
27 SHF Steinhoff International Holdings 138 766.64 38.77% 145 728.21 45.73% 95 895.25 -4.10%
28 SHP Shoprite 139 885.64 39.89% 146 903.41 46.90% 97 182.90 -2.82%
29 SLM Sanlam 139 885.64 39.89% 146 903.41 46.90% 98 798.27 -1.20%
30 SOL Sasol 167 301.14 67.30% 175 695.81 75.70% 109 139.05 9.14%
31 TBS Tiger Brands 159 747.89 59.75% 151 898.01 51.90% 95 895.25 -4.10%
32 TRU Truworths International 140 948.69 40.95% 148 019.85 48.02% 95 895.25 -4.10%
120
2006 with 0.4% transaction costs
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 121 146.13 21.15% 116 847.80 16.85% 121 367.70 21.37%
2 ACL ArcelorMittal South Africa Ltd 165 002.56 65.00% 159 809.23 59.81% 149 559.53 49.56%
3 AGL Anglo American 160 289.61 60.29% 161 517.07 61.52% 130 303.93 30.30%
4 AMS Anglo Platinum 190 749.83 90.75% 180 670.18 80.67% 138 556.57 38.56%
5 ANG Anglogold Ashanti 105 532.92 5.53% 99 800.21 -0.20% 115 922.36 15.92%
6 APN Aspen Pharmacare Holdings 118 788.43 18.79% 114 573.62 14.57% 121 367.70 21.37%
7 ARI African Rainbow Minerals Ltd 116 268.13 16.27% 112 142.60 12.14% 121 367.70 21.37%
8 ASA Absa Group 130 211.08 30.21% 125 591.63 25.59% 131 660.70 31.66%
9 BIL BHP Billiton 117 731.53 17.73% 113 554.16 13.55% 121 367.70 21.37%
10 BVT Bidvest Group 131 267.98 31.27% 126 611.09 26.61% 127 328.88 27.33%
11 CSO Capital Shopping Centres Group Plc 117 369.75 17.37% 113 205.19 13.21% 122 010.75 22.01%
12 FSR Firstrand Limited 118 951.03 18.95% 114 730.46 14.73% 124 122.31 24.12%
13 GFI Gold Fields 122 365.63 22.37% 118 024.10 18.02% 128 573.46 28.57%
14 GRT Growthpoint Prop Ltd 119 572.98 19.57% 115 330.37 15.33% 123 454.99 23.45%
15 HAR Harmony 116 268.13 16.27% 112 142.60 12.14% 121 367.70 21.37%
16 IMP Impala Platinum Hlds 160 475.01 60.48% 154 783.48 54.78% 121 367.70 21.37%
17 INL Investec Ltd 117 105.52 17.11% 112 950.33 12.95% 121 792.00 21.79%
18 LON Lonmin PLC 119 804.68 19.80% 115 553.87 15.55% 121 367.70 21.37%
19 MTN MTN Group 118 910.38 18.91% 114 691.25 14.69% 121 367.70 21.37%
20 NED Nedbank Group 132 284.23 32.28% 127 591.34 27.59% 139 232.56 39.23%
21 NPN Naspers 121 146.13 21.15% 116 847.80 16.85% 121 367.70 21.37%
22 OML Old Mutual 116 501.87 16.50% 112 368.06 12.37% 121 618.60 21.62%
23 PIK Pick N Pay Stores 121 044.51 21.04% 116 749.78 16.75% 121 367.70 21.37%
24 RMH RMB Holdings 120 881.91 20.88% 116 592.94 16.59% 126 163.27 26.16%
25 SAB SABMiller 118 097.38 18.10% 113 907.05 13.91% 121 961.72 21.96%
26 SBK Standard Bank Group 128 015.98 28.02% 123 474.29 23.47% 134 236.01 34.24%
27 SHF Steinhoff International Holdings 117 792.51 17.79% 113 612.98 13.61% 121 367.70 21.37%
28 SHP Shoprite 119 235.58 19.24% 115 004.93 15.00% 123 671.97 23.67%
29 SLM Sanlam 118 910.38 18.91% 114 691.25 14.69% 121 367.70 21.37%
30 SOL Sasol 145 129.63 45.13% 139 981.70 39.98% 153 094.86 53.09%
31 TBS Tiger Brands 138 625.63 38.63% 133 708.10 33.71% 137 341.64 37.34%
32 TRU Truworths International 119 885.98 19.89% 115 632.29 15.63% 123 622.28 23.62%
121
2007 with 0.4% transaction costs
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 122 756.96 22.76% 121 402.12 21.40% 104 203.16 4.20%
2 ACL ArcelorMittal South Africa Ltd 157 836.79 57.84% 154 705.39 54.71% 125 858.44 25.86%
3 AGL Anglo American 110 307.63 10.31% 110 860.11 10.86% 99 979.06 -0.02%
4 AMS Anglo Platinum 125 357.12 25.36% 119 809.73 19.81% 135 359.22 35.36%
5 ANG Anglogold Ashanti 89 462.00 -10.54% 90 516.22 -9.48% 114 092.74 14.09%
6 APN Aspen Pharmacare Holdings 117 359.86 17.36% 116 063.92 16.06% 103 427.32 3.43%
7 ARI African Rainbow Minerals Ltd 120 145.46 20.15% 118 819.12 18.82% 101 166.89 1.17%
8 ASA Absa Group 132 506.56 32.51% 131 045.32 31.05% 108 924.32 8.92%
9 BIL BHP Billiton 116 559.00 16.56% 115 271.80 15.27% 101 774.78 1.77%
10 BVT Bidvest Group 130 466.11 30.47% 129 027.13 29.03% 107 186.20 7.19%
11 CSO Capital Shopping Centres Group Plc 115 932.24 15.93% 114 651.88 14.65% 101 612.31 1.61%
12 FSR Firstrand Limited 117 777.70 17.78% 116 477.20 16.48% 103 630.44 3.63%
13 GFI Gold Fields 121 364.16 21.36% 120 024.52 20.02% 104 237.46 4.24%
14 GRT Growthpoint Prop Ltd 118 164.20 18.16% 115 826.28 15.83% 101 626.48 1.63%
15 HAR Harmony 114 922.46 14.92% 113 653.12 13.65% 101 166.89 1.17%
16 IMP Impala Platinum Hlds 148 871.96 48.87% 147 232.12 47.23% 109 527.24 9.53%
17 INL Investec Ltd 115 775.55 15.78% 114 496.90 14.50% 101 166.89 1.17%
18 LON Lonmin PLC 118 752.66 18.75% 117 441.52 17.44% 101 166.89 1.17%
19 MTN MTN Group 118 056.26 18.06% 116 752.72 16.75% 101 166.89 1.17%
20 NED Nedbank Group 135 605.54 35.61% 134 110.48 34.11% 109 802.50 9.80%
21 NPN Naspers 120 354.38 20.35% 119 025.76 19.03% 106 209.11 6.21%
22 OML Old Mutual 115 147.05 15.15% 113 875.26 13.88% 101 234.78 1.23%
23 PIK Pick N Pay Stores 119 739.81 19.74% 118 417.89 18.42% 104 594.70 4.59%
24 RMH RMB Holdings 119 849.49 19.85% 118 526.38 18.53% 105 425.49 5.43%
25 SAB SABMiller 116 733.10 16.73% 115 444.00 15.44% 101 166.89 1.17%
26 SBK Standard Bank Group 127 353.20 27.35% 125 948.20 25.95% 106 518.84 6.52%
27 SHF Steinhoff International Holdings 116 663.46 16.66% 115 375.12 15.38% 101 166.89 1.17%
28 SHP Shoprite 118 439.28 18.44% 117 131.56 17.13% 104 188.70 4.19%
29 SLM Sanlam 117 603.60 17.60% 116 305.00 16.30% 101 166.89 1.17%
30 SOL Sasol 146 260.46 46.26% 144 649.12 44.65% 129 501.11 29.50%
31 TBS Tiger Brands 136 893.88 36.89% 135 384.76 35.38% 123 218.74 23.22%
32 TRU Truworths International 119 100.86 19.10% 117 785.92 17.79% 102 992.57 2.99%
122
2008 with 0.4% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 83 908.02 -16.09% 98 890.22 -1.11% 81 571.68 -18.43%
2 ACL ArcelorMittal South Africa Ltd 68 765.56 -31.23% 65 756.00 -34.24% 134 995.83 35.00%
3 AGL Anglo American 51 150.77 -48.85% 42 647.40 -57.35% 68 845.80 -31.15%
4 AMS Anglo Platinum 57 027.96 -42.97% 52 046.56 -47.95% 125 632.70 25.63%
5 ANG Anglogold Ashanti 86 052.86 -13.95% 89 375.41 -10.62% 121 670.39 21.67%
6 APN Aspen Pharmacare Holdings 77 570.22 -22.43% 91 420.52 -8.58% 78 163.56 -21.84%
7 ARI African Rainbow Minerals Ltd 89 642.22 -10.36% 105 648.52 5.65% 90 542.68 -9.46%
8 ASA Absa Group 95 225.52 -4.77% 112 228.97 12.23% 78 163.56 -21.84%
9 BIL BHP Billiton 79 682.82 -20.32% 93 910.42 -6.09% 78 163.56 -21.84%
10 BVT Bidvest Group 92 509.32 -7.49% 109 027.67 9.03% 84 806.28 -15.19%
11 CSO Capital Shopping Centres Group Plc 78 588.80 -21.41% 92 621.00 -7.38% 78 163.56 -21.84%
12 FSR Firstrand Limited 80 060.07 -19.94% 94 355.04 -5.64% 78 163.56 -21.84%
13 GFI Gold Fields 83 153.52 -16.85% 98 000.97 -2.00% 78 163.56 -21.84%
14 GRT Growthpoint Prop Ltd 80 784.39 -19.22% 95 208.72 -4.79% 78 163.56 -21.84%
15 HAR Harmony 77 570.22 -22.43% 91 420.52 -8.58% 78 163.56 -21.84%
16 IMP Impala Platinum Hlds 122 085.72 22.09% 143 886.27 43.89% 78 163.56 -21.84%
17 INL Investec Ltd 78 219.09 -21.78% 92 185.27 -7.81% 78 545.91 -21.45%
18 LON Lonmin PLC 81 161.64 -18.84% 95 653.35 -4.35% 79 682.98 -20.32%
19 MTN MTN Group 81 674.70 -18.33% 96 258.04 -3.74% 78 163.56 -21.84%
20 NED Nedbank Group 97 489.02 -2.51% 114 896.72 14.90% 78 163.56 -21.84%
21 NPN Naspers 83 002.62 -17.00% 97 823.12 -2.18% 78 163.56 -21.84%
22 OML Old Mutual 77 781.48 -22.22% 91 669.51 -8.33% 78 240.04 -21.76%
23 PIK Pick N Pay Stores 79 005.28 -20.99% 93 111.87 -6.89% 79 626.30 -20.37%
24 RMH RMB Holdings 81 840.69 -18.16% 96 453.67 -3.55% 78 163.56 -21.84%
25 SAB SABMiller 79 320.66 -20.68% 93 483.58 -6.52% 78 163.56 -21.84%
26 SBK Standard Bank Group 89 581.86 -10.42% 105 577.38 5.58% 78 163.56 -21.84%
27 SHF Steinhoff International Holdings 79 381.02 -20.62% 93 554.72 -6.45% 79 966.87 -20.03%
28 SHP Shoprite 82 248.12 -17.75% 96 933.87 -3.07% 81 442.96 -18.56%
29 SLM Sanlam 80 376.96 -19.62% 94 728.53 -5.27% 78 163.56 -21.84%
30 SOL Sasol 116 804.22 16.80% 137 661.52 37.66% 78 163.56 -21.84%
31 TBS Tiger Brands 98 454.78 -1.55% 100 135.17 0.14% 78 163.56 -21.84%
32 TRU Truworths International 81 916.14 -18.08% 96 542.60 -3.46% 78 163.56 -21.84%
123
2009 with 0.4% transaction costs
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 122 657.90 22.66% 120 303.65 20.30% 100 777.69 0.78%
2 ACL ArcelorMittal South Africa Ltd 122 261.00 22.26% 123 582.30 23.58% 126 314.75 26.31%
3 AGL Anglo American 150 813.65 50.81% 167 454.52 67.45% 104 003.96 4.00%
4 AMS Anglo Platinum 152 383.28 52.38% 179 267.24 79.27% 145 251.49 45.25%
5 ANG Anglogold Ashanti 121 480.89 21.48% 116 930.08 16.93% 117 249.30 17.25%
6 APN Aspen Pharmacare Holdings 115 489.15 15.49% 113 271.80 13.27% 100 777.69 0.78%
7 ARI African Rainbow Minerals Ltd 122 270.40 22.27% 119 923.55 19.92% 106 724.50 6.72%
8 ASA Absa Group 136 995.40 37.00% 134 367.35 34.37% 108 631.55 8.63%
9 BIL BHP Billiton 118 666.65 18.67% 116 388.62 16.39% 103 791.45 3.79%
10 BVT Bidvest Group 126 726.65 26.73% 124 294.70 24.29% 104 680.13 4.68%
11 CSO Capital Shopping Centres Group Plc 117 004.28 17.00% 114 757.99 14.76% 101 338.55 1.34%
12 FSR Firstrand Limited 117 659.15 17.66% 115 400.36 15.40% 102 851.34 2.85%
13 GFI Gold Fields 119 751.65 19.75% 117 452.90 17.45% 103 569.97 3.57%
14 GRT Growthpoint Prop Ltd 119 929.90 19.93% 117 627.75 17.63% 104 998.21 5.00%
15 HAR Harmony 117 426.65 17.43% 115 172.30 15.17% 102 476.98 2.48%
16 IMP Impala Platinum Hlds 127 889.15 27.89% 125 435.00 25.44% 112 573.17 12.57%
17 INL Investec Ltd 115 992.90 15.99% 113 765.93 13.77% 100 777.69 0.78%
18 LON Lonmin PLC 115 489.15 15.49% 113 271.80 13.27% 100 777.69 0.78%
19 MTN MTN Group 122 502.90 22.50% 120 151.61 20.15% 107 841.36 7.84%
20 NED Nedbank Group 135 639.15 35.64% 133 037.00 33.04% 107 913.57 7.91%
21 NPN Naspers 123 510.40 23.51% 121 139.87 21.14% 107 812.09 7.81%
22 OML Old Mutual 115 589.90 15.59% 113 370.63 13.37% 100 777.69 0.78%
23 PIK Pick N Pay Stores 122 231.65 22.23% 119 885.54 19.89% 107 252.51 7.25%
24 RMH RMB Holdings 119 325.40 19.33% 117 034.79 17.03% 104 425.03 4.43%
25 SAB SABMiller 117 775.40 17.78% 115 514.39 15.51% 102 243.56 2.24%
26 SBK Standard Bank Group 128 431.65 28.43% 125 967.14 25.97% 113 459.33 13.46%
27 SHF Steinhoff International Holdings 117 814.15 17.81% 115 552.40 15.55% 102 830.46 2.83%
28 SHP Shoprite 123 239.15 23.24% 120 873.80 20.87% 108 047.73 8.05%
29 SLM Sanlam 119 286.65 19.29% 116 996.78 17.00% 100 777.69 0.78%
30 SOL Sasol 148 426.65 48.43% 145 580.30 45.58% 120 902.71 20.90%
31 TBS Tiger Brands 145 946.65 45.95% 143 147.66 43.15% 109 148.75 9.15%
32 TRU Truworths International 122 115.40 22.12% 119 771.51 19.77% 107 127.96 7.13%
124
2010 with 0.4% transaction costs
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 135 695.23 35.70% 135 687.20 35.69% 119 898.46 19.90%
2 ACL ArcelorMittal South Africa Ltd 76 933.40 -23.07% 73 286.00 -26.71% 111 253.60 11.25%
3 AGL Anglo American 106 991.91 6.99% 106 752.75 6.75% 76 598.03 -23.40%
4 AMS Anglo Platinum 87 307.50 -12.69% 95 270.35 -4.73% 103 679.19 3.68%
5 ANG Anglogold Ashanti 106 738.82 6.74% 106 683.25 6.68% 97 578.82 -2.42%
6 APN Aspen Pharmacare Holdings 131 851.93 31.85% 131 843.90 31.84% 113 624.17 13.62%
7 ARI African Rainbow Minerals Ltd 136 196.53 36.20% 136 188.50 36.19% 120 148.57 20.15%
8 ASA Absa Group 144 384.43 44.38% 144 376.40 44.38% 128 524.43 28.52%
9 BIL BHP Billiton 132 420.07 32.42% 132 412.04 32.41% 116 463.43 16.46%
10 BVT Bidvest Group 143 949.97 43.95% 143 941.94 43.94% 128 073.61 28.07%
11 CSO Capital Shopping Centres Group Plc 130 063.96 30.06% 130 055.93 30.06% 114 048.25 14.05%
12 FSR Firstrand Limited 132 085.87 32.09% 132 077.84 32.08% 113 624.17 13.62%
13 GFI Gold Fields 133 522.93 33.52% 133 514.90 33.51% 117 552.63 17.55%
14 GRT Growthpoint Prop Ltd 133 563.04 33.56% 133 555.00 33.56% 117 592.37 17.59%
15 HAR Harmony 131 183.53 31.18% 131 175.50 31.18% 115 254.97 15.25%
16 IMP Impala Platinum Hlds 142 546.33 42.55% 142 538.30 42.54% 126 601.62 26.60%
17 INL Investec Ltd 130 047.25 30.05% 130 039.22 30.04% 113 624.17 13.62%
18 LON Lonmin PLC 129 512.53 29.51% 129 504.50 29.50% 113 624.17 13.62%
19 MTN MTN Group 140 975.59 40.98% 140 967.56 40.97% 118 550.92 18.55%
20 NED Nedbank Group 144 284.17 44.28% 144 276.14 44.28% 120 539.41 20.54%
21 NPN Naspers 137 366.23 37.37% 137 358.20 37.36% 121 289.02 21.29%
22 OML Old Mutual 129 512.53 29.51% 129 504.50 29.50% 113 624.17 13.62%
23 PIK Pick N Pay Stores 135 252.42 35.25% 135 244.39 35.24% 119 776.02 19.78%
24 RMH RMB Holdings 133 656.61 33.66% 133 648.58 33.65% 113 624.17 13.62%
25 SAB SABMiller 131 868.64 31.87% 131 860.61 31.86% 114 219.68 14.22%
26 SBK Standard Bank Group 142 412.65 42.41% 142 404.62 42.40% 118 222.91 18.22%
27 SHF Steinhoff International Holdings 131 617.99 31.62% 131 609.96 31.61% 115 548.22 15.55%
28 SHP Shoprite 137 098.87 37.10% 137 090.84 37.09% 121 109.92 21.11%
29 SLM Sanlam 132 988.21 32.99% 132 980.18 32.98% 113 624.17 13.62%
30 SOL Sasol 164 603.53 64.60% 164 595.50 64.60% 113 624.17 13.62%
31 TBS Tiger Brands 153 875.71 53.88% 153 867.68 53.87% 122 849.57 22.85%
32 TRU Truworths International 136 196.53 36.20% 136 188.50 36.19% 120 205.71 20.21%
125
2001 to 2010 with 0.4% transaction costs
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 1 001 222.91 25.91% 979 228.24 25.63% 295 520.48 11.44%
2 ACL ArcelorMittal South Africa Ltd 5 168 100.03 48.37% 4 614 341.26 46.69% 5 290 858.32 48.71%
3 AGL Anglo American 311 055.05 12.02% 269 337.51 10.42% 80 508.19 -2.14%
4 AMS Anglo Platinum 260 252.70 10.04% 258 272.80 9.95% 997 094.57 25.86%
5 ANG Anglogold Ashanti 337 622.71 12.94% 323 009.92 12.44% 415 889.23 15.32%
6 APN Aspen Pharmacare Holdings 1 979 496.74 34.79% 1 991 968.17 34.87% 330 906.68 12.71%
7 ARI African Rainbow Minerals Ltd 949 797.14 25.25% 949 787.50 25.25% 1 800 245.32 33.52%
8 ASA Absa Group 605 988.92 19.74% 601 797.74 19.66% 110 132.67 0.97%
9 BIL BHP Billiton 942 022.55 25.14% 874 600.62 24.22% 377 663.75 14.21%
10 BVT Bidvest Group 409 360.46 15.14% 389 429.30 14.56% 97 708.73 -0.23%
11 CSO Capital Shopping Centres Group Plc 110 437.20 1.00% 107 947.68 0.77% 186 898.93 6.45%
12 FSR Firstrand Limited 349 128.30 13.32% 341 016.17 13.05% 125 525.71 2.30%
13 GFI Gold Fields 532 826.65 18.21% 501 611.24 17.50% 957 246.01 25.34%
14 GRT Growthpoint Prop Ltd 595 847.81 19.54% 623 574.14 20.09% 290 048.31 11.24%
15 HAR Harmony 264 581.68 10.22% 252 046.88 9.69% 2 621 655.22 38.63%
16 IMP Impala Platinum Hlds 614 080.92 19.90% 634 328.87 20.29% 788 085.62 22.93%
17 INL Investec Ltd 113 405.97 1.27% 103 770.91 0.37% 171 256.72 5.53%
18 LON Lonmin PLC 196 199.64 6.97% 192 558.85 6.77% 472 378.17 16.80%
19 MTN MTN Group 565 742.16 18.92% 537 017.49 18.30% 192 584.35 6.77%
20 NED Nedbank Group 101 144.21 0.11% 96 305.71 -0.38% 129 424.96 2.61%
21 NPN Naspers 1 291 715.55 29.16% 1 176 864.17 27.96% 688 955.15 21.29%
22 OML Old Mutual 72 049.98 -3.22% 69 797.14 -3.53% 105 884.22 0.57%
23 PIK Pick N Pay Stores 423 269.58 15.52% 417 183.74 15.35% 80 729.63 -2.12%
24 RMH RMB Holdings 439 259.94 15.95% 426 529.11 15.61% 108 259.45 0.80%
25 SAB SABMiller 455 668.58 16.38% 431 318.67 15.74% 122 004.90 2.01%
26 SBK Standard Bank Group 434 672.30 15.83% 418 278.94 15.38% 80 477.47 -2.15%
27 SHF Steinhoff International Holdings 425 189.92 15.57% 418 827.49 15.40% 266 540.25 10.30%
28 SHP Shoprite 1 372 089.16 29.94% 1 389 717.52 30.10% 144 841.72 3.77%
29 SLM Sanlam 356 405.32 13.55% 351 270.28 13.39% 150 211.07 4.15%
30 SOL Sasol 847 157.76 23.82% 660 538.08 20.78% 638 594.16 20.37%
31 TBS Tiger Brands 578 976.77 19.20% 575 335.32 19.12% 188 850.96 6.56%
32 TRU Truworths International 2 174 114.33 36.06% 1 986 174.88 34.83% 454 320.87 16.34%
126
Appendix 3: Data analysis 0.5% transaction cost
2001 with 0.5% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 166 455.30 66.46% 162 802.50 62.80% 149 011.81 49.01%
2 ACL ArcelorMittal South Africa Ltd 483 840.31 383.84% 432 003.82 332.00% 199 583.57 99.58%
3 AGL Anglo American 178 690.78 78.69% 154 814.94 54.81% 139 878.17 39.88%
4 AMS Anglo Platinum 134 133.28 34.13% 133 047.00 33.05% 154 977.30 54.98%
5 ANG Anglogold Ashanti 196 027.75 96.03% 187 540.02 87.54% 129 401.16 29.40%
6 APN Aspen Pharmacare Holdings 163 293.64 63.29% 159 710.20 59.71% 144 880.47 44.88%
7 ARI African Rainbow Minerals Ltd 161 805.80 61.81% 158 255.00 58.26% 144 880.47 44.88%
8 ASA Absa Group 185 053.30 85.05% 180 992.50 80.99% 165 969.91 65.97%
9 BIL BHP Billiton 165 246.43 65.25% 161 620.15 61.62% 144 880.47 44.88%
10 BVT Bidvest Group 179 287.92 79.29% 175 353.60 75.35% 153 845.89 53.85%
11 CSO Capital Shopping Centres Group Plc 165 943.86 65.94% 162 302.28 62.30% 146 665.48 46.67%
12 FSR Firstrand Limited 166 222.83 66.22% 162 575.13 62.58% 147 056.84 47.06%
13 GFI Gold Fields 204 581.20 104.58% 200 092.00 100.09% 144 880.47 44.88%
14 GRT Growthpoint Prop Ltd 176 591.21 76.59% 172 716.05 72.72% 144 880.47 44.88%
15 HAR Harmony 184 123.40 84.12% 180 083.00 80.08% 154 549.48 54.55%
16 IMP Impala Platinum Hlds 319 888.80 219.89% 312 870.00 212.87% 194 272.74 94.27%
17 INL Investec Ltd 161 805.80 61.81% 158 255.00 58.26% 144 880.47 44.88%
18 LON Lonmin PLC 172 964.60 72.96% 169 169.00 69.17% 149 075.98 49.08%
19 MTN MTN Group 163 665.60 63.67% 160 074.00 60.07% 146 749.20 46.75%
20 NED Nedbank Group 241 777.20 141.78% 236 472.00 136.47% 225 792.00 125.79%
21 NPN Naspers 166 269.32 66.27% 162 620.60 62.62% 149 075.98 49.08%
22 OML Old Mutual 162 698.51 62.70% 159 128.12 59.13% 144 880.47 44.88%
23 PIK Pick N Pay Stores 170 081.91 70.08% 166 349.55 66.35% 146 623.98 46.62%
24 RMH RMB Holdings 168 501.08 68.50% 164 803.40 64.80% 147 162.79 47.16%
25 SAB SABMiller 201 092.22 101.09% 196 679.56 96.68% 183 174.38 83.17%
26 SBK Standard Bank Group 178 729.98 78.73% 174 807.90 74.81% 155 522.45 55.52%
27 SHF Steinhoff International Holdings 164 037.56 64.04% 160 437.80 60.44% 144 880.47 44.88%
28 SHP Shoprite 165 618.39 65.62% 161 983.95 61.98% 144 880.47 44.88%
29 SLM Sanlam 167 385.20 67.39% 163 712.00 63.71% 144 880.47 44.88%
30 SOL Sasol 221 319.40 121.32% 216 463.00 116.46% 203 290.93 103.29%
31 TBS Tiger Brands 201 419.54 101.42% 196 999.70 97.00% 175 792.74 75.79%
32 TRU Truworths International 164 502.51 64.50% 160 892.55 60.89% 144 880.47 44.88%
127
2002 with 0.5% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 68 050.74 -31.95% 65 784.78 -34.22% 109 147.32 9.15%
2 ACL ArcelorMittal South Africa Ltd 189 984.12 89.98% 187 510.74 87.51% 131 022.23 31.02%
3 AGL Anglo American 68 988.71 -31.01% 67 254.97 -32.75% 103 052.96 3.05%
4 AMS Anglo Platinum 76 016.45 -23.98% 76 777.75 -23.22% 85 680.73 -14.32%
5 ANG Anglogold Ashanti 142 704.86 42.70% 130 631.60 30.63% 161 109.15 61.11%
6 APN Aspen Pharmacare Holdings 65 877.71 -34.12% 63 684.33 -36.32% 105 777.54 5.78%
7 ARI African Rainbow Minerals Ltd 64 619.64 -35.38% 62 468.28 -37.53% 105 777.54 5.78%
8 ASA Absa Group 78 687.15 -21.31% 76 065.93 -23.93% 116 811.18 16.81%
9 BIL BHP Billiton 66 163.64 -33.84% 63 960.70 -36.04% 105 777.54 5.78%
10 BVT Bidvest Group 86 349.94 -13.65% 83 472.78 -16.53% 143 372.66 43.37%
11 CSO Capital Shopping Centres Group Plc 67 278.74 -32.72% 65 038.56 -34.96% 107 543.97 7.54%
12 FSR Firstrand Limited 67 879.19 -32.12% 65 618.95 -34.38% 105 777.54 5.78%
13 GFI Gold Fields 100 074.34 0.07% 96 738.78 -3.26% 122 358.73 22.36%
14 GRT Growthpoint Prop Ltd 70 813.92 -29.19% 68 455.66 -31.54% 110 175.15 10.18%
15 HAR Harmony 121 804.64 21.80% 117 743.28 17.74% 185 457.94 85.46%
16 IMP Impala Platinum Hlds 117 515.77 17.52% 113 597.65 13.60% 196 028.72 96.03%
17 INL Investec Ltd 64 619.64 -35.38% 62 468.28 -37.53% 105 777.54 5.78%
18 LON Lonmin PLC 97 215.09 -2.78% 93 975.03 -6.02% 145 387.40 45.39%
19 MTN MTN Group 64 619.64 -35.38% 62 468.28 -37.53% 105 777.54 5.78%
20 NED Nedbank Group 123 520.19 23.52% 119 401.53 19.40% 151 421.52 51.42%
21 NPN Naspers 67 478.89 -32.52% 65 232.03 -34.77% 105 777.54 5.78%
22 OML Old Mutual 65 168.62 -34.83% 62 998.92 -37.00% 106 248.15 6.25%
23 PIK Pick N Pay Stores 70 938.58 -29.06% 68 576.16 -31.42% 105 777.54 5.78%
24 RMH RMB Holdings 69 697.67 -30.30% 67 376.70 -32.62% 105 777.54 5.78%
25 SAB SABMiller 86 627.86 -13.37% 83 741.41 -16.26% 139 715.18 39.72%
26 SBK Standard Bank Group 76 971.60 -23.03% 74 407.68 -25.59% 116 673.12 16.67%
27 SHF Steinhoff International Holdings 66 335.19 -33.66% 64 126.53 -35.87% 105 777.54 5.78%
28 SHP Shoprite 67 536.08 -32.46% 65 287.30 -34.71% 107 813.82 7.81%
29 SLM Sanlam 68 622.59 -31.38% 66 337.53 -33.66% 105 777.54 5.78%
30 SOL Sasol 116 086.14 16.09% 112 215.78 12.22% 193 005.31 93.01%
31 TBS Tiger Brands 90 238.52 -9.76% 71 201.73 -28.80% 119 613.31 19.61%
32 TRU Truworths International 67 135.78 -32.86% 64 900.38 -35.10% 107 444.52 7.44%
128
2003 with 0.5% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 193 721.34 93.72% 175 122.50 75.12% 100 412.62 0.41%
2 ACL ArcelorMittal South Africa Ltd 144 362.46 44.36% 130 539.03 30.54% 158 093.37 58.09%
3 AGL Anglo American 112 868.01 12.87% 115 598.49 15.60% 79 027.81 -20.97%
4 AMS Anglo Platinum 95 798.68 -4.20% 88 795.05 -11.20% 106 369.90 6.37%
5 ANG Anglogold Ashanti 111 239.52 11.24% 104 917.76 4.92% 82 703.35 -17.30%
6 APN Aspen Pharmacare Holdings 169 770.38 69.77% 153 471.30 53.47% 100 412.62 0.41%
7 ARI African Rainbow Minerals Ltd 166 248.18 66.25% 150 287.30 50.29% 100 412.62 0.41%
8 ASA Absa Group 193 897.45 93.90% 175 281.70 75.28% 108 158.38 8.16%
9 BIL BHP Billiton 168 977.88 68.98% 152 754.90 52.75% 101 273.71 1.27%
10 BVT Bidvest Group 204 992.38 104.99% 185 311.30 85.31% 115 789.57 15.79%
11 CSO Capital Shopping Centres Group Plc 170 518.85 70.52% 154 147.90 54.15% 104 077.90 4.08%
12 FSR Firstrand Limited 172 412.03 72.41% 155 859.30 55.86% 100 412.62 0.41%
13 GFI Gold Fields 210 275.68 110.28% 190 087.30 90.09% 123 452.13 23.45%
14 GRT Growthpoint Prop Ltd 177 968.30 77.97% 160 882.06 60.88% 102 082.81 2.08%
15 HAR Harmony 214 678.43 114.68% 194 067.30 94.07% 100 412.62 0.41%
16 IMP Impala Platinum Hlds 224 584.62 124.58% 203 022.30 103.02% 130 446.99 30.45%
17 INL Investec Ltd 166 248.18 66.25% 150 287.30 50.29% 100 412.62 0.41%
18 LON Lonmin PLC 178 928.10 78.93% 161 749.70 61.75% 111 420.19 11.42%
19 MTN MTN Group 166 248.18 66.25% 150 287.30 50.29% 100 412.62 0.41%
20 NED Nedbank Group 256 944.83 156.94% 232 275.30 132.28% 100 412.62 0.41%
21 NPN Naspers 171 531.48 71.53% 155 063.30 55.06% 104 576.92 4.58%
22 OML Old Mutual 167 093.51 67.09% 151 051.46 51.05% 101 093.28 1.09%
23 PIK Pick N Pay Stores 178 840.04 78.84% 161 670.10 61.67% 100 412.62 0.41%
24 RMH RMB Holdings 175 934.23 75.93% 159 043.30 59.04% 100 412.62 0.41%
25 SAB SABMiller 170 827.04 70.83% 154 426.50 54.43% 101 219.47 1.22%
26 SBK Standard Bank Group 189 406.64 89.41% 171 222.10 71.22% 123 506.84 23.51%
27 SHF Steinhoff International Holdings 169 418.16 69.42% 153 152.90 53.15% 100 412.62 0.41%
28 SHP Shoprite 171 619.53 71.62% 155 142.90 55.14% 102 702.89 2.70%
29 SLM Sanlam 172 764.25 72.76% 156 177.70 56.18% 106 339.67 6.34%
30 SOL Sasol 245 497.68 145.50% 221 927.30 121.93% 180 782.78 80.78%
31 TBS Tiger Brands 217 320.08 117.32% 162 864.10 62.86% 112 153.58 12.15%
32 TRU Truworths International 172 235.92 72.24% 155 700.10 55.70% 103 327.28 3.33%
129
2004 with 0.5% transaction costs
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 208 169.91 108.17% 215 949.60 115.95% 131 863.47 31.86%
2 ACL ArcelorMittal South Africa Ltd 229 103.74 129.10% 223 210.26 123.21% 141 092.92 41.09%
3 AGL Anglo American 93 297.87 -6.70% 88 585.61 -11.41% 84 470.72 -15.53%
4 AMS Anglo Platinum 72 973.19 -27.03% 68 815.91 -31.18% 116 201.10 16.20%
5 ANG Anglogold Ashanti 64 742.03 -35.26% 64 548.31 -35.45% 87 543.02 -12.46%
6 APN Aspen Pharmacare Holdings 196 048.91 96.05% 203 375.50 103.38% 134 575.54 34.58%
7 ARI African Rainbow Minerals Ltd 192 886.91 92.89% 200 095.30 100.10% 131 863.47 31.86%
8 ASA Absa Group 214 493.91 114.49% 222 510.00 122.51% 152 006.06 52.01%
9 BIL BHP Billiton 194 784.11 94.78% 202 063.42 102.06% 132 829.64 32.83%
10 BVT Bidvest Group 219 257.99 119.26% 227 452.17 127.45% 145 766.78 45.77%
11 CSO Capital Shopping Centres Group Plc 195 590.42 95.59% 202 899.87 102.90% 133 123.17 33.12%
12 FSR Firstrand Limited 197 735.31 97.74% 205 124.94 105.12% 134 049.04 34.05%
13 GFI Gold Fields 201 318.91 101.32% 208 842.50 108.84% 135 929.10 35.93%
14 GRT Growthpoint Prop Ltd 200 159.51 100.16% 207 639.76 107.64% 135 471.04 35.47%
15 HAR Harmony 200 264.91 100.26% 207 749.10 107.75% 134 912.20 34.91%
16 IMP Impala Platinum Hlds 220 554.41 120.55% 228 797.05 128.80% 131 863.47 31.86%
17 INL Investec Ltd 194 151.71 94.15% 201 407.38 101.41% 132 914.76 32.91%
18 LON Lonmin PLC 200 475.71 100.48% 207 967.78 107.97% 137 088.05 37.09%
19 MTN MTN Group 197 208.31 97.21% 204 578.24 104.58% 136 395.17 36.40%
20 NED Nedbank Group 201 213.51 101.21% 208 733.16 108.73% 136 334.89 36.33%
21 NPN Naspers 196 892.11 96.89% 204 250.22 104.25% 135 726.15 35.73%
22 OML Old Mutual 193 398.10 93.40% 200 625.60 100.63% 132 358.59 32.36%
23 PIK Pick N Pay Stores 201 666.73 101.67% 209 203.33 109.20% 131 863.47 31.86%
24 RMH RMB Holdings 201 055.41 101.06% 208 569.15 108.57% 134 758.98 34.76%
25 SAB SABMiller 196 523.21 96.52% 203 867.53 103.87% 132 742.47 32.74%
26 SBK Standard Bank Group 209 750.91 109.75% 217 589.70 117.59% 136 995.79 37.00%
27 SHF Steinhoff International Holdings 195 205.71 95.21% 202 500.78 102.50% 133 852.03 33.85%
28 SHP Shoprite 196 681.31 96.68% 204 031.54 104.03% 133 845.41 33.85%
29 SLM Sanlam 197 102.91 97.10% 204 468.90 104.47% 136 460.73 36.46%
30 SOL Sasol 240 316.91 140.32% 249 298.30 149.30% 155 034.29 55.03%
31 TBS Tiger Brands 225 666.31 125.67% 211 029.30 111.03% 142 824.32 42.82%
32 TRU Truworths International 197 946.11 97.95% 205 343.62 105.34% 134 607.20 34.61%
130
2005 with 0.5% transaction costs
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 149 365.29 49.37% 156 852.42 56.85% 95 617.65 -4.38%
2 ACL ArcelorMittal South Africa Ltd 106 948.84 6.95% 107 858.28 7.86% 140 237.05 40.24%
3 AGL Anglo American 154 084.30 54.08% 153 972.50 53.97% 121 500.81 21.50%
4 AMS Anglo Platinum 218 230.21 118.23% 207 501.61 107.50% 125 669.71 25.67%
5 ANG Anglogold Ashanti 155 371.30 55.37% 155 259.50 55.26% 122 397.61 22.40%
6 APN Aspen Pharmacare Holdings 139 638.69 39.64% 146 638.62 46.64% 94 959.20 -5.04%
7 ARI African Rainbow Minerals Ltd 136 955.49 36.96% 143 821.02 43.82% 92 969.06 -7.03%
8 ASA Absa Group 157 079.49 57.08% 164 953.02 64.95% 99 039.46 -0.96%
9 BIL BHP Billiton 138 520.69 38.52% 145 464.62 45.46% 92 969.06 -7.03%
10 BVT Bidvest Group 154 060.89 54.06% 161 783.22 61.78% 100 655.41 0.66%
11 CSO Capital Shopping Centres Group Plc 138 436.84 38.44% 145 376.57 45.38% 94 321.21 -5.68%
12 FSR Firstrand Limited 140 035.58 40.04% 147 055.39 47.06% 94 281.74 -5.72%
13 GFI Gold Fields 140 868.49 40.87% 147 930.02 47.93% 92 969.06 -7.03%
14 GRT Growthpoint Prop Ltd 141 047.37 41.05% 148 117.86 48.12% 94 652.18 -5.35%
15 HAR Harmony 136 955.49 36.96% 143 821.02 43.82% 92 969.06 -7.03%
16 IMP Impala Platinum Hlds 152 998.79 53.00% 160 667.92 60.67% 106 586.56 6.59%
17 INL Investec Ltd 137 793.99 37.79% 144 701.52 44.70% 93 257.40 -6.74%
18 LON Lonmin PLC 140 980.29 40.98% 148 047.42 48.05% 96 580.83 -3.42%
19 MTN MTN Group 140 588.99 40.59% 147 636.52 47.64% 96 178.06 -3.82%
20 NED Nedbank Group 147 073.39 47.07% 154 445.72 54.45% 97 213.55 -2.79%
21 NPN Naspers 140 868.49 40.87% 147 930.02 47.93% 92 969.06 -7.03%
22 OML Old Mutual 137 254.56 37.25% 144 135.06 44.14% 92 969.06 -7.03%
23 PIK Pick N Pay Stores 142 545.49 42.55% 149 691.02 49.69% 96 876.46 -3.12%
24 RMH RMB Holdings 147 800.09 47.80% 155 208.82 55.21% 99 617.57 -0.38%
25 SAB SABMiller 139 135.59 39.14% 146 110.32 46.11% 94 105.59 -5.89%
26 SBK Standard Bank Group 153 893.19 53.89% 161 607.12 61.61% 109 121.51 9.12%
27 SHF Steinhoff International Holdings 138 632.49 38.63% 145 582.02 45.58% 92 969.06 -7.03%
28 SHP Shoprite 139 750.49 39.75% 146 756.02 46.76% 94 219.44 -5.78%
29 SLM Sanlam 139 750.49 39.75% 146 756.02 46.76% 95 786.81 -4.21%
30 SOL Sasol 167 141.49 67.14% 175 519.02 75.52% 105 819.44 5.82%
31 TBS Tiger Brands 159 594.99 59.59% 151 745.52 51.75% 92 969.06 -7.03%
32 TRU Truworths International 140 812.59 40.81% 147 871.32 47.87% 92 969.06 -7.03%
131
2006 with 0.5% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 121 025.83 21.03% 116 728.60 16.73% 118 372.99 18.37%
2 ACL ArcelorMittal South Africa Ltd 164 365.21 64.37% 159 146.20 59.15% 135 344.14 35.34%
3 AGL Anglo American 160 048.08 60.05% 161 417.59 61.42% 127 646.23 27.65%
4 AMS Anglo Platinum 190 650.67 90.65% 180 670.18 80.67% 134 825.16 34.83%
5 ANG Anglogold Ashanti 105 416.24 5.42% 99 700.93 -0.30% 113 503.88 13.50%
6 APN Aspen Pharmacare Holdings 118 670.45 18.67% 114 456.74 14.46% 118 372.99 18.37%
7 ARI African Rainbow Minerals Ltd 116 152.63 16.15% 112 028.20 12.03% 118 372.99 18.37%
8 ASA Absa Group 130 081.86 30.08% 125 463.51 25.46% 128 424.31 28.42%
9 BIL BHP Billiton 117 614.59 17.61% 113 438.32 13.44% 118 372.99 18.37%
10 BVT Bidvest Group 131 137.72 31.14% 126 481.93 26.48% 124 195.05 24.20%
11 CSO Capital Shopping Centres Group Plc 117 253.16 17.25% 113 089.71 13.09% 119 002.94 19.00%
12 FSR Firstrand Limited 118 832.89 18.83% 114 613.42 14.61% 121 063.55 21.06%
13 GFI Gold Fields 122 244.13 22.24% 117 903.70 17.90% 125 403.62 25.40%
14 GRT Growthpoint Prop Ltd 119 454.22 19.45% 115 212.72 15.21% 120 413.00 20.41%
15 HAR Harmony 116 152.63 16.15% 112 028.20 12.03% 118 372.99 18.37%
16 IMP Impala Platinum Hlds 160 316.00 60.32% 154 625.58 54.63% 118 372.99 18.37%
17 INL Investec Ltd 116 989.19 16.99% 112 835.10 12.84% 118 786.79 18.79%
18 LON Lonmin PLC 119 685.70 19.69% 115 435.99 15.44% 118 372.99 18.37%
19 MTN MTN Group 118 792.28 18.79% 114 574.25 14.57% 118 372.99 18.37%
20 NED Nedbank Group 132 152.97 32.15% 127 461.18 27.46% 135 819.89 35.82%
21 NPN Naspers 121 025.83 21.03% 116 728.60 16.73% 118 372.99 18.37%
22 OML Old Mutual 116 386.14 16.39% 112 253.43 12.25% 118 619.23 18.62%
23 PIK Pick N Pay Stores 120 924.30 20.92% 116 630.68 16.63% 118 372.99 18.37%
24 RMH RMB Holdings 120 761.86 20.76% 116 474.00 16.47% 123 056.64 23.06%
25 SAB SABMiller 117 980.08 17.98% 113 790.85 13.79% 118 952.31 18.95%
26 SBK Standard Bank Group 127 888.92 27.89% 123 348.33 23.35% 130 938.41 30.94%
27 SHF Steinhoff International Holdings 117 675.50 17.68% 113 497.08 13.50% 118 372.99 18.37%
28 SHP Shoprite 119 117.16 19.12% 114 887.61 14.89% 120 621.86 20.62%
29 SLM Sanlam 118 792.28 18.79% 114 574.25 14.57% 118 372.99 18.37%
30 SOL Sasol 144 985.73 44.99% 139 838.90 39.84% 149 346.54 49.35%
31 TBS Tiger Brands 138 488.13 38.49% 133 571.70 33.57% 133 968.81 33.97%
32 TRU Truworths International 119 766.92 19.77% 115 514.33 15.51% 120 572.54 20.57%
132
2007 with 0.5% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 122 637.85 22.64% 121 277.78 21.28% 101 223.15 1.22%
2 ACL ArcelorMittal South Africa Ltd 157 211.20 57.21% 154 087.72 54.09% 112 575.13 12.58%
3 AGL Anglo American 110 169.52 10.17% 110 760.66 10.76% 97 722.61 -2.28%
4 AMS Anglo Platinum 125 257.82 25.26% 119 710.27 19.71% 132 502.06 32.50%
5 ANG Anglogold Ashanti 89 362.68 -10.64% 90 416.76 -9.58% 111 505.62 11.51%
6 APN Aspen Pharmacare Holdings 117 245.40 17.25% 115 945.78 15.95% 100 470.00 0.47%
7 ARI African Rainbow Minerals Ltd 120 028.60 20.03% 118 697.78 18.70% 98 273.77 -1.73%
8 ASA Absa Group 132 379.05 32.38% 130 909.78 30.91% 105 815.88 5.82%
9 BIL BHP Billiton 116 445.23 16.45% 115 154.58 15.15% 98 864.83 -1.14%
10 BVT Bidvest Group 130 340.36 30.34% 128 893.94 28.89% 104 125.51 4.13%
11 CSO Capital Shopping Centres Group Plc 115 819.01 15.82% 114 535.38 14.54% 98 706.38 -1.29%
12 FSR Firstrand Limited 117 662.88 17.66% 116 358.58 16.36% 100 665.43 0.67%
13 GFI Gold Fields 121 246.25 21.25% 119 901.78 19.90% 101 257.75 1.26%
14 GRT Growthpoint Prop Ltd 118 049.05 18.05% 115 708.42 15.71% 98 720.78 -1.28%
15 HAR Harmony 114 810.10 14.81% 113 537.78 13.54% 98 273.77 -1.73%
16 IMP Impala Platinum Hlds 148 730.35 48.73% 147 077.78 47.08% 106 402.97 6.40%
17 INL Investec Ltd 115 662.46 15.66% 114 380.58 14.38% 98 273.77 -1.73%
18 LON Lonmin PLC 118 637.00 18.64% 117 321.78 17.32% 98 273.77 -1.73%
19 MTN MTN Group 117 941.20 17.94% 116 633.78 16.63% 98 273.77 -1.73%
20 NED Nedbank Group 135 475.36 35.48% 133 971.38 33.97% 106 667.94 6.67%
21 NPN Naspers 120 237.34 20.24% 118 904.18 18.90% 103 176.23 3.18%
22 OML Old Mutual 115 034.50 15.03% 113 759.66 13.76% 98 339.71 -1.66%
23 PIK Pick N Pay Stores 119 623.30 19.62% 118 297.02 18.30% 101 605.58 1.61%
24 RMH RMB Holdings 119 732.89 19.73% 118 405.38 18.41% 102 413.79 2.41%
25 SAB SABMiller 116 619.18 16.62% 115 326.58 15.33% 98 273.77 -1.73%
26 SBK Standard Bank Group 127 230.13 27.23% 125 818.58 25.82% 103 477.01 3.48%
27 SHF Steinhoff International Holdings 116 549.60 16.55% 115 257.78 15.26% 98 273.77 -1.73%
28 SHP Shoprite 118 323.89 18.32% 117 012.18 17.01% 101 208.90 1.21%
29 SLM Sanlam 117 488.93 17.49% 116 186.58 16.19% 98 273.77 -1.73%
30 SOL Sasol 146 121.10 46.12% 144 497.78 44.50% 125 826.62 25.83%
31 TBS Tiger Brands 136 762.59 36.76% 135 244.18 35.24% 119 719.09 19.72%
32 TRU Truworths International 118 984.90 18.98% 117 665.78 17.67% 100 046.67 0.05%
133
2008 with 0.5% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 83 824.53 -16.18% 98 791.98 -1.21% 79 164.66 -20.84%
2 ACL ArcelorMittal South Africa Ltd 68 495.54 -31.50% 65 504.77 -34.50% 123 164.52 23.16%
3 AGL Anglo American 51 051.58 -48.95% 42 548.20 -57.45% 67 638.04 -32.36%
4 AMS Anglo Platinum 56 928.98 -43.07% 51 947.20 -48.05% 123 023.72 23.02%
5 ANG Anglogold Ashanti 85 953.54 -14.05% 89 306.24 -10.69% 119 503.26 19.50%
6 APN Aspen Pharmacare Holdings 77 493.03 -22.51% 91 330.68 -8.67% 75 851.96 -24.15%
7 ARI African Rainbow Minerals Ltd 89 553.03 -10.45% 105 542.68 5.54% 87 878.99 -12.12%
8 ASA Absa Group 95 130.78 -4.87% 112 115.73 12.12% 75 851.96 -24.15%
9 BIL BHP Billiton 79 603.53 -20.40% 93 817.78 -6.18% 75 851.96 -24.15%
10 BVT Bidvest Group 92 417.28 -7.58% 108 918.03 8.92% 82 305.30 -17.69%
11 CSO Capital Shopping Centres Group Plc 78 510.59 -21.49% 92 529.82 -7.47% 75 851.96 -24.15%
12 FSR Firstrand Limited 79 980.40 -20.02% 94 261.91 -5.74% 75 851.96 -24.15%
13 GFI Gold Fields 83 070.78 -16.93% 97 903.73 -2.10% 75 851.96 -24.15%
14 GRT Growthpoint Prop Ltd 80 704.00 -19.30% 95 114.63 -4.89% 75 851.96 -24.15%
15 HAR Harmony 77 493.03 -22.51% 91 330.68 -8.67% 75 851.96 -24.15%
16 IMP Impala Platinum Hlds 121 964.28 21.96% 143 737.43 43.74% 75 851.96 -24.15%
17 INL Investec Ltd 78 141.25 -21.86% 92 094.58 -7.91% 76 226.09 -23.77%
18 LON Lonmin PLC 81 080.88 -18.92% 95 558.75 -4.44% 77 328.94 -22.67%
19 MTN MTN Group 81 593.43 -18.41% 96 162.76 -3.84% 75 851.96 -24.15%
20 NED Nedbank Group 97 392.03 -2.61% 114 780.48 14.78% 75 851.96 -24.15%
21 NPN Naspers 82 920.03 -17.08% 97 726.08 -2.27% 75 851.96 -24.15%
22 OML Old Mutual 77 704.08 -22.30% 91 579.39 -8.42% 75 926.13 -24.07%
23 PIK Pick N Pay Stores 78 926.66 -21.07% 93 020.13 -6.98% 77 275.67 -22.72%
24 RMH RMB Holdings 81 759.25 -18.24% 96 358.18 -3.64% 75 851.96 -24.15%
25 SAB SABMiller 79 241.73 -20.76% 93 391.42 -6.61% 75 851.96 -24.15%
26 SBK Standard Bank Group 89 492.73 -10.51% 105 471.62 5.47% 75 851.96 -24.15%
27 SHF Steinhoff International Holdings 79 302.03 -20.70% 93 462.48 -6.54% 77 603.67 -22.40%
28 SHP Shoprite 82 166.28 -17.83% 96 837.83 -3.16% 79 038.72 -20.96%
29 SLM Sanlam 80 296.98 -19.70% 94 634.97 -5.37% 75 851.96 -24.15%
30 SOL Sasol 116 688.03 16.69% 137 519.68 37.52% 75 851.96 -24.15%
31 TBS Tiger Brands 98 356.83 -1.64% 100 035.53 0.04% 75 851.96 -24.15%
32 TRU Truworths International 81 834.63 -18.17% 96 447.00 -3.55% 75 851.96 -24.15%
134
2009 with 0.5% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 122 535.03 22.54% 120 177.05 20.18% 97 605.01 -2.39%
2 ACL ArcelorMittal South Africa Ltd 121 783.82 21.78% 123 101.40 23.10% 114 291.70 14.29%
3 AGL Anglo American 150 606.62 50.61% 167 226.42 67.23% 101 329.38 1.33%
4 AMS Anglo Platinum 152 283.90 52.28% 179 167.80 79.17% 142 044.88 42.04%
5 ANG Anglogold Ashanti 121 327.22 21.33% 116 830.60 16.83% 114 269.63 14.27%
6 APN Aspen Pharmacare Holdings 115 373.68 15.37% 113 152.60 13.15% 97 605.01 -2.39%
7 ARI African Rainbow Minerals Ltd 122 147.93 22.15% 119 797.35 19.80% 103 370.51 3.37%
8 ASA Absa Group 136 857.73 36.86% 134 225.95 34.23% 105 219.86 5.22%
9 BIL BHP Billiton 118 547.90 18.55% 116 266.14 16.27% 100 528.04 0.53%
10 BVT Bidvest Group 126 599.58 26.60% 124 163.90 24.16% 101 388.56 1.39%
11 CSO Capital Shopping Centres Group Plc 116 887.24 16.89% 114 637.23 14.64% 98 148.29 -1.85%
12 FSR Firstrand Limited 117 541.44 17.54% 115 278.92 15.28% 99 614.89 -0.39%
13 GFI Gold Fields 119 631.78 19.63% 117 329.30 17.33% 100 312.23 0.31%
14 GRT Growthpoint Prop Ltd 119 809.84 19.81% 117 503.96 17.50% 101 698.26 1.70%
15 HAR Harmony 117 309.18 17.31% 115 051.10 15.05% 99 252.35 -0.75%
16 IMP Impala Platinum Hlds 127 760.88 27.76% 125 303.00 25.30% 109 041.34 9.04%
17 INL Investec Ltd 115 876.91 15.88% 113 646.21 13.65% 97 605.01 -2.39%
18 LON Lonmin PLC 115 373.68 15.37% 113 152.60 13.15% 97 605.01 -2.39%
19 MTN MTN Group 122 380.19 22.38% 120 025.17 20.03% 104 453.42 4.45%
20 NED Nedbank Group 135 502.88 35.50% 132 897.00 32.90% 104 522.40 4.52%
21 NPN Naspers 123 386.65 23.39% 121 012.39 21.01% 104 423.28 4.42%
22 OML Old Mutual 115 474.32 15.47% 113 251.32 13.25% 97 605.01 -2.39%
23 PIK Pick N Pay Stores 122 109.22 22.11% 119 759.38 19.76% 103 883.76 3.88%
24 RMH RMB Holdings 119 205.97 19.21% 116 911.63 16.91% 101 141.20 1.14%
25 SAB SABMiller 117 657.57 17.66% 115 392.83 15.39% 99 026.20 -0.97%
26 SBK Standard Bank Group 128 302.82 28.30% 125 834.58 25.83% 109 901.48 9.90%
27 SHF Steinhoff International Holdings 117 696.28 17.70% 115 430.80 15.43% 99 595.23 -0.40%
28 SHP Shoprite 123 115.68 23.12% 120 746.60 20.75% 104 653.99 4.65%
29 SLM Sanlam 119 167.26 19.17% 116 873.66 16.87% 97 605.01 -2.39%
30 SOL Sasol 148 277.18 48.28% 145 427.10 45.43% 117 115.17 17.12%
31 TBS Tiger Brands 145 799.74 45.80% 142 997.02 43.00% 105 720.00 5.72%
32 TRU Truworths International 121 993.09 21.99% 119 645.47 19.65% 103 762.97 3.76%
135
2010 with 0.5% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 135 563.69 35.56% 135 565.40 35.57% 116 946.78 16.95%
2 ACL ArcelorMittal South Africa Ltd 76 606.34 -23.39% 73 003.28 -27.00% 102 702.39 2.70%
3 AGL Anglo American 106 892.55 6.89% 106 752.75 6.75% 74 504.25 -25.50%
4 AMS Anglo Platinum 87 208.44 -12.79% 95 170.92 -4.83% 101 678.35 1.68%
5 ANG Anglogold Ashanti 106 618.85 6.62% 106 355.00 6.35% 94 882.46 -5.12%
6 APN Aspen Pharmacare Holdings 131 723.84 31.72% 131 725.55 31.73% 110 821.04 10.82%
7 ARI African Rainbow Minerals Ltd 136 064.54 36.06% 136 066.25 36.07% 117 190.44 17.19%
8 ASA Absa Group 144 245.09 44.25% 144 246.80 44.25% 125 365.00 25.37%
9 BIL BHP Billiton 132 291.47 32.29% 132 293.18 32.29% 113 594.35 13.59%
10 BVT Bidvest Group 143 811.02 43.81% 143 812.73 43.81% 124 927.54 24.93%
11 CSO Capital Shopping Centres Group Plc 129 937.47 29.94% 129 939.19 29.94% 111 234.82 11.23%
12 FSR Firstrand Limited 131 957.57 31.96% 131 959.28 31.96% 110 821.04 10.82%
13 GFI Gold Fields 133 393.34 33.39% 133 395.05 33.40% 114 658.95 14.66%
14 GRT Growthpoint Prop Ltd 133 433.41 33.43% 133 435.12 33.44% 114 695.79 14.70%
15 HAR Harmony 131 056.04 31.06% 131 057.75 31.06% 112 414.92 12.41%
16 IMP Impala Platinum Hlds 142 408.64 42.41% 142 410.35 42.41% 123 494.07 23.49%
17 INL Investec Ltd 129 920.78 29.92% 129 922.49 29.92% 110 821.04 10.82%
18 LON Lonmin PLC 129 386.54 29.39% 129 388.25 29.39% 110 821.04 10.82%
19 MTN MTN Group 140 839.31 40.84% 140 841.02 40.84% 115 631.00 15.63%
20 NED Nedbank Group 144 144.92 44.14% 144 146.63 44.15% 117 574.17 17.57%
21 NPN Naspers 137 233.19 37.23% 137 234.90 37.23% 118 305.16 18.31%
22 OML Old Mutual 129 386.54 29.39% 129 388.25 29.39% 110 821.04 10.82%
23 PIK Pick N Pay Stores 135 121.27 35.12% 135 122.98 35.12% 116 828.20 16.83%
24 RMH RMB Holdings 133 526.90 33.53% 133 528.61 33.53% 110 821.04 10.82%
25 SAB SABMiller 131 740.53 31.74% 131 742.25 31.74% 111 402.51 11.40%
26 SBK Standard Bank Group 142 275.08 42.28% 142 276.79 42.28% 115 312.23 15.31%
27 SHF Steinhoff International Holdings 131 490.11 31.49% 131 491.82 31.49% 112 699.74 12.70%
28 SHP Shoprite 136 966.07 36.97% 136 967.78 36.97% 118 131.58 18.13%
29 SLM Sanlam 132 859.10 32.86% 132 860.81 32.86% 110 821.04 10.82%
30 SOL Sasol 164 446.04 64.45% 164 447.75 64.45% 110 821.04 10.82%
31 TBS Tiger Brands 153 727.85 53.73% 153 729.56 53.73% 119 828.54 19.83%
32 TRU Truworths International 136 064.54 36.06% 136 066.25 36.07% 117 247.29 17.25%
136
2001 to 2010 with 0.5% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value
% Change
1 ABL African Bank Invest 1 000 203.64 25.90% 978 260.20 25.62% 224 966.90 8.45%
2 ACL ArcelorMittal South Africa Ltd 5 147 452.91 48.31% 4 595 986.62 46.64% 2 044 004.05 35.22%
3 AGL Anglo American 310 717.39 12.00% 269 238.01 10.41% 62 343.17 -4.62%
4 AMS Anglo Platinum 260 153.44 10.03% 258 173.40 9.95% 786 187.35 22.90%
5 ANG Anglogold Ashanti 337 259.53 12.93% 322 651.76 12.43% 322 023.69 12.41%
6 APN Aspen Pharmacare Holdings 1 977 499.03 34.78% 1 989 969.83 34.86% 254 154.38 9.78%
7 ARI African Rainbow Minerals Ltd 948 912.61 25.23% 948 910.10 25.23% 1 421 889.50 30.40%
8 ASA Absa Group 605 453.47 19.73% 601 101.62 19.65% 82 515.42 -1.90%
9 BIL BHP Billiton 941 200.09 25.13% 873 791.81 24.21% 292 985.76 11.35%
10 BVT Bidvest Group 408 977.30 15.13% 388 911.39 14.55% 72 999.54 -3.10%
11 CSO Capital Shopping Centres Group Plc 110 329.17 0.99% 107 841.53 0.76% 145 887.15 3.85%
12 FSR Firstrand Limited 348 778.77 13.31% 340 669.02 13.04% 95 936.69 -0.41%
13 GFI Gold Fields 532 280.38 18.20% 501 071.39 17.49% 748 463.17 22.30%
14 GRT Growthpoint Prop Ltd 595 255.44 19.53% 622 954.74 20.07% 226 646.85 8.53%
15 HAR Harmony 264 307.42 10.21% 251 834.39 9.68% 2 062 406.20 35.34%
16 IMP Impala Platinum Hlds 613 483.54 19.89% 633 728.40 20.28% 604 311.23 19.71%
17 INL Investec Ltd 113 292.92 1.26% 103 667.26 0.36% 130 076.84 2.66%
18 LON Lonmin PLC 195 995.83 6.96% 192 346.08 6.76% 365 732.03 13.85%
19 MTN MTN Group 565 169.36 18.91% 536 450.23 18.29% 145 992.48 3.86%
20 NED Nedbank Group 101 042.90 0.10% 96 206.21 -0.39% 100 327.12 0.03%
21 NPN Naspers 1 290 144.37 29.14% 1 175 669.93 27.95% 539 768.13 18.36%
22 OML Old Mutual 71 976.59 -3.23% 69 726.76 -3.54% 81 398.39 -2.04%
23 PIK Pick N Pay Stores 422 857.66 15.51% 416 774.68 15.34% 60 243.29 -4.94%
24 RMH RMB Holdings 438 821.34 15.94% 426 124.04 15.60% 82 089.50 -1.95%
25 SAB SABMiller 455 189.11 16.36% 430 831.86 15.73% 94 283.20 -0.59%
26 SBK Standard Bank Group 434 265.30 15.82% 417 774.28 15.37% 59 935.62 -4.99%
27 SHF Steinhoff International Holdings 424 767.19 15.56% 418 427.72 15.39% 205 969.64 7.49%
28 SHP Shoprite 1 370 778.82 29.93% 1 388 304.98 30.09% 107 428.59 0.72%
29 SLM Sanlam 356 059.70 13.54% 350 893.97 13.38% 114 580.67 1.37%
30 SOL Sasol 846 323.63 23.81% 659 731.74 20.76% 498 943.62 17.44%
31 TBS Tiger Brands 578 276.83 19.18% 574 851.44 19.11% 145 811.95 3.84%
32 TRU Truworths International 2 171 934.48 36.05% 1 984 236.52 34.82% 354 267.13 13.48%
137
Appendix 4: Data analysis 0.6% transaction cost
2001 with 0.6% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 166 291.58 66.29% 162 641.40 62.64% 145 917.35 45.92%
2 ACL ArcelorMittal South Africa Ltd 482 876.15 382.88% 431 142.08 331.14% 190 230.61 90.23%
3 AGL Anglo American 178 502.53 78.50% 154 644.11 54.64% 136 018.15 36.02%
4 AMS Anglo Platinum 134 034.02 34.03% 132 947.60 32.95% 151 678.73 51.68%
5 ANG Anglogold Ashanti 195 821.71 95.82% 187 339.02 87.34% 125 840.45 25.84%
6 APN Aspen Pharmacare Holdings 163 132.98 63.13% 159 552.16 59.55% 141 870.49 41.87%
7 ARI African Rainbow Minerals Ltd 161 646.58 61.65% 158 098.40 58.10% 141 870.49 41.87%
8 ASA Absa Group 184 871.58 84.87% 180 813.40 80.81% 162 533.01 62.53%
9 BIL BHP Billiton 165 083.88 65.08% 161 460.22 61.46% 141 870.49 41.87%
10 BVT Bidvest Group 179 111.78 79.11% 175 180.08 75.18% 150 658.83 50.66%
11 CSO Capital Shopping Centres Group Plc 165 780.63 65.78% 162 141.67 62.14% 143 620.32 43.62%
12 FSR Firstrand Limited 166 059.33 66.06% 162 414.25 62.41% 144 002.64 44.00%
13 GFI Gold Fields 204 380.58 104.38% 199 894.00 99.89% 141 870.49 41.87%
14 GRT Growthpoint Prop Ltd 176 417.68 76.42% 172 545.14 72.55% 141 870.49 41.87%
15 HAR Harmony 183 942.58 83.94% 179 904.80 79.90% 151 347.55 51.35%
16 IMP Impala Platinum Hlds 319 576.58 219.58% 312 560.40 212.56% 190 286.04 90.29%
17 INL Investec Ltd 161 646.58 61.65% 158 098.40 58.10% 141 870.49 41.87%
18 LON Lonmin PLC 172 794.58 72.79% 169 001.60 69.00% 145 982.48 45.98%
19 MTN MTN Group 163 504.58 63.50% 159 915.60 59.92% 143 701.79 43.70%
20 NED Nedbank Group 241 540.58 141.54% 236 238.00 136.24% 221 189.30 121.19%
21 NPN Naspers 166 105.78 66.11% 162 459.68 62.46% 145 982.48 45.98%
22 OML Old Mutual 162 538.42 62.54% 158 970.66 58.97% 141 870.49 41.87%
23 PIK Pick N Pay Stores 169 914.68 69.91% 166 184.94 66.18% 143 579.45 43.58%
24 RMH RMB Holdings 168 335.38 68.34% 164 640.32 64.64% 144 107.11 44.11%
25 SAB SABMiller 200 894.97 100.89% 196 484.93 96.48% 179 395.89 79.40%
26 SBK Standard Bank Group 178 554.38 78.55% 174 634.92 74.63% 152 301.18 52.30%
27 SHF Steinhoff International Holdings 163 876.18 63.88% 160 279.04 60.28% 141 870.49 41.87%
28 SHP Shoprite 165 455.48 65.46% 161 823.66 61.82% 141 870.49 41.87%
29 SLM Sanlam 167 220.58 67.22% 163 550.00 63.55% 141 870.49 41.87%
30 SOL Sasol 221 102.58 121.10% 216 248.80 116.25% 199 129.50 99.13%
31 TBS Tiger Brands 201 221.98 101.22% 196 804.76 96.80% 172 170.55 72.17%
32 TRU Truworths International 164 340.68 64.34% 160 733.34 60.73% 141 870.49 41.87%
138
2002 with 0.6% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 67 984.87 -32.02% 65 719.42 -34.28% 106 452.66 6.45%
2 ACL ArcelorMittal South Africa Ltd 189 610.98 89.61% 187 130.08 87.13% 124 632.21 24.63%
3 AGL Anglo American 68 952.24 -31.05% 67 155.60 -32.84% 101 330.26 1.33%
4 AMS Anglo Platinum 75 917.26 -24.08% 76 781.95 -23.22% 83 585.21 -16.41%
5 ANG Anglogold Ashanti 142 605.48 42.61% 130 532.26 30.53% 158 391.06 58.39%
6 APN Aspen Pharmacare Holdings 65 814.12 -34.19% 63 621.06 -36.38% 103 166.04 3.17%
7 ARI African Rainbow Minerals Ltd 64 557.37 -35.44% 62 406.22 -37.59% 103 166.04 3.17%
8 ASA Absa Group 78 610.12 -21.39% 75 990.34 -24.01% 113 937.64 13.94%
9 BIL BHP Billiton 66 099.74 -33.90% 63 897.16 -36.10% 103 166.04 3.17%
10 BVT Bidvest Group 86 264.87 -13.74% 83 389.82 -16.61% 139 873.74 39.87%
11 CSO Capital Shopping Centres Group Plc 67 213.68 -32.79% 64 973.95 -35.03% 104 890.92 4.89%
12 FSR Firstrand Limited 67 813.49 -32.19% 65 553.76 -34.45% 103 166.04 3.17%
13 GFI Gold Fields 99 974.87 -0.03% 96 642.62 -3.36% 119 354.04 19.35%
14 GRT Growthpoint Prop Ltd 70 745.15 -29.25% 68 387.65 -31.61% 107 460.10 7.46%
15 HAR Harmony 121 682.37 21.68% 117 626.22 17.63% 180 961.80 80.96%
16 IMP Impala Platinum Hlds 117 397.99 17.40% 113 484.72 13.48% 191 285.44 91.29%
17 INL Investec Ltd 64 557.37 -35.44% 62 406.22 -37.59% 103 166.04 3.17%
18 LON Lonmin PLC 97 118.62 -2.88% 93 881.62 -6.12% 141 837.63 41.84%
19 MTN MTN Group 64 557.37 -35.44% 62 406.22 -37.59% 103 166.04 3.17%
20 NED Nedbank Group 123 396.12 23.40% 119 282.82 19.28% 147 727.74 47.73%
21 NPN Naspers 67 413.62 -32.59% 65 167.22 -34.83% 103 166.04 3.17%
22 OML Old Mutual 65 105.77 -34.89% 62 936.34 -37.06% 103 625.83 3.63%
23 PIK Pick N Pay Stores 70 869.68 -29.13% 68 508.03 -31.49% 103 166.04 3.17%
24 RMH RMB Holdings 69 630.07 -30.37% 67 309.76 -32.69% 103 166.04 3.17%
25 SAB SABMiller 86 542.49 -13.46% 83 658.19 -16.34% 136 299.28 36.30%
26 SBK Standard Bank Group 76 896.37 -23.10% 74 333.74 -25.67% 113 803.36 13.80%
27 SHF Steinhoff International Holdings 66 271.12 -33.73% 64 062.82 -35.94% 103 166.04 3.17%
28 SHP Shoprite 67 470.74 -32.53% 65 222.44 -34.78% 105 154.89 5.15%
29 SLM Sanlam 68 556.12 -31.44% 66 271.62 -33.73% 103 166.04 3.17%
30 SOL Sasol 115 969.87 15.97% 112 104.22 12.10% 188 339.87 88.34%
31 TBS Tiger Brands 90 149.37 -9.85% 71 130.98 -28.87% 116 673.04 16.67%
32 TRU Truworths International 67 070.87 -32.93% 64 835.90 -35.16% 104 792.64 4.79%
139
2003 with 0.6% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 193 526.15 93.53% 174 947.60 74.95% 97 835.18 -2.16%
2 ACL ArcelorMittal South Africa Ltd 144 069.03 44.07% 130 275.41 30.28% 152 813.75 52.81%
3 AGL Anglo American 112 768.61 12.77% 115 440.78 15.44% 76 459.15 -23.54%
4 AMS Anglo Platinum 95 699.46 -4.30% 88 695.81 -11.30% 103 584.01 3.58%
5 ANG Anglogold Ashanti 111 140.17 11.14% 104 917.76 4.92% 80 009.21 -19.99%
6 APN Aspen Pharmacare Holdings 169 599.67 69.60% 153 318.16 53.32% 97 835.18 -2.16%
7 ARI African Rainbow Minerals Ltd 166 081.07 66.08% 150 137.36 50.14% 97 835.18 -2.16%
8 ASA Absa Group 193 702.08 93.70% 175 106.64 75.11% 105 390.14 5.39%
9 BIL BHP Billiton 168 807.98 68.81% 152 602.48 52.60% 98 675.55 -1.32%
10 BVT Bidvest Group 204 785.67 104.79% 185 126.16 85.13% 112 834.08 12.83%
11 CSO Capital Shopping Centres Group Plc 170 347.37 70.35% 153 994.08 53.99% 101 411.26 1.41%
12 FSR Firstrand Limited 172 238.62 72.24% 155 703.76 55.70% 97 835.18 -2.16%
13 GFI Gold Fields 210 063.57 110.06% 189 897.36 89.90% 120 306.97 20.31%
14 GRT Growthpoint Prop Ltd 177 789.21 77.79% 160 721.47 60.72% 99 464.83 -0.54%
15 HAR Harmony 214 461.82 114.46% 193 873.36 93.87% 97 835.18 -2.16%
16 IMP Impala Platinum Hlds 224 357.88 124.36% 202 819.36 102.82% 127 128.88 27.13%
17 INL Investec Ltd 166 081.07 66.08% 150 137.36 50.14% 97 835.18 -2.16%
18 LON Lonmin PLC 178 748.03 78.75% 161 588.24 61.59% 108 572.10 8.57%
19 MTN MTN Group 166 081.07 66.08% 150 137.36 50.14% 97 835.18 -2.16%
20 NED Nedbank Group 256 685.02 156.69% 232 042.96 132.04% 97 835.18 -2.16%
21 NPN Naspers 171 358.97 71.36% 154 908.56 54.91% 101 897.12 1.90%
22 OML Old Mutual 166 925.53 66.93% 150 900.75 50.90% 98 499.54 -1.50%
23 PIK Pick N Pay Stores 178 660.06 78.66% 161 508.72 61.51% 97 835.18 -2.16%
24 RMH RMB Holdings 175 757.22 75.76% 158 884.56 58.88% 97 835.18 -2.16%
25 SAB SABMiller 170 655.25 70.66% 154 272.40 54.27% 98 622.15 -1.38%
26 SBK Standard Bank Group 189 215.86 89.22% 171 051.12 71.05% 120 361.24 20.36%
27 SHF Steinhoff International Holdings 169 247.81 69.25% 153 000.08 53.00% 97 835.18 -2.16%
28 SHP Shoprite 171 446.93 71.45% 154 988.08 54.99% 100 069.61 0.07%
29 SLM Sanlam 172 590.48 72.59% 156 021.84 56.02% 103 615.79 3.62%
30 SOL Sasol 245 249.57 145.25% 221 705.36 121.71% 176 232.24 76.23%
31 TBS Tiger Brands 217 100.77 117.10% 162 701.52 62.70% 109 286.34 9.29%
32 TRU Truworths International 172 062.69 72.06% 155 544.72 55.54% 100 678.74 0.68%
140
2004 with 0.6% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 207 967.88 107.97% 215 733.55 115.73% 128 735.90 28.74%
2 ACL ArcelorMittal South Africa Ltd 228 643.62 128.64% 222 755.50 122.76% 134 477.31 34.48%
3 AGL Anglo American 93 209.15 -6.79% 88 505.30 -11.49% 81 970.36 -18.03%
4 AMS Anglo Platinum 72 873.79 -27.13% 68 813.57 -31.19% 113 771.44 13.77%
5 ANG Anglogold Ashanti 64 642.81 -35.36% 64 561.40 -35.44% 84 979.55 -15.02%
6 APN Aspen Pharmacare Holdings 195 858.38 95.86% 203 172.10 103.17% 131 385.53 31.39%
7 ARI African Rainbow Minerals Ltd 192 699.38 92.70% 199 895.20 99.90% 128 735.90 28.74%
8 ASA Absa Group 214 285.88 114.29% 222 287.35 122.29% 148 420.73 48.42%
9 BIL BHP Billiton 194 594.78 94.59% 201 861.34 101.86% 129 679.35 29.68%
10 BVT Bidvest Group 219 045.44 119.05% 227 224.55 127.22% 142 322.38 42.32%
11 CSO Capital Shopping Centres Group Plc 195 400.33 95.40% 202 696.95 102.70% 129 966.93 29.97%
12 FSR Firstrand Limited 197 543.18 97.54% 204 919.78 104.92% 130 872.84 30.87%
13 GFI Gold Fields 201 123.38 101.12% 208 633.60 108.63% 132 708.29 32.71%
14 GRT Growthpoint Prop Ltd 199 965.08 99.97% 207 432.07 107.43% 132 261.36 32.26%
15 HAR Harmony 200 070.38 100.07% 207 541.30 107.54% 131 714.85 31.71%
16 IMP Impala Platinum Hlds 220 340.63 120.34% 228 568.08 128.57% 128 735.90 28.74%
17 INL Investec Ltd 193 962.98 93.96% 201 205.96 101.21% 129 763.38 29.76%
18 LON Lonmin PLC 200 280.98 100.28% 207 759.76 107.76% 133 842.09 33.84%
19 MTN MTN Group 197 016.68 97.02% 204 373.63 104.37% 133 164.03 33.16%
20 NED Nedbank Group 201 018.08 101.02% 208 524.37 108.52% 133 105.04 33.11%
21 NPN Naspers 196 700.78 96.70% 204 045.94 104.05% 132 509.84 32.51%
22 OML Old Mutual 193 210.09 93.21% 200 424.97 100.42% 129 219.84 29.22%
23 PIK Pick N Pay Stores 201 470.87 101.47% 208 994.06 108.99% 128 735.90 28.74%
24 RMH RMB Holdings 200 860.13 100.86% 208 360.53 108.36% 131 566.03 31.57%
25 SAB SABMiller 196 332.23 96.33% 203 663.64 103.66% 129 594.98 29.59%
26 SBK Standard Bank Group 209 547.38 109.55% 217 372.00 117.37% 133 751.80 33.75%
27 SHF Steinhoff International Holdings 195 015.98 95.02% 202 298.26 102.30% 130 678.61 30.68%
28 SHP Shoprite 196 490.18 96.49% 203 827.48 103.83% 130 672.68 30.67%
29 SLM Sanlam 196 911.38 96.91% 204 264.40 104.26% 133 228.97 33.23%
30 SOL Sasol 240 084.38 140.08% 249 048.70 149.05% 151 379.70 51.38%
31 TBS Tiger Brands 225 447.68 125.45% 210 818.20 110.82% 139 448.30 39.45%
32 TRU Truworths International 197 753.78 97.75% 205 138.24 105.14% 131 417.29 31.42%
141
2005 with 0.6% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 149 212.91 49.21% 156 694.91 56.69% 92 702.42 -7.30%
2 ACL ArcelorMittal South Africa Ltd 106 736.94 6.74% 107 645.35 7.65% 134 213.44 34.21%
3 AGL Anglo American 153 984.92 53.98% 153 972.50 53.97% 118 280.74 18.28%
4 AMS Anglo Platinum 217 878.90 117.88% 207 161.34 107.16% 122 435.32 22.44%
5 ANG Anglogold Ashanti 155 271.91 55.27% 155 259.50 55.26% 119 162.55 19.16%
6 APN Aspen Pharmacare Holdings 139 496.75 39.50% 146 491.55 46.49% 92 063.15 -7.94%
7 ARI African Rainbow Minerals Ltd 136 816.43 36.82% 143 676.83 43.68% 90 132.38 -9.87%
8 ASA Absa Group 156 918.83 56.92% 164 787.23 64.79% 96 017.18 -3.98%
9 BIL BHP Billiton 138 379.95 38.38% 145 318.75 45.32% 90 132.38 -9.87%
10 BVT Bidvest Group 153 903.47 53.90% 161 620.67 61.62% 97 591.89 -2.41%
11 CSO Capital Shopping Centres Group Plc 138 296.19 38.30% 145 230.79 45.23% 91 443.75 -8.56%
12 FSR Firstrand Limited 139 893.21 39.89% 146 907.90 46.91% 91 405.61 -8.59%
13 GFI Gold Fields 140 725.23 40.73% 147 781.63 47.78% 90 132.38 -9.87%
14 GRT Growthpoint Prop Ltd 140 903.92 40.90% 147 969.28 47.97% 91 764.73 -8.24%
15 HAR Harmony 136 816.43 36.82% 143 676.83 43.68% 90 132.38 -9.87%
16 IMP Impala Platinum Hlds 152 842.51 52.84% 160 506.51 60.51% 103 349.09 3.35%
17 INL Investec Ltd 137 654.03 37.65% 144 556.43 44.56% 90 411.91 -9.59%
18 LON Lonmin PLC 140 836.91 40.84% 147 898.91 47.90% 93 635.88 -6.36%
19 MTN MTN Group 140 446.03 40.45% 147 488.43 47.49% 93 246.46 -6.75%
20 NED Nedbank Group 146 923.47 46.92% 154 290.67 54.29% 94 252.67 -5.75%
21 NPN Naspers 140 725.23 40.73% 147 781.63 47.78% 90 132.38 -9.87%
22 OML Old Mutual 137 115.17 37.12% 143 990.56 43.99% 90 132.38 -9.87%
23 PIK Pick N Pay Stores 142 400.43 42.40% 149 540.83 49.54% 93 923.28 -6.08%
24 RMH RMB Holdings 147 649.39 47.65% 155 052.99 55.05% 96 583.84 -3.42%
25 SAB SABMiller 138 994.19 38.99% 145 963.79 45.96% 91 235.47 -8.76%
26 SBK Standard Bank Group 153 735.95 53.74% 161 444.75 61.44% 105 808.28 5.81%
27 SHF Steinhoff International Holdings 138 491.63 38.49% 145 436.03 45.44% 90 132.38 -9.87%
28 SHP Shoprite 139 608.43 39.61% 146 608.83 46.61% 91 344.47 -8.66%
29 SLM Sanlam 139 608.43 39.61% 146 608.83 46.61% 92 865.09 -7.13%
30 SOL Sasol 166 970.03 66.97% 175 342.43 75.34% 102 602.71 2.60%
31 TBS Tiger Brands 159 431.63 59.43% 151 593.23 51.59% 90 132.38 -9.87%
32 TRU Truworths International 140 669.39 40.67% 147 722.99 47.72% 90 132.38 -9.87%
142
2006 with 0.6% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 120 905.72 20.91% 116 609.40 16.61% 115 451.65 15.45%
2 ACL ArcelorMittal South Africa Ltd 164 008.18 64.01% 158 834.74 58.83% 128 762.54 28.76%
3 AGL Anglo American 159 948.74 59.95% 161 174.51 61.17% 124 985.67 24.99%
4 AMS Anglo Platinum 190 551.50 90.55% 179 793.15 79.79% 131 322.94 31.32%
5 ANG Anglogold Ashanti 105 317.02 5.32% 99 601.64 -0.40% 111 180.44 11.18%
6 APN Aspen Pharmacare Holdings 118 552.66 18.55% 114 339.86 14.34% 115 451.65 15.45%
7 ARI African Rainbow Minerals Ltd 116 037.32 16.04% 111 913.80 11.91% 115 451.65 15.45%
8 ASA Absa Group 129 952.83 29.95% 125 335.39 25.34% 125 260.12 25.26%
9 BIL BHP Billiton 117 497.84 17.50% 113 322.48 13.32% 115 451.65 15.45%
10 BVT Bidvest Group 131 007.65 31.01% 126 352.77 26.35% 121 134.60 21.13%
11 CSO Capital Shopping Centres Group Plc 117 136.77 17.14% 112 974.22 12.97% 116 064.33 16.06%
12 FSR Firstrand Limited 118 714.94 18.71% 114 496.38 14.50% 118 074.10 18.07%
13 GFI Gold Fields 122 122.82 22.12% 117 783.30 17.78% 122 319.15 22.32%
14 GRT Growthpoint Prop Ltd 119 335.66 19.34% 115 095.07 15.10% 117 440.10 17.44%
15 HAR Harmony 116 037.32 16.04% 111 913.80 11.91% 115 451.65 15.45%
16 IMP Impala Platinum Hlds 160 157.20 60.16% 154 467.68 54.47% 115 451.65 15.45%
17 INL Investec Ltd 116 873.06 16.87% 112 719.88 12.72% 115 855.25 15.86%
18 LON Lonmin PLC 119 566.91 19.57% 115 318.11 15.32% 115 451.65 15.45%
19 MTN MTN Group 118 674.37 18.67% 114 457.25 14.46% 115 451.65 15.45%
20 NED Nedbank Group 132 021.90 32.02% 127 331.02 27.33% 132 482.42 32.48%
21 NPN Naspers 120 905.72 20.91% 116 609.40 16.61% 115 451.65 15.45%
22 OML Old Mutual 116 270.60 16.27% 112 138.80 12.14% 115 690.82 15.69%
23 PIK Pick N Pay Stores 120 804.30 20.80% 116 511.58 16.51% 115 451.65 15.45%
24 RMH RMB Holdings 120 642.02 20.64% 116 355.06 16.36% 120 020.77 20.02%
25 SAB SABMiller 117 862.97 17.86% 113 674.65 13.67% 116 016.69 16.02%
26 SBK Standard Bank Group 127 762.05 27.76% 123 222.37 23.22% 127 715.56 27.72%
27 SHF Steinhoff International Holdings 117 558.70 17.56% 113 381.18 13.38% 115 451.65 15.45%
28 SHP Shoprite 118 998.93 19.00% 114 770.29 14.77% 117 645.48 17.65%
29 SLM Sanlam 118 674.37 18.67% 114 457.25 14.46% 115 451.65 15.45%
30 SOL Sasol 144 842.02 44.84% 139 696.10 39.70% 145 686.06 45.69%
31 TBS Tiger Brands 138 350.82 38.35% 133 435.30 33.44% 130 677.06 30.68%
32 TRU Truworths International 119 648.05 19.65% 115 396.37 15.40% 117 596.82 17.60%
143
2007 with 0.6% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 122 512.44 22.51% 121 159.82 21.16% 98 335.18 -1.66%
2 ACL ArcelorMittal South Africa Ltd 156 899.59 56.90% 153 780.08 53.78% 106 467.43 6.47%
3 AGL Anglo American 110 070.30 10.07% 110 621.12 10.62% 95 510.08 -4.49%
4 AMS Anglo Platinum 125 158.52 25.16% 119 434.14 19.43% 129 756.36 29.76%
5 ANG Anglogold Ashanti 89 263.35 -10.74% 90 349.05 -9.65% 108 978.93 8.98%
6 APN Aspen Pharmacare Holdings 117 126.19 17.13% 115 832.47 15.83% 97 604.59 -2.40%
7 ARI African Rainbow Minerals Ltd 119 906.19 19.91% 118 582.07 18.58% 95 469.28 -4.53%
8 ASA Absa Group 132 242.44 32.24% 130 783.42 30.78% 102 801.66 2.80%
9 BIL BHP Billiton 116 326.94 16.33% 115 041.96 15.04% 96 042.30 -3.96%
10 BVT Bidvest Group 130 206.09 30.21% 128 769.34 28.77% 101 156.24 1.16%
11 CSO Capital Shopping Centres Group Plc 115 701.44 15.70% 114 423.30 14.42% 95 888.35 -4.11%
12 FSR Firstrand Limited 117 543.19 17.54% 116 244.91 16.24% 97 793.97 -2.21%
13 GFI Gold Fields 121 122.44 21.12% 119 785.02 19.79% 98 369.63 -1.63%
14 GRT Growthpoint Prop Ltd 117 928.92 17.93% 115 595.32 15.60% 95 898.24 -4.10%
15 HAR Harmony 114 693.69 14.69% 113 426.57 13.43% 95 469.28 -4.53%
16 IMP Impala Platinum Hlds 148 574.94 48.57% 146 937.32 46.94% 103 372.83 3.37%
17 INL Investec Ltd 115 545.07 15.55% 114 268.64 14.27% 95 469.28 -4.53%
18 LON Lonmin PLC 118 516.19 18.52% 117 207.27 17.21% 95 469.28 -4.53%
19 MTN MTN Group 117 821.19 17.82% 116 519.87 16.52% 95 469.28 -4.53%
20 NED Nedbank Group 135 335.19 35.34% 133 842.35 33.84% 103 628.23 3.63%
21 NPN Naspers 120 114.69 20.11% 118 788.29 18.79% 100 234.46 0.23%
22 OML Old Mutual 114 917.83 14.92% 113 648.26 13.65% 95 533.66 -4.47%
23 PIK Pick N Pay Stores 119 501.35 19.50% 118 181.66 18.18% 98 706.16 -1.29%
24 RMH RMB Holdings 119 610.82 19.61% 118 289.93 18.29% 99 494.46 -0.51%
25 SAB SABMiller 116 500.69 16.50% 115 213.81 15.21% 95 469.28 -4.53%
26 SBK Standard Bank Group 127 099.44 27.10% 125 696.66 25.70% 100 523.95 0.52%
27 SHF Steinhoff International Holdings 116 431.19 16.43% 115 145.07 15.15% 95 469.28 -4.53%
28 SHP Shoprite 118 203.44 18.20% 116 897.94 16.90% 98 324.44 -1.68%
29 SLM Sanlam 117 369.44 17.37% 116 073.06 16.07% 95 469.28 -4.53%
30 SOL Sasol 145 968.69 45.97% 144 359.57 44.36% 122 258.17 22.26%
31 TBS Tiger Brands 136 620.94 36.62% 135 114.04 35.11% 116 322.09 16.32%
32 TRU Truworths International 118 863.69 18.86% 117 550.97 17.55% 97 192.90 -2.81%
144
2008 with 0.6% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 83 741.22 -16.26% 98 693.60 -1.31% 76 828.90 -23.17%
2 ACL ArcelorMittal South Africa Ltd 68 340.01 -31.66% 65 355.56 -34.64% 117 610.32 17.61%
3 AGL Anglo American 50 952.39 -49.05% 42 449.00 -57.55% 66 388.19 -33.61%
4 AMS Anglo Platinum 56 829.99 -43.17% 51 847.84 -48.15% 120 275.64 20.28%
5 ANG Anglogold Ashanti 85 854.21 -14.15% 89 206.98 -10.79% 117 369.17 17.37%
6 APN Aspen Pharmacare Holdings 77 416.02 -22.58% 91 238.60 -8.76% 73 614.02 -26.39%
7 ARI African Rainbow Minerals Ltd 89 464.02 -10.54% 105 438.60 5.44% 85 296.33 -14.70%
8 ASA Absa Group 95 036.22 -4.96% 112 006.10 12.01% 73 614.02 -26.39%
9 BIL BHP Billiton 79 524.42 -20.48% 93 723.60 -6.28% 73 614.02 -26.39%
10 BVT Bidvest Group 92 325.42 -7.67% 108 811.10 8.81% 79 880.80 -20.12%
11 CSO Capital Shopping Centres Group Plc 78 432.57 -21.57% 92 436.73 -7.56% 73 614.02 -26.39%
12 FSR Firstrand Limited 79 900.92 -20.10% 94 167.35 -5.83% 73 614.02 -26.39%
13 GFI Gold Fields 82 988.22 -17.01% 97 806.10 -2.19% 73 614.02 -26.39%
14 GRT Growthpoint Prop Ltd 80 623.80 -19.38% 95 019.35 -4.98% 73 614.02 -26.39%
15 HAR Harmony 77 416.02 -22.58% 91 238.60 -8.76% 73 614.02 -26.39%
16 IMP Impala Platinum Hlds 121 843.02 21.84% 143 601.10 43.60% 73 614.02 -26.39%
17 INL Investec Ltd 78 063.60 -21.94% 92 001.85 -8.00% 73 976.16 -26.02%
18 LON Lonmin PLC 81 000.30 -19.00% 95 463.10 -4.54% 75 046.01 -24.95%
19 MTN MTN Group 81 512.34 -18.49% 96 066.60 -3.93% 73 614.02 -26.39%
20 NED Nedbank Group 97 295.22 -2.70% 114 668.60 14.67% 73 614.02 -26.39%
21 NPN Naspers 82 837.62 -17.16% 97 628.60 -2.37% 73 614.02 -26.39%
22 OML Old Mutual 77 626.86 -22.37% 91 487.10 -8.51% 73 685.97 -26.31%
23 PIK Pick N Pay Stores 78 848.23 -21.15% 92 926.63 -7.07% 74 994.10 -25.01%
24 RMH RMB Holdings 81 678.00 -18.32% 96 261.85 -3.74% 73 614.02 -26.39%
25 SAB SABMiller 79 162.98 -20.84% 93 297.60 -6.70% 73 614.02 -26.39%
26 SBK Standard Bank Group 89 403.78 -10.60% 105 367.60 5.37% 73 614.02 -26.39%
27 SHF Steinhoff International Holdings 79 223.22 -20.78% 93 368.60 -6.63% 75 315.55 -24.68%
28 SHP Shoprite 82 084.62 -17.92% 96 741.10 -3.26% 76 708.55 -23.29%
29 SLM Sanlam 80 217.18 -19.78% 94 540.10 -5.46% 73 614.02 -26.39%
30 SOL Sasol 116 572.02 16.57% 137 388.60 37.39% 73 614.02 -26.39%
31 TBS Tiger Brands 98 259.06 -1.74% 99 936.10 -0.06% 73 614.02 -26.39%
32 TRU Truworths International 81 753.30 -18.25% 96 350.60 -3.65% 73 614.02 -26.39%
145
2009 with 0.6% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 122 412.36 22.41% 120 082.10 20.08% 94 531.38 -5.47%
2 ACL ArcelorMittal South Africa Ltd 121 527.12 21.53% 122 862.00 22.86% 108 712.27 8.71%
3 AGL Anglo American 150 507.24 50.51% 167 127.05 67.13% 98 731.33 -1.27%
4 AMS Anglo Platinum 152 184.52 52.18% 178 718.50 78.72% 138 966.76 38.97%
5 ANG Anglogold Ashanti 121 227.93 21.23% 116 687.09 16.69% 111 307.73 11.31%
6 APN Aspen Pharmacare Holdings 115 258.41 15.26% 113 063.20 13.06% 94 531.38 -5.47%
7 ARI African Rainbow Minerals Ltd 122 025.66 22.03% 119 702.70 19.70% 100 121.70 0.12%
8 ASA Absa Group 136 720.26 36.72% 134 119.90 34.12% 101 915.20 1.92%
9 BIL BHP Billiton 118 429.35 18.43% 116 174.28 16.17% 97 366.72 -2.63%
10 BVT Bidvest Group 126 472.71 26.47% 124 065.80 24.07% 98 200.61 -1.80%
11 CSO Capital Shopping Centres Group Plc 116 770.41 16.77% 114 546.65 14.55% 95 058.57 -4.94%
12 FSR Firstrand Limited 117 423.93 17.42% 115 187.84 15.19% 96 482.79 -3.52%
13 GFI Gold Fields 119 512.11 19.51% 117 236.60 17.24% 97 157.12 -2.84%
14 GRT Growthpoint Prop Ltd 119 689.99 19.69% 117 411.12 17.41% 98 499.95 -1.50%
15 HAR Harmony 117 191.91 17.19% 114 960.20 14.96% 96 129.39 -3.87%
16 IMP Impala Platinum Hlds 127 632.81 27.63% 125 204.00 25.20% 105 620.71 5.62%
17 INL Investec Ltd 115 761.12 15.76% 113 556.42 13.56% 94 531.38 -5.47%
18 LON Lonmin PLC 115 258.41 15.26% 113 063.20 13.06% 94 531.38 -5.47%
19 MTN MTN Group 122 257.68 22.26% 119 930.34 19.93% 101 171.37 1.17%
20 NED Nedbank Group 135 366.81 35.37% 132 792.00 32.79% 101 239.89 1.24%
21 NPN Naspers 123 263.10 23.26% 120 916.78 20.92% 101 144.32 1.14%
22 OML Old Mutual 115 358.95 15.36% 113 161.84 13.16% 94 531.38 -5.47%
23 PIK Pick N Pay Stores 121 986.99 21.99% 119 664.76 19.66% 100 620.42 0.62%
24 RMH RMB Holdings 119 086.74 19.09% 116 819.26 16.82% 97 962.41 -2.04%
25 SAB SABMiller 117 539.94 17.54% 115 301.66 15.30% 95 910.09 -4.09%
26 SBK Standard Bank Group 128 174.19 28.17% 125 735.16 25.74% 106 454.36 6.45%
27 SHF Steinhoff International Holdings 117 578.61 17.58% 115 339.60 15.34% 96 461.49 -3.54%
28 SHP Shoprite 122 992.41 22.99% 120 651.20 20.65% 101 364.94 1.36%
29 SLM Sanlam 119 048.07 19.05% 116 781.32 16.78% 94 531.38 -5.47%
30 SOL Sasol 148 127.91 48.13% 145 312.20 45.31% 113 447.56 13.45%
31 TBS Tiger Brands 145 653.03 45.65% 142 884.04 42.88% 102 400.17 2.40%
32 TRU Truworths International 121 870.98 21.87% 119 550.94 19.55% 100 502.03 0.50%
146
2010 with 0.6% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 135 421.70 35.42% 135 403.00 35.40% 114 066.81 14.07%
2 ACL ArcelorMittal South Africa Ltd 76 455.93 -23.54% 72 863.22 -27.14% 98 674.95 -1.33%
3 AGL Anglo American 106 793.19 6.79% 106 752.75 6.75% 72 465.11 -27.53%
4 AMS Anglo Platinum 87 109.38 -12.89% 95 107.47 -4.89% 99 817.68 -0.18%
5 ANG Anglogold Ashanti 106 519.61 6.52% 106 355.00 6.35% 92 269.34 -7.73%
6 APN Aspen Pharmacare Holdings 131 586.45 31.59% 131 567.75 31.57% 108 083.93 8.08%
7 ARI African Rainbow Minerals Ltd 135 921.95 35.92% 135 903.25 35.90% 114 300.16 14.30%
8 ASA Absa Group 144 092.70 44.09% 144 074.00 44.07% 122 285.76 22.29%
9 BIL BHP Billiton 132 153.40 32.15% 132 134.70 32.13% 110 793.05 10.79%
10 BVT Bidvest Group 143 659.15 43.66% 143 640.45 43.64% 121 857.68 21.86%
11 CSO Capital Shopping Centres Group Plc 129 802.23 29.80% 129 783.53 29.78% 108 486.79 8.49%
12 FSR Firstrand Limited 131 819.90 31.82% 131 801.20 31.80% 108 083.93 8.08%
13 GFI Gold Fields 133 253.95 33.25% 133 235.25 33.24% 111 831.20 11.83%
14 GRT Growthpoint Prop Ltd 133 293.97 33.29% 133 275.27 33.28% 111 866.81 11.87%
15 HAR Harmony 130 919.45 30.92% 130 900.75 30.90% 109 637.18 9.64%
16 IMP Impala Platinum Hlds 142 258.45 42.26% 142 239.75 42.24% 120 459.04 20.46%
17 INL Investec Ltd 129 785.55 29.79% 129 766.85 29.77% 108 083.93 8.08%
18 LON Lonmin PLC 129 251.95 29.25% 129 233.25 29.23% 108 083.93 8.08%
19 MTN MTN Group 140 691.00 40.69% 140 672.30 40.67% 112 777.44 12.78%
20 NED Nedbank Group 143 992.65 43.99% 143 973.95 43.97% 114 674.05 14.67%
21 NPN Naspers 137 089.20 37.09% 137 070.50 37.07% 115 389.80 15.39%
22 OML Old Mutual 129 251.95 29.25% 129 233.25 29.23% 108 083.93 8.08%
23 PIK Pick N Pay Stores 134 979.81 34.98% 134 961.11 34.96% 113 950.47 13.95%
24 RMH RMB Holdings 133 387.35 33.39% 133 368.65 33.37% 108 083.93 8.08%
25 SAB SABMiller 131 603.13 31.60% 131 584.43 31.58% 108 651.44 8.65%
26 SBK Standard Bank Group 142 125.05 42.13% 142 106.35 42.11% 112 467.09 12.47%
27 SHF Steinhoff International Holdings 142 125.05 42.13% 142 106.35 42.11% 112 467.09 12.47%
28 SHP Shoprite 136 822.40 36.82% 136 803.70 36.80% 115 219.31 15.22%
29 SLM Sanlam 132 720.35 32.72% 132 701.65 32.70% 108 083.93 8.08%
30 SOL Sasol 164 269.45 64.27% 164 250.75 64.25% 108 083.93 8.08%
31 TBS Tiger Brands 153 564.10 53.56% 153 545.40 53.55% 116 878.56 16.88%
32 TRU Truworths International 135 921.95 35.92% 135 903.25 35.90% 114 359.71 14.36%
147
2001 to 2010 with 0.6% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 999 232.98 25.88% 977 292.16 25.60% 171 258.82 5.53%
2 ACL ArcelorMittal South Africa Ltd 5 137 189.75 48.28% 4 586 810.48 46.61% 1 270 492.30 28.94%
3 AGL Anglo American 310 379.97 11.99% 268 917.99 10.40% 48 312.40 -7.02%
4 AMS Anglo Platinum 260 054.18 10.03% 258 074.00 9.94% 621 577.28 20.05%
5 ANG Anglogold Ashanti 336 896.57 12.91% 322 293.83 12.42% 249 496.63 9.57%
6 APN Aspen Pharmacare Holdings 1 975 591.91 34.76% 1 988 062.10 34.85% 195 206.73 6.92%
7 ARI African Rainbow Minerals Ltd 947 832.05 25.22% 947 813.35 25.22% 1 122 862.35 27.36%
8 ASA Absa Group 604 772.94 19.72% 600 579.53 19.63% 61 827.40 -4.69%
9 BIL BHP Billiton 940 136.86 25.12% 872 713.39 24.19% 227 319.11 8.56%
10 BVT Bidvest Group 408 594.32 15.11% 388 533.16 14.54% 54 528.20 -5.88%
11 CSO Capital Shopping Centres Group Plc 110 217.12 0.98% 107 732.31 0.75% 113 868.13 1.31%
12 FSR Firstrand Limited 348 447.28 13.30% 340 339.75 13.03% 73 324.35 -3.06%
13 GFI Gold Fields 531 734.31 18.19% 500 641.80 17.48% 585 325.09 19.33%
14 GRT Growthpoint Prop Ltd 594 663.27 19.52% 622 335.55 20.06% 177 101.98 5.88%
15 HAR Harmony 264 033.38 10.20% 251 565.61 9.66% 1 622 401.86 32.13%
16 IMP Impala Platinum Hlds 612 886.34 19.88% 633 128.11 20.27% 463 270.88 16.57%
17 INL Investec Ltd 113 180.06 1.25% 103 563.84 0.35% 98 815.92 -0.12%
18 LON Lonmin PLC 195 792.24 6.95% 192 133.31 6.75% 283 300.56 10.97%
19 MTN MTN Group 564 596.77 18.90% 535 883.18 18.28% 110 702.07 1.02%
20 NED Nedbank Group 100 943.54 0.09% 96 113.74 -0.40% 77 791.84 -2.48%
21 NPN Naspers 1 288 941.30 29.13% 1 174 475.89 27.93% 422 990.30 15.51%
22 OML Old Mutual 71 903.39 -3.24% 69 656.57 -3.55% 62 582.22 -4.58%
23 PIK Pick N Pay Stores 422 445.93 15.50% 416 365.63 15.33% 44 955.63 -7.68%
24 RMH RMB Holdings 438 382.94 15.93% 425 688.62 15.59% 62 243.78 -4.63%
25 SAB SABMiller 454 709.85 16.35% 430 345.05 15.71% 72 865.74 -3.12%
26 SBK Standard Bank Group 433 858.48 15.81% 417 371.10 15.36% 44 638.30 -7.75%
27 SHF Steinhoff International Holdings 424 344.66 15.55% 418 006.69 15.38% 159 157.97 4.76%
28 SHP Shoprite 1 369 367.78 29.91% 1 386 993.62 30.08% 79 665.10 -2.25%
29 SLM Sanlam 355 689.68 13.53% 350 551.87 13.36% 87 404.41 -1.34%
30 SOL Sasol 845 489.69 23.80% 658 925.66 20.75% 389 830.54 14.57%
31 TBS Tiger Brands 577 777.22 19.17% 574 125.62 19.10% 112 570.20 1.19%
32 TRU Truworths International 2 169 754.82 36.03% 1 982 298.16 34.81% 276 245.24 10.70%
148
Appendix 5: Data analysis 0.7% transaction cost
2001 with 0.7% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 166 124.49 66.12% 162 480.30 62.48% 142 887.38 42.89%
2 ACL ArcelorMittal South Africa Ltd 482 398.86 382.40% 430 711.52 330.71% 185 721.15 85.72%
3 AGL Anglo American 178 314.51 78.31% 154 473.53 54.47% 132 276.09 32.28%
4 AMS Anglo Platinum 133 934.75 33.93% 132 730.89 32.73% 148 365.87 48.37%
5 ANG Anglogold Ashanti 195 615.90 95.62% 187 138.25 87.14% 122 351.25 22.35%
6 APN Aspen Pharmacare Holdings 162 969.12 62.97% 159 394.12 59.39% 138 923.27 38.92%
7 ARI African Rainbow Minerals Ltd 161 484.24 61.48% 157 941.80 57.94% 138 923.27 38.92%
8 ASA Absa Group 184 685.49 84.69% 180 634.30 80.63% 159 167.58 59.17%
9 BIL BHP Billiton 164 918.03 64.92% 161 300.29 61.30% 138 923.27 38.92%
10 BVT Bidvest Group 178 931.58 78.93% 175 006.56 75.01% 147 537.20 47.54%
11 CSO Capital Shopping Centres Group Plc 165 614.06 65.61% 161 981.07 61.98% 140 637.87 40.64%
12 FSR Firstrand Limited 165 892.48 65.89% 162 253.38 62.25% 141 013.62 41.01%
13 GFI Gold Fields 204 174.54 104.17% 199 696.00 99.70% 138 923.27 38.92%
14 GRT Growthpoint Prop Ltd 176 240.24 76.24% 172 374.23 72.37% 138 923.27 38.92%
15 HAR Harmony 183 757.44 83.76% 179 726.60 79.73% 148 212.66 48.21%
16 IMP Impala Platinum Hlds 319 252.74 219.25% 312 250.80 212.25% 186 379.44 86.38%
17 INL Investec Ltd 161 484.24 61.48% 157 941.80 57.94% 138 923.27 38.92%
18 LON Lonmin PLC 172 620.84 72.62% 168 834.20 68.83% 142 953.93 42.95%
19 MTN MTN Group 163 340.34 63.34% 159 757.20 59.76% 140 718.81 40.72%
20 NED Nedbank Group 241 296.54 141.30% 236 004.00 136.00% 216 682.25 116.68%
21 NPN Naspers 165 938.88 65.94% 162 298.76 62.30% 142 953.93 42.95%
22 OML Old Mutual 162 375.17 62.38% 158 813.19 58.81% 138 923.27 38.92%
23 PIK Pick N Pay Stores 169 743.89 69.74% 166 020.33 66.02% 140 598.01 40.60%
24 RMH RMB Holdings 168 166.20 68.17% 164 477.24 64.48% 141 115.46 41.12%
25 SAB SABMiller 200 692.50 100.69% 196 290.31 96.29% 175 695.14 75.70%
26 SBK Standard Bank Group 178 374.75 78.37% 174 461.94 74.46% 149 148.12 49.15%
27 SHF Steinhoff International Holdings 163 711.56 63.71% 160 120.28 60.12% 138 923.27 38.92%
28 SHP Shoprite 165 289.25 65.29% 161 663.37 61.66% 138 923.27 38.92%
29 SLM Sanlam 167 052.54 67.05% 163 388.00 63.39% 138 923.27 38.92%
30 SOL Sasol 220 879.44 120.88% 216 034.60 116.03% 195 055.30 95.06%
31 TBS Tiger Brands 201 019.17 101.02% 196 609.82 96.61% 168 623.90 68.62%
32 TRU Truworths International 164 175.59 64.18% 160 574.13 60.57% 138 923.27 38.92%
149
2002 with 0.7% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 67 916.39 -32.08% 65 654.27 -34.35% 103 825.25 3.83%
2 ACL ArcelorMittal South Africa Ltd 189 419.59 89.42% 186 950.13 86.95% 121 556.90 21.56%
3 AGL Anglo American 68 852.99 -31.15% 67 124.72 -32.88% 99 625.40 -0.37%
4 AMS Anglo Platinum 75 818.07 -24.18% 76 682.94 -23.32% 81 515.56 -18.48%
5 ANG Anglogold Ashanti 142 415.86 42.42% 130 362.30 30.36% 155 749.36 55.75%
6 APN Aspen Pharmacare Holdings 65 747.73 -34.25% 63 558.00 -36.44% 100 619.81 0.62%
7 ARI African Rainbow Minerals Ltd 64 492.19 -35.51% 62 344.37 -37.66% 100 619.81 0.62%
8 ASA Absa Group 78 531.41 -21.47% 75 914.96 -24.09% 111 136.09 11.14%
9 BIL BHP Billiton 66 033.08 -33.97% 63 833.83 -36.17% 100 619.81 0.62%
10 BVT Bidvest Group 86 178.79 -13.82% 83 307.07 -16.69% 136 458.40 36.46%
11 CSO Capital Shopping Centres Group Plc 67 145.94 -32.85% 64 909.54 -35.09% 102 303.85 2.30%
12 FSR Firstrand Limited 67 745.18 -32.25% 65 488.78 -34.51% 100 619.81 0.62%
13 GFI Gold Fields 99 875.59 -0.12% 96 546.67 -3.45% 116 424.05 16.42%
14 GRT Growthpoint Prop Ltd 70 674.01 -29.33% 68 319.84 -31.68% 104 811.41 4.81%
15 HAR Harmony 121 562.19 21.56% 117 509.37 17.51% 176 567.48 76.57%
16 IMP Impala Platinum Hlds 117 281.94 17.28% 113 372.00 13.37% 186 661.94 86.66%
17 INL Investec Ltd 64 492.19 -35.51% 62 344.37 -37.66% 100 619.81 0.62%
18 LON Lonmin PLC 97 022.09 -2.98% 93 788.42 -6.21% 138 375.15 38.38%
19 MTN MTN Group 64 492.19 -35.51% 62 344.37 -37.66% 100 619.81 0.62%
20 NED Nedbank Group 123 274.29 23.27% 119 164.32 19.16% 144 126.14 44.13%
21 NPN Naspers 67 345.69 -32.65% 65 102.62 -34.90% 100 619.81 0.62%
22 OML Old Mutual 65 040.06 -34.96% 62 873.96 -37.13% 101 068.27 1.07%
23 PIK Pick N Pay Stores 70 798.42 -29.20% 68 440.10 -31.56% 100 619.81 0.62%
24 RMH RMB Holdings 69 560.00 -30.44% 67 243.02 -32.76% 100 619.81 0.62%
25 SAB SABMiller 86 456.15 -13.54% 83 575.17 -16.42% 132 966.31 32.97%
26 SBK Standard Bank Group 76 819.31 -23.18% 74 260.01 -25.74% 111 005.06 11.01%
27 SHF Steinhoff International Holdings 76 819.31 -23.18% 74 260.01 -25.74% 111 005.06 11.01%
28 SHP Shoprite 67 402.76 -32.60% 65 157.79 -34.84% 102 561.13 2.56%
29 SLM Sanlam 68 487.09 -31.51% 66 205.92 -33.79% 100 619.81 0.62%
30 SOL Sasol 115 855.19 15.86% 111 992.87 11.99% 183 786.93 83.79%
31 TBS Tiger Brands 90 059.55 -9.94% 71 060.44 -28.94% 113 806.79 13.81%
32 TRU Truworths International 67 003.27 -33.00% 64 771.63 -35.23% 102 208.34 2.21%
150
2003 with 0.7% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 193 336.47 93.34% 174 772.90 74.77% 95 324.34 -4.68%
2 ACL ArcelorMittal South Africa Ltd 143 932.04 43.93% 130 147.49 30.15% 150 231.22 50.23%
3 AGL Anglo American 112 651.50 12.65% 115 283.08 15.28% 73 979.22 -26.02%
4 AMS Anglo Platinum 95 600.23 -4.40% 88 596.58 -11.40% 100 756.06 0.76%
5 ANG Anglogold Ashanti 111 008.54 11.01% 104 917.76 4.92% 77 426.81 -22.57%
6 APN Aspen Pharmacare Holdings 169 433.11 69.43% 153 165.22 53.17% 95 324.34 -4.68%
7 ARI African Rainbow Minerals Ltd 165 917.91 65.92% 149 987.62 49.99% 95 324.34 -4.68%
8 ASA Absa Group 193 512.23 93.51% 174 931.78 74.93% 102 692.82 2.69%
9 BIL BHP Billiton 168 642.19 68.64% 152 450.26 52.45% 96 143.92 -3.86%
10 BVT Bidvest Group 204 585.11 104.59% 184 941.22 84.94% 109 951.42 9.95%
11 CSO Capital Shopping Centres Group Plc 170 180.09 70.18% 153 840.46 53.84% 98 811.45 -1.19%
12 FSR Firstrand Limited 172 069.51 72.07% 155 548.42 55.55% 95 324.34 -4.68%
13 GFI Gold Fields 209 857.91 109.86% 189 707.62 89.71% 117 239.81 17.24%
14 GRT Growthpoint Prop Ltd 177 614.74 77.61% 160 561.08 60.56% 96 912.85 -3.09%
15 HAR Harmony 214 251.91 114.25% 193 679.62 93.68% 95 324.34 -4.68%
16 IMP Impala Platinum Hlds 224 138.41 124.14% 202 616.62 102.62% 123 892.43 23.89%
17 INL Investec Ltd 165 917.91 65.92% 149 987.62 49.99% 95 324.34 -4.68%
18 LON Lonmin PLC 178 572.63 78.57% 161 426.98 61.43% 105 796.99 5.80%
19 MTN MTN Group 165 917.91 65.92% 149 987.62 49.99% 95 324.34 -4.68%
20 NED Nedbank Group 256 434.31 156.43% 231 810.82 131.81% 95 324.34 -4.68%
21 NPN Naspers 171 190.71 71.19% 154 754.02 54.75% 99 285.69 -0.71%
22 OML Old Mutual 166 761.56 66.76% 150 750.24 50.75% 95 972.26 -4.03%
23 PIK Pick N Pay Stores 178 484.75 78.48% 161 347.54 61.35% 95 324.34 -4.68%
24 RMH RMB Holdings 175 584.71 75.58% 158 726.02 58.73% 95 324.34 -4.68%
25 SAB SABMiller 170 487.67 70.49% 154 118.50 54.12% 96 091.89 -3.91%
26 SBK Standard Bank Group 189 030.35 89.03% 170 880.34 70.88% 117 295.78 17.30%
27 SHF Steinhoff International Holdings 169 081.59 69.08% 152 847.46 52.85% 95 324.34 -4.68%
28 SHP Shoprite 171 278.59 71.28% 154 833.46 54.83% 97 502.62 -2.50%
29 SLM Sanlam 172 421.03 72.42% 155 866.18 55.87% 100 961.75 0.96%
30 SOL Sasol 245 009.91 145.01% 221 483.62 121.48% 171 797.40 71.80%
31 TBS Tiger Brands 216 888.31 116.89% 162 539.14 62.54% 106 492.02 6.49%
32 TRU Truworths International 171 893.75 71.89% 155 389.54 55.39% 98 097.70 -1.90%
151
2004 with 0.7% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 207 755.79 107.76% 215 517.71 115.52% 125 682.74 25.68%
2 ACL ArcelorMittal South Africa Ltd 228 432.48 128.43% 222 546.67 122.55% 131 289.69 31.29%
3 AGL Anglo American 93 120.74 -6.88% 88 406.00 -11.59% 79 549.49 -20.45%
4 AMS Anglo Platinum 72 854.23 -27.15% 68 714.38 -31.29% 111 413.28 11.41%
5 ANG Anglogold Ashanti 64 543.59 -35.46% 64 462.30 -35.54% 82 464.03 -17.54%
6 APN Aspen Pharmacare Holdings 195 658.94 95.66% 202 968.91 102.97% 128 272.46 28.27%
7 ARI African Rainbow Minerals Ltd 192 503.24 92.50% 199 695.31 99.70% 125 682.74 25.68%
8 ASA Absa Group 214 067.19 114.07% 222 064.91 122.06% 144 920.78 44.92%
9 BIL BHP Billiton 194 396.66 94.40% 201 659.47 101.66% 126 604.92 26.60%
10 BVT Bidvest Group 218 821.78 118.82% 226 997.13 127.00% 138 960.64 38.96%
11 CSO Capital Shopping Centres Group Plc 195 201.37 95.20% 202 494.23 102.49% 126 886.50 26.89%
12 FSR Firstrand Limited 197 341.98 97.34% 204 714.83 104.71% 127 771.47 27.77%
13 GFI Gold Fields 200 918.44 100.92% 208 424.91 108.42% 129 565.21 29.57%
14 GRT Growthpoint Prop Ltd 199 761.35 99.76% 207 224.59 107.22% 129 128.39 29.13%
15 HAR Harmony 199 866.54 99.87% 207 333.71 107.33% 128 594.91 28.59%
16 IMP Impala Platinum Hlds 220 115.62 120.12% 228 339.31 128.34% 125 682.74 25.68%
17 INL Investec Ltd 193 765.52 93.77% 201 004.75 101.00% 126 686.70 26.69%
18 LON Lonmin PLC 200 076.92 100.08% 207 551.95 107.55% 130 673.68 30.67%
19 MTN MTN Group 196 816.03 96.82% 204 169.23 104.17% 130 010.70 30.01%
20 NED Nedbank Group 200 813.25 100.81% 208 315.79 108.32% 129 952.90 29.95%
21 NPN Naspers 196 500.46 96.50% 203 841.87 103.84% 129 371.31 29.37%
22 OML Old Mutual 193 013.42 93.01% 200 224.54 100.22% 126 156.12 26.16%
23 PIK Pick N Pay Stores 201 265.57 101.27% 208 785.00 108.79% 125 682.74 25.68%
24 RMH RMB Holdings 200 655.47 100.66% 208 152.11 108.15% 128 448.46 28.45%
25 SAB SABMiller 196 132.30 96.13% 203 459.95 103.46% 126 522.26 26.52%
26 SBK Standard Bank Group 209 333.64 109.33% 217 154.51 117.15% 130 583.41 30.58%
27 SHF Steinhoff International Holdings 194 817.42 94.82% 202 095.95 102.10% 127 581.67 27.58%
28 SHP Shoprite 196 290.08 96.29% 203 623.63 103.62% 127 575.75 27.58%
29 SLM Sanlam 196 710.84 96.71% 204 060.11 104.06% 130 073.26 30.07%
30 SOL Sasol 239 838.74 139.84% 248 799.31 148.80% 147 813.26 47.81%
31 TBS Tiger Brands 225 217.33 125.22% 210 607.31 110.61% 136 151.42 36.15%
32 TRU Truworths International 197 552.36 97.55% 204 933.07 104.93% 128 303.29 28.30%
152
2005 with 0.7% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 149 060.74 49.06% 156 537.61 56.54% 89 876.27 -10.12%
2 ACL ArcelorMittal South Africa Ltd 106 633.38 6.63% 107 536.88 7.54% 131 302.48 31.30%
3 AGL Anglo American 153 775.33 53.78% 153 657.63 53.66% 115 113.78 15.11%
4 AMS Anglo Platinum 217 779.69 117.78% 207 062.11 107.06% 119 273.94 19.27%
5 ANG Anglogold Ashanti 155 059.70 55.06% 154 942.00 54.94% 115 990.01 15.99%
6 APN Aspen Pharmacare Holdings 139 355.02 39.36% 146 344.69 46.34% 89 256.91 -10.74%
7 ARI African Rainbow Minerals Ltd 136 677.58 36.68% 143 532.85 43.53% 87 382.33 -12.62%
8 ASA Absa Group 156 758.38 56.76% 164 621.65 64.62% 93 087.93 -6.91%
9 BIL BHP Billiton 138 239.42 38.24% 145 173.09 45.17% 87 382.33 -12.62%
10 BVT Bidvest Group 153 746.26 53.75% 161 458.33 61.46% 94 619.99 -5.38%
11 CSO Capital Shopping Centres Group Plc 138 155.75 38.16% 145 085.22 45.09% 88 654.55 -11.35%
12 FSR Firstrand Limited 139 751.06 39.75% 146 760.61 46.76% 88 617.63 -11.38%
13 GFI Gold Fields 140 582.18 40.58% 147 633.45 47.63% 87 382.33 -12.62%
14 GRT Growthpoint Prop Ltd 140 760.68 40.76% 147 820.90 47.82% 88 966.72 -11.03%
15 HAR Harmony 136 677.58 36.68% 143 532.85 43.53% 87 382.33 -12.62%
16 IMP Impala Platinum Hlds 152 686.44 52.69% 160 345.31 60.35% 100 208.59 0.21%
17 INL Investec Ltd 137 514.28 37.51% 144 411.55 44.41% 87 653.34 -12.35%
18 LON Lonmin PLC 140 693.74 40.69% 147 750.61 47.75% 90 782.68 -9.22%
19 MTN MTN Group 140 303.28 40.30% 147 340.55 47.34% 90 403.84 -9.60%
20 NED Nedbank Group 146 773.76 46.77% 154 135.83 54.14% 91 380.71 -8.62%
21 NPN Naspers 140 582.18 40.58% 147 633.45 47.63% 87 382.33 -12.62%
22 OML Old Mutual 136 976.00 36.98% 143 846.25 43.85% 87 382.33 -12.62%
23 PIK Pick N Pay Stores 142 255.58 42.26% 149 390.85 49.39% 91 059.92 -8.94%
24 RMH RMB Holdings 147 498.90 47.50% 154 897.37 54.90% 93 642.01 -6.36%
25 SAB SABMiller 138 853.00 38.85% 145 817.47 45.82% 88 453.03 -11.55%
26 SBK Standard Bank Group 153 578.92 53.58% 161 282.59 61.28% 102 594.51 2.59%
27 SHF Steinhoff International Holdings 138 350.98 38.35% 145 290.25 45.29% 87 382.33 -12.62%
28 SHP Shoprite 139 466.58 39.47% 146 461.85 46.46% 88 557.97 -11.44%
29 SLM Sanlam 139 466.58 39.47% 146 461.85 46.46% 90 032.72 -9.97%
30 SOL Sasol 166 798.78 66.80% 175 166.05 75.17% 99 484.17 -0.52%
31 TBS Tiger Brands 159 268.48 59.27% 151 441.15 51.44% 87 382.33 -12.62%
32 TRU Truworths International 140 526.40 40.53% 147 574.87 47.57% 87 382.33 -12.62%
153
2006 with 0.7% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 120 785.81 20.79% 116 490.20 16.49% 112 601.53 12.60%
2 ACL ArcelorMittal South Africa Ltd 163 869.43 63.87% 158 697.98 58.70% 125 595.01 25.60%
3 AGL Anglo American 159 707.92 59.71% 161 075.27 61.08% 122 385.00 22.38%
4 AMS Anglo Platinum 190 452.33 90.45% 179 793.15 79.79% 127 852.16 27.85%
5 ANG Anglogold Ashanti 105 217.79 5.22% 99 502.36 -0.50% 108 886.55 8.89%
6 APN Aspen Pharmacare Holdings 118 435.07 18.44% 114 222.98 14.22% 112 601.53 12.60%
7 ARI African Rainbow Minerals Ltd 115 922.21 15.92% 111 799.40 11.80% 112 601.53 12.60%
8 ASA Absa Group 129 824.00 29.82% 125 207.27 25.21% 122 180.47 22.18%
9 BIL BHP Billiton 117 381.29 17.38% 113 206.64 13.21% 112 601.53 12.60%
10 BVT Bidvest Group 130 877.78 30.88% 126 223.61 26.22% 118 151.21 18.15%
11 CSO Capital Shopping Centres Group Plc 117 020.57 17.02% 112 858.74 12.86% 113 201.24 13.20%
12 FSR Firstrand Limited 118 597.19 18.60% 114 379.34 14.38% 115 163.74 15.16%
13 GFI Gold Fields 122 001.71 22.00% 117 662.90 17.66% 119 302.21 19.30%
14 GRT Growthpoint Prop Ltd 119 217.30 19.22% 114 977.42 14.98% 114 545.32 14.55%
15 HAR Harmony 115 922.21 15.92% 111 799.40 11.80% 112 601.53 12.60%
16 IMP Impala Platinum Hlds 159 998.59 60.00% 154 309.78 54.31% 112 601.53 12.60%
17 INL Investec Ltd 116 757.13 16.76% 112 604.65 12.60% 112 995.23 13.00%
18 LON Lonmin PLC 119 448.32 19.45% 115 200.23 15.20% 112 601.53 12.60%
19 MTN MTN Group 118 556.66 18.56% 114 340.25 14.34% 112 601.53 12.60%
20 NED Nedbank Group 131 891.03 31.89% 127 200.86 27.20% 129 233.07 29.23%
21 NPN Naspers 120 785.81 20.79% 116 490.20 16.49% 112 601.53 12.60%
22 OML Old Mutual 116 155.26 16.16% 112 024.17 12.02% 112 834.93 12.83%
23 PIK Pick N Pay Stores 120 684.49 20.68% 116 392.48 16.39% 112 601.53 12.60%
24 RMH RMB Holdings 120 522.37 20.52% 116 236.12 16.24% 117 064.46 17.06%
25 SAB SABMiller 117 746.06 17.75% 113 558.45 13.56% 113 152.71 13.15%
26 SBK Standard Bank Group 127 635.38 27.64% 123 096.41 23.10% 124 577.76 24.58%
27 SHF Steinhoff International Holdings 117 442.09 17.44% 113 265.28 13.27% 112 601.53 12.60%
28 SHP Shoprite 118 880.90 18.88% 114 652.97 14.65% 114 746.22 14.75%
29 SLM Sanlam 118 556.66 18.56% 114 340.25 14.34% 112 601.53 12.60%
30 SOL Sasol 144 698.51 44.70% 139 553.30 39.55% 142 129.68 42.13%
31 TBS Tiger Brands 138 213.71 38.21% 133 298.90 33.30% 127 463.54 27.46%
32 TRU Truworths International 119 529.38 19.53% 115 278.41 15.28% 114 698.63 14.70%
154
2007 with 0.7% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 122 393.71 22.39% 121 035.91 21.04% 95 529.79 -4.47%
2 ACL ArcelorMittal South Africa Ltd 156 744.07 56.74% 153 626.57 53.63% 103 556.54 3.56%
3 AGL Anglo American 109 971.08 9.97% 110 522.04 10.52% 93 356.87 -6.64%
4 AMS Anglo Platinum 125 059.22 25.06% 119 335.58 19.34% 127 252.98 27.25%
5 ANG Anglogold Ashanti 89 200.02 -10.80% 90 249.92 -9.75% 106 500.67 6.50%
6 APN Aspen Pharmacare Holdings 117 012.11 17.01% 115 714.76 15.71% 94 816.38 -5.18%
7 ARI African Rainbow Minerals Ltd 119 789.71 19.79% 118 461.16 18.46% 92 740.70 -7.26%
8 ASA Absa Group 132 115.31 32.12% 130 648.31 30.65% 99 872.61 -0.13%
9 BIL BHP Billiton 116 213.55 16.21% 114 925.17 14.93% 93 299.83 -6.70%
10 BVT Bidvest Group 130 080.71 30.08% 128 636.58 28.64% 98 273.61 -1.73%
11 CSO Capital Shopping Centres Group Plc 115 588.59 15.59% 114 307.23 14.31% 93 146.21 -6.85%
12 FSR Firstrand Limited 117 428.75 17.43% 116 126.72 16.13% 95 003.19 -5.00%
13 GFI Gold Fields 121 004.91 21.00% 119 662.71 19.66% 95 563.51 -4.44%
14 GRT Growthpoint Prop Ltd 117 814.14 17.81% 115 477.89 15.48% 93 159.46 -6.84%
15 HAR Harmony 114 581.71 14.58% 113 311.66 13.31% 92 740.70 -7.26%
16 IMP Impala Platinum Hlds 148 433.71 48.43% 146 783.41 46.78% 100 424.18 0.42%
17 INL Investec Ltd 115 432.35 15.43% 114 152.75 14.15% 92 740.70 -7.26%
18 LON Lonmin PLC 118 400.91 18.40% 117 087.96 17.09% 92 740.70 -7.26%
19 MTN MTN Group 117 706.51 17.71% 116 401.36 16.40% 92 740.70 -7.26%
20 NED Nedbank Group 135 205.39 35.21% 133 703.68 33.70% 100 677.55 0.68%
21 NPN Naspers 119 998.03 20.00% 118 667.14 18.67% 97 375.71 -2.62%
22 OML Old Mutual 114 805.65 14.81% 113 533.09 13.53% 92 802.87 -7.20%
23 PIK Pick N Pay Stores 119 385.22 19.39% 118 061.22 18.06% 95 888.98 -4.11%
24 RMH RMB Holdings 119 494.59 19.49% 118 169.36 18.17% 96 654.23 -3.35%
25 SAB SABMiller 116 387.15 16.39% 115 096.82 15.10% 92 740.70 -7.26%
26 SBK Standard Bank Group 126 976.75 26.98% 125 567.47 25.57% 97 657.99 -2.34%
27 SHF Steinhoff International Holdings 116 317.71 16.32% 115 028.16 15.03% 92 740.70 -7.26%
28 SHP Shoprite 118 088.43 18.09% 116 778.99 16.78% 95 517.76 -4.48%
29 SLM Sanlam 117 255.15 17.26% 115 955.07 15.96% 92 740.70 -7.26%
30 SOL Sasol 145 829.71 45.83% 144 208.66 44.21% 118 795.29 18.80%
31 TBS Tiger Brands 136 490.03 36.49% 134 973.89 34.97% 113 015.96 13.02%
32 TRU Truworths International 118 748.11 18.75% 117 431.26 17.43% 94 416.09 -5.58%
155
2008 with 0.7% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 83 658.12 -16.34% 98 595.78 -1.40% 74 559.01 -25.44%
2 ACL ArcelorMittal South Africa Ltd 68 284.26 -31.72% 65 306.12 -34.69% 114 954.31 14.95%
3 AGL Anglo American 50 853.20 -49.15% 42 349.80 -57.65% 65 220.26 -34.78%
4 AMS Anglo Platinum 56 731.01 -43.27% 52 284.61 -47.72% 118 121.98 18.12%
5 ANG Anglogold Ashanti 85 796.90 -14.20% 89 107.71 -10.89% 115 277.27 15.28%
6 APN Aspen Pharmacare Holdings 77 339.22 -22.66% 91 149.18 -8.85% 71 436.84 -28.56%
7 ARI African Rainbow Minerals Ltd 89 375.22 -10.62% 105 333.18 5.33% 82 785.66 -17.21%
8 ASA Absa Group 94 941.87 -5.06% 111 893.28 11.89% 71 436.84 -28.56%
9 BIL BHP Billiton 79 445.52 -20.55% 93 631.38 -6.37% 71 436.84 -28.56%
10 BVT Bidvest Group 92 233.77 -7.77% 108 701.88 8.70% 77 524.19 -22.48%
11 CSO Capital Shopping Centres Group Plc 78 354.76 -21.65% 92 345.96 -7.65% 71 436.84 -28.56%
12 FSR Firstrand Limited 79 821.65 -20.18% 94 074.63 -5.93% 71 436.84 -28.56%
13 GFI Gold Fields 82 905.87 -17.09% 97 709.28 -2.29% 71 436.84 -28.56%
14 GRT Growthpoint Prop Ltd 80 543.81 -19.46% 94 925.67 -5.07% 71 436.84 -28.56%
15 HAR Harmony 77 339.22 -22.66% 91 149.18 -8.85% 71 436.84 -28.56%
16 IMP Impala Platinum Hlds 121 721.97 21.72% 143 452.68 43.45% 71 436.84 -28.56%
17 INL Investec Ltd 77 986.16 -22.01% 91 911.57 -8.09% 71 788.07 -28.21%
18 LON Lonmin PLC 80 919.93 -19.08% 95 368.92 -4.63% 72 829.94 -27.17%
19 MTN MTN Group 81 431.46 -18.57% 95 971.74 -4.03% 71 436.84 -28.56%
20 NED Nedbank Group 97 198.62 -2.80% 114 552.78 14.55% 71 436.84 -28.56%
21 NPN Naspers 82 755.42 -17.24% 97 531.98 -2.47% 71 436.84 -28.56%
22 OML Old Mutual 77 549.85 -22.45% 91 397.40 -8.60% 71 506.61 -28.49%
23 PIK Pick N Pay Stores 78 770.00 -21.23% 92 835.31 -7.16% 72 776.54 -27.22%
24 RMH RMB Holdings 81 596.96 -18.40% 96 166.77 -3.83% 71 436.84 -28.56%
25 SAB SABMiller 79 084.44 -20.92% 93 205.86 -6.79% 71 436.84 -28.56%
26 SBK Standard Bank Group 89 315.04 -10.68% 105 262.26 5.26% 71 436.84 -28.56%
27 SHF Steinhoff International Holdings 79 144.62 -20.86% 93 276.78 -6.72% 73 089.16 -26.91%
28 SHP Shoprite 82 003.17 -18.00% 96 645.48 -3.35% 74 444.23 -25.56%
29 SLM Sanlam 80 137.59 -19.86% 94 446.96 -5.55% 71 436.84 -28.56%
30 SOL Sasol 116 456.22 16.46% 137 247.18 37.25% 71 436.84 -28.56%
31 TBS Tiger Brands 98 161.50 -1.84% 99 836.88 -0.16% 71 436.84 -28.56%
32 TRU Truworths International 81 672.18 -18.33% 96 255.42 -3.74% 71 436.84 -28.56%
156
2009 with 0.7% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 122 295.67 22.30% 119 955.50 19.96% 91 554.65 -8.45%
2 ACL ArcelorMittal South Africa Ltd 121 408.71 21.41% 122 722.53 22.72% 106 044.40 6.04%
3 AGL Anglo American 150 300.84 50.30% 166 899.52 66.90% 96 205.38 -3.79%
4 AMS Anglo Platinum 151 813.87 51.81% 178 619.50 78.62% 136 044.80 36.04%
5 ANG Anglogold Ashanti 121 128.64 21.13% 116 587.87 16.59% 108 474.81 8.47%
6 APN Aspen Pharmacare Holdings 115 147.27 15.15% 112 944.00 12.94% 91 554.65 -8.45%
7 ARI African Rainbow Minerals Ltd 121 909.27 21.91% 119 576.50 19.58% 96 974.51 -3.03%
8 ASA Absa Group 136 592.47 36.59% 133 978.50 33.98% 98 713.46 -1.29%
9 BIL BHP Billiton 118 315.75 18.32% 116 051.80 16.05% 94 302.72 -5.70%
10 BVT Bidvest Group 126 352.87 26.35% 123 935.00 23.94% 95 111.78 -4.89%
11 CSO Capital Shopping Centres Group Plc 116 658.09 16.66% 114 425.89 14.43% 92 065.53 -7.93%
12 FSR Firstrand Limited 117 311.11 17.31% 115 066.40 15.07% 93 445.75 -6.55%
13 GFI Gold Fields 119 397.67 19.40% 117 113.00 17.11% 94 100.92 -5.90%
14 GRT Growthpoint Prop Ltd 119 575.41 19.58% 117 287.34 17.29% 95 404.12 -4.60%
15 HAR Harmony 117 079.27 17.08% 114 839.00 14.84% 93 104.10 -6.90%
16 IMP Impala Platinum Hlds 127 512.07 27.51% 125 072.00 25.07% 102 304.94 2.30%
17 INL Investec Ltd 115 649.59 15.65% 113 436.70 13.44% 91 554.65 -8.45%
18 LON Lonmin PLC 115 147.27 15.15% 112 944.00 12.94% 91 554.65 -8.45%
19 MTN MTN Group 122 141.11 22.14% 119 803.90 19.80% 97 994.08 -2.01%
20 NED Nedbank Group 135 240.07 35.24% 132 652.00 32.65% 98 059.53 -1.94%
21 NPN Naspers 123 145.75 23.15% 120 789.30 20.79% 97 965.84 -2.03%
22 OML Old Mutual 115 247.73 15.25% 113 042.54 13.04% 91 554.65 -8.45%
23 PIK Pick N Pay Stores 121 870.63 21.87% 119 538.60 19.54% 97 456.89 -2.54%
24 RMH RMB Holdings 118 972.63 18.97% 116 696.10 16.70% 94 879.37 -5.12%
25 SAB SABMiller 117 427.03 17.43% 115 180.10 15.18% 92 890.90 -7.11%
26 SBK Standard Bank Group 128 053.03 28.05% 125 602.60 25.60% 103 112.81 3.11%
27 SHF Steinhoff International Holdings 117 465.67 17.47% 115 218.00 15.22% 93 425.38 -6.57%
28 SHP Shoprite 122 875.27 22.88% 120 524.00 20.52% 98 181.11 -1.82%
29 SLM Sanlam 118 933.99 18.93% 116 658.20 16.66% 91 554.65 -8.45%
30 SOL Sasol 147 991.27 47.99% 145 159.00 45.16% 109 896.96 9.90%
31 TBS Tiger Brands 145 518.31 45.52% 142 733.40 42.73% 99 181.94 -0.82%
32 TRU Truworths International 121 754.71 21.75% 119 424.90 19.42% 97 344.48 -2.66%
157
2010 with 0.7% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 135 290.54 35.29% 135 281.20 35.28% 111 259.55 11.26%
2 ACL ArcelorMittal South Africa Ltd 76 381.04 -23.62% 72 793.51 -27.21% 96 725.04 -3.27%
3 AGL Anglo American 106 672.31 6.67% 106 409.50 6.41% 70 446.17 -29.55%
4 AMS Anglo Platinum 87 010.31 -12.99% 95 008.77 -4.99% 97 894.81 -2.11%
5 ANG Anglogold Ashanti 106 420.37 6.42% 106 355.00 6.35% 89 747.85 -10.25%
6 APN Aspen Pharmacare Holdings 131 458.74 31.46% 131 449.40 31.45% 105 420.77 5.42%
7 ARI African Rainbow Minerals Ltd 135 790.34 35.79% 135 781.00 35.78% 111 491.39 11.49%
8 ASA Absa Group 143 953.74 43.95% 143 944.40 43.94% 119 287.40 19.29%
9 BIL BHP Billiton 132 025.18 32.03% 132 015.84 32.02% 108 064.27 8.06%
10 BVT Bidvest Group 143 520.58 43.52% 143 511.24 43.51% 118 869.98 18.87%
11 CSO Capital Shopping Centres Group Plc 129 676.12 29.68% 129 666.78 29.67% 105 816.10 5.82%
12 FSR Firstrand Limited 131 691.98 31.69% 131 682.64 31.68% 105 420.77 5.42%
13 GFI Gold Fields 133 124.74 33.12% 133 115.40 33.12% 109 079.84 9.08%
14 GRT Growthpoint Prop Ltd 133 164.73 33.16% 133 155.38 33.16% 109 111.37 9.11%
15 HAR Harmony 130 792.34 30.79% 130 783.00 30.78% 106 938.09 6.94%
16 IMP Impala Platinum Hlds 142 121.14 42.12% 142 111.80 42.11% 117 502.11 17.50%
17 INL Investec Ltd 129 659.46 29.66% 129 650.12 29.65% 105 420.77 5.42%
18 LON Lonmin PLC 129 126.34 29.13% 129 117.00 29.12% 105 420.77 5.42%
19 MTN MTN Group 140 555.10 40.56% 140 545.76 40.55% 110 004.85 10.00%
20 NED Nedbank Group 143 853.78 43.85% 143 844.44 43.84% 111 855.47 11.86%
21 NPN Naspers 136 956.54 36.96% 136 947.20 36.95% 112 554.16 12.55%
22 OML Old Mutual 129 126.34 29.13% 129 117.00 29.12% 105 420.77 5.42%
23 PIK Pick N Pay Stores 134 849.05 34.85% 134 839.71 34.84% 111 148.04 11.15%
24 RMH RMB Holdings 133 258.02 33.26% 133 248.68 33.25% 105 420.77 5.42%
25 SAB SABMiller 131 475.40 31.48% 131 466.06 31.47% 105 974.87 5.97%
26 SBK Standard Bank Group 141 987.86 41.99% 141 978.52 41.98% 109 700.21 9.70%
27 SHF Steinhoff International Holdings 131 225.50 31.23% 131 216.16 31.22% 107 211.01 7.21%
28 SHP Shoprite 136 689.98 36.69% 136 680.64 36.68% 112 387.08 12.39%
29 SLM Sanlam 132 591.62 32.59% 132 582.28 32.58% 105 420.77 5.42%
30 SOL Sasol 164 112.34 64.11% 164 103.00 64.10% 105 420.77 5.42%
31 TBS Tiger Brands 153 416.62 53.42% 153 407.28 53.41% 114 008.57 14.01%
32 TRU Truworths International 135 790.34 35.79% 135 781.00 35.78% 111 545.49 11.55%
158
2001 to 2010 with 0.7% transaction cost
BH0 BH1 MACD
Code Share name End value % Change End value % Change End value % Change
1 ABL African Bank Invest 998 214.12 25.87% 976 324.12 25.59% 130 375.56 2.69%
2 ACL ArcelorMittal South Africa Ltd 5 132 117.66 48.26% 4 582 222.72 46.59% 1 001 671.54 25.91%
3 AGL Anglo American 310 042.76 11.98% 268 598.23 10.39% 37 388.40 -9.37%
4 AMS Anglo Platinum 259 954.91 10.02% 257 410.41 9.92% 490 441.34 17.24%
5 ANG Anglogold Ashanti 336 533.83 12.90% 321 936.14 12.40% 193 043.73 6.80%
6 APN Aspen Pharmacare Holdings 1 973 594.60 34.75% 1 986 064.16 34.83% 149 922.28 4.13%
7 ARI African Rainbow Minerals Ltd 946 947.91 25.21% 946 935.95 25.21% 886 795.65 24.39%
8 ASA Absa Group 604 237.87 19.71% 600 057.44 19.62% 46 324.28 -7.41%
9 BIL BHP Billiton 939 314.76 25.11% 871 904.57 24.18% 176 278.64 5.83%
10 BVT Bidvest Group 408 211.53 15.10% 388 155.12 14.53% 40 751.90 -8.59%
11 CSO Capital Shopping Centres Group Plc 110 109.46 0.97% 107 626.54 0.74% 88 876.46 -1.17%
12 FSR Firstrand Limited 348 098.14 13.28% 339 993.01 13.02% 56 039.09 -5.63%
13 GFI Gold Fields 531 300.07 18.18% 500 102.37 17.46% 457 801.81 16.43%
14 GRT Growthpoint Prop Ltd 594 071.30 19.50% 621 716.55 20.05% 138 389.40 3.30%
15 HAR Harmony 263 817.71 10.19% 251 297.05 9.65% 1 276 201.40 29.00%
16 IMP Impala Platinum Hlds 612 289.34 19.87% 632 528.00 20.26% 355 081.29 13.51%
17 INL Investec Ltd 113 067.40 1.24% 103 460.63 0.34% 75 079.39 -2.83%
18 LON Lonmin PLC 195 588.87 6.94% 191 920.54 6.74% 219 439.85 8.18%
19 MTN MTN Group 564 142.63 18.89% 535 433.21 18.27% 83 940.14 -1.74%
20 NED Nedbank Group 100 842.74 0.08% 96 021.63 -0.41% 60 277.49 -4.94%
21 NPN Naspers 1 287 738.41 29.12% 1 173 282.05 27.92% 331 434.78 12.73%
22 OML Old Mutual 71 835.64 -3.25% 69 586.57 -3.56% 48 110.82 -7.06%
23 PIK Pick N Pay Stores 422 034.40 15.49% 415 956.57 15.32% 33 545.61 -10.35%
24 RMH RMB Holdings 437 944.73 15.92% 425 283.94 15.58% 47 193.70 -7.23%
25 SAB SABMiller 454 230.80 16.34% 429 858.23 15.70% 56 299.21 -5.58%
26 SBK Standard Bank Group 433 349.43 15.79% 416 968.11 15.35% 33 246.24 -10.43%
27 SHF Steinhoff International Holdings 423 922.32 15.54% 417 585.87 15.37% 122 983.46 2.09%
28 SHP Shoprite 1 368 057.83 29.90% 1 385 581.47 30.07% 59 097.57 -5.12%
29 SLM Sanlam 355 344.45 13.52% 350 209.77 13.35% 66 671.84 -3.97%
30 SOL Sasol 844 655.95 23.78% 658 473.07 20.74% 304 587.98 11.78%
31 TBS Tiger Brands 577 277.78 19.16% 573 641.74 19.09% 86 924.35 -1.39%
32 TRU Truworths International 2 167 652.40 36.02% 1 980 279.04 34.79% 215 403.32 7.98%