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 The Sharenet Daily 
Tuesday, 25 November 2014 - 20:00
Top News
SA Business
Company News
Company Results
World Markets (Spot Prices)
JSE Today
JSE Trading Statistics
Major Moves
Index Summary
Latest Consensus Changes / Results Expected
Recent Dividends / Ex Div
Upcoming AGMs
Stock Exchange News Service (SENS)

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A previous article looked at why capital protection is an important factor when choosing a fund manager. Today we distinguish between good and bad volatility. In short, the volatility of the fund indicates how predictable the returns are. When a fund’s volatility is low, the monthly returns are very close to the average return over the period you are looking at (i.e. relatively predictable). The volatility of the fund is typically measured by standard deviation, how the much the monthly returns deviate from the average return. A money market fund will normally have low volatility. The opposite is true for equity funds whose volatility tends to be high, and the return predictability very low, in the short term.

The graph below shows the monthly returns of a money market fund compared to that of an equity fund over the past 5 years.

The graph above shows how stable money market returns are compared to an equity fund. The graph below shows the standard deviation of the funds.

But not all volatility is bad. Standard deviation takes into account up and downside volatility, but as investor you should be more concerned with downside volatility or loss standard deviation.

The graph below shows the monthly return distribution of 3 equity funds over the past 5 years.

Let’s first look at some statistics of the funds

Fund 1’s returns are the most concentrated compared to the other two funds. The fund does have a few months that are on the edges, but most months were between -2% and 2%. The fund also had the least number of negative months.

The returns for Fund 2 are slightly more spread out than Fund 1, but Fund 2’s returns are much more uniformly spread between -3% and 5%. The returns aren’t as concentrated as Fund 1. Fund 2 also has the highest average monthly return.

Fund 3 is the most spread out and also has the most negative months. The fund also had the lowest month return (-10.1%).

The graphs below plot the standard deviation (left) and loss standard deviation (right)

Because Fund 1’s returns are much more concentrated around the average return, its standard deviation is lower than the other two funds. Fund 2 and Funds 3 returns are almost equally spread out from the average monthly returns. That is why their standard deviation is similar, despite Fund 2 having more positive months than Fund 3.

This is why it is better to look at the loss standard deviation instead of only the normal standard deviation. On the right had side we can see that Fund 1 and Fund 2 loss standard deviation is very similar. The additional volatility of Fund 2, compared to Fund 1, is due to spread out of its positive months.

On the normal standard deviation and loss standard deviation, Fund 3 comes off the worst. The returns for the fund are most unpredictable and the chances of having a negative month are the highest.

Based solely on the quantitative information above we will tend to make use of Fund 2 in our solutions. While the fund’s returns may be more volatile than the other two funds, the volatility is mostly on the positive side. Naturally, in reality our process looks more in depth at both the quants and large emphasis is placed on the qualitative research before making use of any fund in our solutions.

Kind regards,

Gerbrandt Kruger

021 914 4966

Tue, 25 Nov 2014
Top News
South Africa's rand firmed against the dollar on Tuesday after the latest GDP data showed the strongest quarterly growth since late last year, while a local survey pointed to an improvement in business confidence.  Full story

South African stocks ended lower on Tuesday, dragged down by mining shares as metal prices fell, but Steinhoff jumped after the furniture firm unveiled a $5.7 billion deal to enter the apparel market.  Full story
The St. Louis area braced for another day of protests on Tuesday after a grand jury cleared a white police officer in the fatal August shooting of an unarmed black teenager, sparking a night of violent and racially charged rioting.  Full story
Gunshots were heard and bottles were thrown as anger rippled through a crowd outside the Ferguson Police Department in suburban St. Louis after authorities on Monday announced that a grand jury voted not to indict a white officer in the August shooting death of an unarmed black teen.  Full story
Scuffles erupted after Hong Kong authorities cleared part of a pro-democracy protest camp in the bustling district of Mong Kok on Tuesday following a court order to reopen a road, with several demonstrators taken away in police vans.  Full story
A surprising upward revision in U.S. third-quarter economic growth set off an early rally on Wall Street on Tuesday only to see prices. . .  Full story
Gold edged up to around $1,200 an ounce on Tuesday after better-than-expected U.S. economic growth data boosted the dollar only briefly and as. . .  Full story
Hong Kong shares inched down on Tuesday as investors turned cautious and consolidated positions after gains spurred by China's surprise lending-rate cut.. . .  Full story
The Osaka Exchange started trading of the JPX-Nikkei Index 400 futures on Tuesday amid increasing interest from foreign investors seeking long-term investment in companies. . .  Full story

China stocks closed up on Tuesday as domestic markets continued to rally after the central bank lowered a key short-term money rate, seen. . .  Full story
Japan Exchange Group Inc (JPX) has decided not to introduce extended trading hours on the Tokyo Stock Exchange for now, Atsushi Saito,. . .  Full story
Australian shares fell 0.8 percent on Tuesday, nearly wiping out all of their China-inspired gains in the previous session, as falling commodity prices hit. . .  Full story
Gold was slightly lower on Monday as buying that propelled bullion to three-week highs on Friday ran out of steam after a surprise. . .  Full story
SA Business
South Africa's power utility Eskom said on Tuesday it needs a substantial injection of funds to ease a cash crunch and. . .  Full story
South Africa's quarterly business confidence index rose further in the fourth quarter of 2014, climbing back into positive territory for the. . .  Full story
South Africa's GDP grew by an annualised 1.4 percent quarter-on-quarter in the third quarter of 2014, from a revised 0.5 percent. . .  Full story
U.S. private equity firm Carlyle Group LP has agreed to acquire a stake in South African tyre dealer Tiger Wheel &. . .  Full story

Africa's largest telecoms operator, MTN, put a positive gloss on Tuesday's devaluation of the naira, saying the weaker Nigerian currency would. . .  Full story
South Africa's Steinhoff International will buy clothing retailer Pepkor in a $5.7 billion deal that gives the budget furniture firm exposure. . .  Full story
The global economy will gradually improve over the next two years but Japan will grow less than previously expected while the euro zone. . .  Full story
U.S. private equity firm Carlyle Group LP has agreed to acquire a stake in South African tyre dealer Tiger Wheel & Tyre, according. . .  Full story

Naspers, Africa's largest company by market value, on Tuesday reported a 22 percent increase in first-half earnings, helped by a strong contribution from Hong Kong-based Internet business Tencent.. . .  Full story
World Markets (Spot Prices)
NameTimeRPMove% Move
JSE Overall17:0050507.59-219.63-0.43%
JSE Top 4017:0044909.52-173.25-0.38%
JSE Gold17:001117.584.090.37%
JSE Financial17:0040545.44-286.13-0.70%
JSE Industrial17:0070106.67-67.77-0.10%
JSE Indust 2517:0061994.6514.450.02%
JSE Resource17:0046571.56-492.56-1.05%
DJ Futures19:4817805.0012.000.07%
DJ Ind19:5817842.6724.770.14%
SP 50019:582070.541.130.05%
FTSE 10018:356731.141.350.02%
All Ords07:445320.90-28.10-0.53%
NZSE 5006:485442.68-29.00-0.53%
NameTimeRPMove% Move
Gold $19:591196.27-2.23-0.19%
Gold R19:5813093.70-104.72-0.79%
Gold R/kg19:58420914-3117-0.74%
Silver $19:5916.5360.06000.36%
Platinum $19:591220.9021.701.81%
Palladium $19:59794.904.950.63%
Brent Crude19:5878.55-1.81-2.25%
Rand / Dollar19:5910.9457-0.0647-0.59%
Rand / Pound19:5517.1595-0.1062-0.62%
Rand / Euro19:5513.6393-0.0662-0.48%
Rand / NZD19:588.5428-0.1184-1.37%
Rand / AUD19:559.3298-0.1649-1.74%
Yen / Dollar19:59117.9290-0.3900-0.33%
Euro / Dollar19:590.8025-0.0015-0.19%
Dollar / Euro19:591.24590.00210.17%
Pound / Dollar19:550.6363-0.0002-0.03%

Click here for the Sharenet Spot Price page
The JSE Today

Trading Statistics
* Includes all listed instruments on the JSE
Major Moves Up
SharenameSaleMove% MoveVolume
1 ROCKWELL  3347729.96.%23750
2 DELTA  3255118.61.%1500
3 WILDRNESS  4506015.38.%1500
4 ATLATSA  2302713.30.%14217
5 BASREAD  488388.44.%42059
6 FONEWORX  287228.30.%5027
7 AMECOR  275207.84.%17281
8 ZCI  331196.09.%1000
9 NAMPAK  43652255.43.%4938312
10 STEINHOFF  58702734.88.%49739969
11 ADVHLTH  15642.63.%73611
12 PHUMELELA  1950492.58.%200
13 HUDACO  96002402.56.%35704
14 DISTELL  134053252.48.%59024
15 COMAIR  455112.48.%13197
16 TRUWTHS  74501712.35.%2399497
17 PSG  117632632.29.%72584
18 NET1UEPS  140003002.19.%4300
19 ONELOGIX  468102.18.%229801
20 JDGROUP  2885602.12.%38362

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Major Moves Down
SharenameSaleMove% MoveVolume
1 BRAIT  7005-1839-20.79.%21754205
2 HOSP-B  250-50-16.67.%305204
3 CARGO  1800-235-11.55.%6440
4 CENRAND  345-45-11.54.%1300
5 OMNIA  19300-2273-10.54.%651129
6 EQUITES  1126-124-9.92.%232
7 EHSV  380-30-7.32.%100
8 AQUARIUS  255-20-7.27.%3529254
9 OANDO  120-9-6.98.%7286
10 SEKUNJALO  131-9-6.43.%96392
11 BOWCALF  800-50-5.88.%57304
12 PETMIN  151-9-5.63.%205467
13 ASCENDIS  1511-88-5.50.%533437
14 TASTE  333-16-4.58.%80177
15 DRDGOLD  256-12-4.48.%89934
16 AVENG  1750-79-4.32.%1039640
17 KEATON   231-9-3.75.%17530
18 SANTOVA  260-10-3.70.%169283
19 INTEWASTE  130-5-3.70.%45000
20 AECI  13309-511-3.70.%182468

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New Highs
SharenameSaleHighMove% MoveVolume
1 OCEANA  10100102662002.02.%155830
2 TELKOM  65906824761.17.%8749425
3 RCL  17551867201.15.%104732
4 NETCARE  36293684300.83.%2914614
5 LEWIS  77857804600.78.%324362
6 ARROW-A  88089350.57.%1227036
7 DISCOVERY  1102211049450.41.%1478848
8 PNR-FOODS  1371213980100.07.%155684
9 TORRE  4154500.135353
10 CBH  4905000.75600
11 RHODES  125550000.1339013
12 MPACT  37003999-24-0.64.%445535
13 EOH  1155111650-89-0.76.%144653
14 EMIRA  16661749-14-0.83.%691064
15 B-AFRICA  1810018452-182-1.00.%1001391
16 AECI  1330913845-511-3.70.%182468
17 BRAIT  70059500-1839-20.79.%21754205

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New Lows
SharenameSaleLowMove% MoveVolume
1 HOSP-B  250215-50-16.67.%305204
2 OMNIA  1930018653-2273-10.54.%651129
3 BELL  13501214-25-1.82.%3274
4 THARISA  125012230.46920
5 BASREAD  488448388.44.%42059

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Index Summary
Index NameRPMove% Move
Top 4044,909.52-173.25-0.38%
Mid Cap68,344.24-579.36-0.84%
Small Cap57,708.3547.520.08%
Resource 2046,571.56-492.56-1.05%
Industrial 2561,994.6514.450.02%
Financial 1515,605.51-75.86-0.48%
Financial & Ind. 3066,208.69-90.99-0.14%
All Share50,507.59-219.63-0.43%
Oil & Gas 39,305.37-386.69-0.97%
Mining 27,134.81-298.94-1.09%
Gold Mining1,117.584.090.37%
Platinum Mining36.71-.30-0.81%
GENERAL MINING7,997.48-107.13-1.32%
Oil & Gas Producers 21,133.77-207.92-0.97%
Basic Materials 24,502.30-306.85-1.24%
Chemicals 23,640.72-1656.92-6.55%
Forestry & Paper 32,167.33-472.62-1.45%
Industrial Metals 15,
Industrials 47,411.06-289.14-0.61%
General Industrials 161.01-.76-0.47%
Consumer Goods 62,413.29560.300.91%
Automobiles & Parts 8,129.41-90.57-1.10%
Household Goods401.40174.50%
Health Care 10,300.60-24.47-0.24%
Beverages 207.281.540.75%
Index NameRPMove% Move
Food Producers 9,375.40-54.98-0.58%
Personal Goods 1,002.569.590.97%
Consumer Services 13,956.57-137.59-0.98%
General Retailers 73,589.37-244.50-0.33%
Travel & Leisure 6,234.73-2.25-0.04%
Media 324.49-5.34-1.62%
Support Services 2,928.8561.272.14%
Telecommunications 10,924.25-34.16-0.31%
Financials 40,545.44-286.13-0.70%
Banks 71,226.40-339.35-0.47%
Non-life Insurance 55,127.97219.490.40%
Life Insurance 38,122.30-333.63-0.87%
General Financial 3,949.96-108.44-2.67%
Technology 48,345.99-906.38-1.84%
SHARIAH TOP40 3,738.95-22-0.57%
FTSE/JSE SHARIAH ALL3,961.15-22-0.56%
COAL MINING14,307.941631.15%
FTSE JSE Fledgling 6,542.49-4-0.07%
FTSE/JSE Alt X 1,379.78-7-0.48%
RESOURCE 25,339.06-273-1.07%
DIVIDEND PLUS232.33-0-0.15%
FTSE/JSE RAFI 409,679.73-44-0.45%
Capped Top 4023,931.75-88-0.37%
Capped All Share25,609.63-110-0.43%
JSE TABACO 8,171.30-17-0.21%

Click here for the Sharenet Index Summary page
Latest Consensus Changes**
CodeCompany NameStatusUpdated
Results Expected**
ExpectedCompany NameFin. Date
26/11/2014ANGLDSeptember 2014 (Q)
26/11/2014ANGLD-ASeptember 2014 (Q)
26/11/2014ANGLD-BSeptember 2014 (Q)
26/11/2014ANGLD-ESeptember 2014 (Q)
26/11/2014DELTA INTMay 2014 (Q)

Recent Dividends**
Share NameDec-DateLDTPay-DateAmount
NETCARE24/11/1423/01/1502/02/15ZAR 0.4800
PNR FOODS24/11/1423/01/1502/02/15ZAR 1.5600
PAN-AF21/11/1428/11/1419/12/14GBP 0.0081
AECI 5.5%P21/11/1405/12/1415/12/14ZAR 0.4772
TSO SUN20/11/1405/12/1415/12/14ZAR 0.2900
Ex Div**
Share NameDec-DateLDTPay-DateAmount
BRAIT PREF22/10/1421/11/1401/12/14ZAR 4.7470
IVT PREF04/11/1421/11/1401/12/14ZAR 3.8739
VODACOM10/11/1421/11/1401/12/14ZAR 3.7500
DATATEC15/10/1421/11/1401/12/14ZAR 0.8800
REBOSIS05/11/1421/11/1401/12/14ZAR 0.5095

Upcoming AGMs**
CodeCompany NameDateStatus
HYPHyprop Investments Ltd.25/11/2014Confirmed
HYPCHyprop Investments Ltd.25/11/2014Confirmed
SPGSuper Group Ltd.25/11/2014Confirmed
SPGPSuper Group Ltd.25/11/2014Confirmed
SPG001Super Group Ltd.25/11/2014Confirmed

Stock Exchange News Service
25/11/201417:10MINE RESTORATION INVESTMENTS LTD - Trading Statement
25/11/201417:00CAPITEC BANK HOLDINGS LIMITED - Dealing In Securities By An Associate Of A Direc...
25/11/201417:00AFRICAN RAINBOW MINERALS LIMITED - Dealings in securities by directors and the c...
25/11/201416:45LONMIN PLC - Notification of Transactions of Directors and Persons Discharging M...
25/11/201416:34CROOKES BROTHERS LIMITED - Trading statement
25/11/201416:26PRIMESERV GROUP LIMITED - Unaudited results for the six months ended 30 Septembe...
25/11/201416:22NU-WORLD HOLDINGS LIMITED - Dealing In Securities By The Directors Of Nu-World A...
25/11/201416:12THE BIDVEST GROUP LIMITED - Divisional Day - Management update on general tradin...
25/11/201415:59NEDBANK LIMITED - Dividend Announcement - INPNIK
25/11/201415:30HYPROP INVESTMENTS LIMITED - Results of annual general meeting
25/11/201415:15BAYPORT SECURITISATION (RF) LTD - Bayport Securitisation monthly investor report
25/11/201415:15ADCORP HOLDINGS LIMITED - ADCP08-Full Capital Redemption
25/11/201415:10INGUZA INVESTMENTS (RF) LIMITED - INGR02 & ING254-New Instrument Listing
25/11/201414:48BARLOWORLD LIMITED - Clarification of corporate action dates for Div Number 172 ...
25/11/201414:47BARLOWORLD LIMITED - Directors dealings in securities
25/11/201414:42AFRICAN AND OVERSEAS ENTERPRISES LD - Change to the board of directors
25/11/201414:40REX TRUEFORM CLOTHING COMPANY LTD - Change to the board of directors
25/11/201414:35CADIZ HOLDINGS LIMITED - Notification of Interest in Shares
25/11/201414:15AFRICAN OXYGEN LIMITED - Granting of awards to directors
25/11/201414:10TRANSPACO LIMITED - Notification of Interest in Shares
25/11/201413:42FORTRESS INCOME FUND LIMITED - Results of the accelerated bookbuild
25/11/201413:15THE THEKWINI WAREHOUSING CONDUIT (RF) LTD - New Financial Instrument Listing - T...
25/11/201412:47GIJIMA GROUP LIMITED - Rights Offer Finalisation Announcement
25/11/201412:30MASTER DRILLING GROUP LTD - Availability of AFS for year ended 31 December 2013
25/11/201411:20VILLAGE MAIN REEF LIMITED - Further Cautionary Announcement
25/11/201411:19HOSPITALITY PROPERTY FUND LIMITED - Trading statement
25/11/201411:11BOWLER METCALF LIMITED - Section 122 Notice
25/11/201410:25THE SPAR GROUP LIMITED - Dealings in securities by a director
25/11/201410:10GRINDROD LIMITED - Notification in terms of section 122(3) of the Companies Act ...
25/11/201410:00BLUE TITANIUM CONDUIT (RF) LIMITED - New Financial Instrument Listing Announceme...
25/11/201409:50ANCHOR GROUP LIMITED - Amended announcement regarding the general issue of share...
25/11/201409:27ACSION LIMITED - Abridged Pre-listing Statement of Acsion Limited
25/11/201409:15GLENCORE PLC - Notification of major interest in shares
25/11/201409:10NQABA FINANCE 1 (RF) LIMITED - Interest Rate Resets - NQ1A11-NQF1D7
25/11/201409:03BRAIT SE - Braits proposed disposal of its 37.06% interest in Pepkor to Steinhof...
25/11/201409:00GLENCORE PLC - Share repurchase
25/11/201409:00LOMBARD INSURANCE COMPANY LIMITED - LOM01 - New Listing-Lombard Insurance Compan...
25/11/201409:00FORTRESS INCOME FUND LIMITED - Accelerated book build
25/11/201408:58STEINHOFF INTERNATIONAL HOLDINGS LTD - Detailed terms announcement of the acquis...
25/11/201408:55THE PIVOTAL FUND LIMITED - Abridged prospectus-Opening of offer to invited inves...
25/11/201408:53AFRICA ETF ISSUER LTD (RF) - Listing of additional AfricaPlatinum debentures - E...
25/11/201408:20ANCHOR GROUP LIMITED - General issue of shares for cash and renewal of cautionar...
25/11/201408:00BLUE TITANIUM CONDUIT (RF) LIMITED - New Financial Instrument Listing Announceme...
25/11/201407:05NASPERS LIMITED - Reviewed Interim Financial Results for the six months to 30 Se...
25/11/201407:05RHODES FOOD GROUP HOLDINGS LIMITED - Preliminary audited summarised consolidated...
25/11/201407:05OMNIA HOLDINGS LIMITED - Unaudited results for the six months ended 30 September...
25/11/201407:05TRANSACTION CAPITAL LIMITED - Provisional audited summarised consolidated financ...

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