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Using a Personal Portfolio for Identity Development with an Adolescent
Item type: Journal Article • Journal: Journal of Psychology in Africa • Authors: Suzanne Bester --- University of Pretoria, South Africa Mugsy Quinn --- University of Pretoria, South AfricaThis article reports on the findings of an instrumental case study that was exploratory and descriptive in nature. An open and flexible investigation was conducted with the purpose of gaining insight into the potential value of using a personal portfolio... -
From learning portfolios to personal development plans
Item type: Journal Article • Journal: South African Family Practice • Authors: T Gibbs --- College of Medicine and Medical Sciences, Kingdom of Bahrain D Brigden --- Faculty of Health Sciences, UK D Hellenberg --- Faculty of Health Sciences, -
The learning plan as a reflective tool for trainers of family medicine registrars
Item type: Journal Article • Journal: South African Family Practice • Authors: C Van Deventer --- University of Witwatersrand, HH Conradie --- University of Stellenbosch, SAH Moosa --- University of Witwatersrand, G Morris --- Nelson Mandela Medical School, S Smith --- University of Pretoria, M Van Rooyen --- University of Pretoria, A Derese --- Centre for Education Development, Department of Family Medicine and Primary Health Care, Faculty of Medicine and Health Sciences, J De Maeseneer --- Head of Department of Family Medicine and Primary Health Care, -
The realignment of international stock markets after the 1987 crash, with special reference to the Johannesburg Stock Exchange
Item type: Journal Article • Journal: South African Journal of Accounting Research • Authors: G D I Barr --- Department of Statistical Science, L Sharp --- Department of Economics,This paper investigates stock price associations between the world’s sixteen largest international markets in the period immediately before and after the 1987 market crash, as well as in a more recent post-crash period. The analysis suggests that the crash had... -
Portfolio strategies for hedging against rand weakness
Item type: Journal Article • Journal: South African Journal of Accounting Research • Authors: G D I Barr --- Department of Statistical Sciences, C G Holdsworth --- Department of Statistical Sciences, B S Kantor --- Department of Statistical Sciences,This paper considers how portfolios may be structured which provide protection against Rand exchange rate movement and, in particular, against Rand weakness. Two portfolio optimisation methods are used to estimate the portfolio weights of the Top 40 shares listed on... -
Portfolio rebalancing in South Africa
Item type: Journal Article • Journal: South African Journal of Accounting Research • Authors: G Sher --- Department of Actuarial Science, G D I Barr --- Department of Economics and Statistical Sciences,The theory of so-called ‘optimal’ portfolio rebalancing has emerged over the last decade in journals and working papers, but this theory has several drawbacks, being based on advanced mathematics and relying on sets of restrictive assumptions. This paper investigates rebalancing... -
Effects of the market factor on portfolio diversification: the case of market crashes
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Cheoljun Eom --- School of Business, Korea Jong Won Park --- College of Business Administration, Korea Yong H. Kim --- Carl H. Lindner College of Business, USA Taisei Kaizoji --- Graduate School of Arts and Sciences, JapanThis paper investigates empirically the effects of the market factor on the degree of portfolio diversification extracted from Markowitz's mean-variance (MV) model to explore an alternative method for improving the practical usefulness of the model. It controls for various properties... -
A Multi-directional model for identifying information system opportunities
Item type: Journal Article • Journal: De Ratione • Authors: P.M.Q. Lay --- University of Cape Town,Information Technology has a pervasive influence in business, from supporting the operations of the organization, to making a significant contribution to the competitive strategy of the enterprise. Identifying new opportunities for IT support is a major aspect of planning for... -
A review of capital market theory from a South African Perspective
Item type: Journal Article • Journal: De Ratione • Authors: D.J. Bradfield --- University of Cape Town,The vast quantity of finance literature dealing with Capital Market Theory on the New York Stock Exchange (NYSE) is evidence of the demand for research in this area. Until very recently, almost no research In this area has been conducted... -
A portfolio selection framework for the houseowner
Item type: Journal Article • Journal: De Ratione • Authors: D J Bradfield --- University of Cape Town,In this paper the portfolio selection decision of the houseowner is considered in the usual two-parameter framework. It is assumed that houseownership may not be a consequence of wealth maximization alone and that houseowners may therefore subject themselves to certain... -
Putting the squeeze on the sample covariance matrix for portfolio construction
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Brian Munro --- Cadiz Asset Management, The Terraces, South Africa David Bradfield --- Department of Statistical Sciences, South AfricaPortfolio construction plays a critical role in adding performance to a fund. Central to portfolio construction are the two primary inputs: the vector of forecast returns and the covariance matrix. Our focus is on the covariance matrix. With guidance from... -
Product diversification in South Africa’s commercial timber plantations: a way to mitigate investment risk
Item type: Journal Article • Journal: Southern Forests: a Journal of Forest Science • Authors: Verena C Griess --- Department of Forest Resources Management, Faculty of Forestry, Canada Britta Uhde --- Department of Forest and Wood Science, South Africa Cori Ham --- Institute of Forest Management, Germany Thomas Seifert --- Institute of Forest Management, GermanyWe used the portfolio method to examine how a forest company can lower investment risk by producing a mix of timber products. We derived optimum combinations of pine (Pinus patula) saw timber production and eucalypt (Eucalyptus grandis) pulpwood production at... -
What affects portfolio yield of microfinance institutions? Evidence from Bangladesh
Item type: Journal Article • Journal: African Journal of Science, Technology, Innovation and Development • Authors: Md. Aslam Mia --- Department of Development Studies, Faculty of Economics and Administration, Malaysia Md. Sohel Rana --- Department of Business Strategy and Policy, Faculty of Business and Accountancy, MalaysiaDespite the success and rapid growth of the microfinance industry worldwide, there has been very little sign of any abatement of the high interest rates. High interest rates in microfinance rescind consumer benefits and limit the outreach of microfinance institutions... -
Myths about fundamental indexing
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Lieven De Moor --- Vrije Universiteit Brussel, Faculty of Economic and Social Sciences and Solvay Business School, Belgium Fang Liu --- Beijing Foreign Studies University, China Piet Sercu --- KU Leuven, Faculty of Economics and Business, BelgiumFundamental indexing starts from the observation that in a value-weighted portfolio, any overpricing affects the stock’s portfolio weight upward and its typical return downward, and vice versa; but on average the ‘drag’ on the portfolio’s expected return caused by this... -
A comparative analysis of risk measures: A portfolio optimisation approach
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Evan Gilbert --- University of Stellenbosch Business School, South Africa Luke Meiklejohn --- Department of Actuarial Science, South AfricaInvestment portfolios are typically created to minimise the level of risk for a required level of return. This paper highlights the importance of the choice of risk metric in this process. The theoretical nature of volatility as a risk measure... -
The driving forces behind the home bias phenomenon: Evidence from Israel
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Sivan Riff --- University of Haifa, Israel Joseph Yagil --- University of Haifa and Western Galilee College, IsraelThe home bias phenomenon is a widely investigated puzzle that is still not completely resolved. Home bias is the tendency of investors to invest excessively in domestic assets, in contradiction to the traditional optimal portfolio theories. This research attempts to... -
Does the choice of fund performance measure matter?
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Christopher Adcock --- School of Finance and Management, UK Nelson Areal --- NIPE Research Centre, School of Economics and Management, Portugal Maria Céu Cortez --- NIPE Research Centre, School of Economics and Management, Portugal Benilde Oliveira --- School of Economics and Management, Portugal Florinda Silva --- NIPE Research Centre, School of Economics and Management, PortugalThis paper investigates whether investment strategies using rankings based on different portfolio performance measures lead to different future abnormal returns. A set of 13 commonly used risk-adjusted performance measures is applied to a dataset of US equity mutual funds over... -
A framework for online investment decisions
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Andrew B. Paskaramoorthy --- , South Africa Tim J. Gebbie --- , South Africa Terence L. van Zyl --- , South AfricaThe artificial segmentation of the investment management process into silos of human operators can restrict silos from collectively and adaptively pursuing a unified investment goal. In this article, we argue that the investment process can be accelerated and be made... -
Risk-based portfolio sensitivity to covariance estimation
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Hannes du Plessis --- , Paul van Rensburg --- ,Risk-based portfolio construction methods focus on optimally extracting information from the covariance matrix of asset returns, as opposed to utilising forecasts of expected returns, in determining the portfolio allocation. This improves their robustness to estimation error in means, but this... -
Consumer sentiment and time-varying betas: Testing the validity of the consumption CAPM on the Johannesburg Stock Exchange
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Javier Rojo-Suárez --- , Spain Ana Belén Alonso-Conde --- , SpainWe test both the conditional and unconditional versions of the consumption capital asset pricing model (CCAPM) on the Johannesburg Stock Exchange, for the period 1988–2018, and compare its performance with that of the CAPM and the Fama-French three- and five-factor... -
If the equal weighted portfolio is so great, why isn’t it working in South Africa?
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Byran H Taljaard --- , South Africa Eben Maré --- , South AfricaThis paper considers the recent underperformance of the equal weighted portfolio of South African Top 40 stocks relative to the market capitalisation weighted portfolio. It highlights the impact of the increased concentration of market capitalisation weights in the Top 40,... -
Portfolio diversification with cryptocurrencies – Evidence from Middle Eastern stock markets
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Sunitha Kumaran --- , Kingdom of Saudi ArabiaThe appealing features of cryptocurrency in the digital money sector have put them into the category of investable assets. Investment professionals have begun to consider their investability and diversification benefits. It is vital for investors to understand the return-risk behaviour... -
Is a sentiment-based trading strategy profitable?
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Karam Kim --- , Republic of Korea Doojin Ryu --- , Republic of Korea Jinyoung Yu --- , Republic of Korea We examine whether sentiment indices predict individual firms’ stock returns and evaluate the performances of sentiment-based trading strategies in the Korean equity market. We find that the sentiment indices (constructed using the principal component analysis (PCA) and overnight stock returns)... -
The impact of open innovation challenges on automotive component manufacturers’ competitiveness: An insight from the South African automotive industry
Item type: Journal Article • Journal: African Journal of Science, Technology, Innovation and Development • Authors: Arthur Mzwandile Gonyora [cor1] Stephen Migiro --- , South Africa Pfano Mashau --- , South Africa Bongani Ngwenya --- , South AfricaOpen innovation is a function of managing innovation challenges within an organization to achieve sustainable competitive advantage. To achieve this, organizations have to configure and regulate their strategic resources, harness their core competencies and absorptive capacity, and manage uncertainties inherent... -
What is the optimal offshore allocation for South African investors?
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Emlyn Flint --- University of Cape Town, South AfricaIn 2022, the South African Pensions Fund Act was changed to allow funds to allocate up to 45% of their portfolio to offshore investments. This is a material change to fund regulations and naturally prompts the question: what is the... -
Leveraging defence into offence: Enhancing absolute and risk-adjusted equity returns with tail risk management overlays
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Bruno Schwalbach --- University of the Witwatersrand, South Africa Christo Auret --- University of the Witwatersrand, South AfricaResearch has shown that tail risk hedging using explicit option purchases and trend-following effectively mitigate equity tail risk. This paper demonstrates that these defensive qualities can be leveraged into offence: overlaying a two-pronged tail risk management strategy that employs both... -
Sector exposures in factor portfolios: Why neutralise when you can optimise?
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Andrew Paskaramoorthy --- University of Cape Town, South Africa Emlyn Flint --- University of Cape Town, South AfricaManaging sector risk within factor portfolios has traditionally been viewed as a binary decision problem: to neutralise sector risk or not. Challenging this view, we introduce a novel conceptual framework that allows a continuum of choices, thus reframing the problem... -
Which shrinkage is better? Portfolio selection with a cleaned random matrix
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Young C. Joo --- Shanghai University, China Sung Y. Park --- Chung-Ang University, KoreaCovariance matrix estimation is of great importance in formulating a portfolio. The sample covariance matrix, the most frequently used estimator, is well known to be unstable due to the estimation error, when the sample size is small. A shrinkage approach... -
A convex combination of improved Fletcher-Reeves and Rivaie-Mustafa-Ismail-Leong conjugate gradient methods for unconstrained optimization problems and applications
Item type: Journal Article • Journal: Quaestiones Mathematicae • Authors: T. Diphofu --- University of Botswana, Botswana P. Kaelo --- University of Botswana, Botswana S. Kooepile-Reikeletseng --- University of Botswana, Botswana M. Koorapetse --- University of Botswana, Botswana C.R. Sam --- University of Botswana, BotswanaConjugate gradient methods are probably the most used methods in solving large scale unconstrained optimization problems. They have become popular because of their simplicity and low memory requirements. In this paper, we propose a hybrid conjugate gradient method based on... -
The cumulative prospect theory and fund flows in emerging markets
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Amit Pandey --- Indian Institute of Technology Roorkee, India Anil Kumar Sharma --- Indian Institute of Technology Roorkee, IndiaThis study is the first to examine the efficacy of the Cumulative Prospect Theory value of the past return (CPTV) to explain fund flow in emerging markets funds by considering the impact of fund managers’ characteristics and behavioural biases on... -
Employing behavioural portfolio theory for sustainable investment: Examining drawdown risks and ESG factors
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Aayush Poddar --- Indian Institute of Technology, India Sujoy Bhattacharya --- , R Rathish Bhatt --- Management, Goa Institute of Management, IndiaThis study uses behavioural portfolio theory (BPT) within the Markowitz Portfolio Theory framework to enhance portfolio management by focusing on sustainability and risk mitigation during market downturns. It selects portfolios to hedge against market lows using Conditional Drawdown at Risk... -
Contagion from crypto exchange hacks: Wealth effect or portfolio rebalancing?
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Dung Thi Ngoc Pham --- College of Technology and Design, University of Economics Ho Chi Minh City, Vietnam Chune Young Chung --- Ton Duc Thang University, Vietnam Doojin Ryu --- Sungkyunkwan University, KoreaThis study explores the contagion mechanism from the cryptocurrency market to stock markets of 30 countries with the highest Bitcoin trading volumes, focusing on cyberattacks targeting cryptocurrency exchanges. We identify investor-induced contagion through the wealth effect as the primary transmission... -
The bias of IID resampled backtests for rolling window mean-variance portfolios
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Andrew Paskaramoorthy --- Department of Statistical Sciences, University of Cape Town, South Africa Terence van Zyl --- University of Johannesburg, South Africa Tim Gebbie --- Department of Statistical Sciences, University of Cape Town, South AfricaBacktests on historical data are fundamental for evaluating portfolio selection rules, but their reliability is often limited by reliance on a single sample path. This reliance can lead to high estimation variance. IID resampling offers a potential solution by increasing... -
Enhancing global equity returns with trend-following and tail risk hedging overlays
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Bruno Schwalbach --- University of the Witwatersrand Johannesburg, South Africa Christo Auret --- University of the Witwatersrand Johannesburg, South AfricaThis paper demonstrates that overlaying a combination of trend-following and tail risk hedging strategies onto a global equity portfolio significantly enhances performance. These strategies are complementary. Tail risk hedging mitigates equity risk effectively during sudden market crashes, while trend-following supports... -
Text-mining approach with Black–Litterman model: A case study of Armenian pension funds
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Ruben Gevorgyan --- Head of Data Science for Business Master Program at Yerevan State University, Armenia Rita Hovhannisyan --- Yerevan State University, ArmeniaPension fund managers face challenges in acquiring, analysing, and synthesising external information to make informed investment decisions. Text-mining and sentiment analysis can aid fund managers integrate contrasting news, financial data, and market speculation into their decision rubric. Considering Armenia pension... -
Assessing the systemic risk in Rwandan banking sector using clustering approach
Item type: Journal Article • Journal: African Journal of Science, Technology, Innovation and Development • Authors: Patrick Mugenzi --- University of Rwanda, Rwanda Annie Uwimana --- University of Rwanda, RwandaThis article assessed the dynamics of homogeneity (similarities) among banks in Rwanda from 2017 to 2021 by utilizing agglomerative clustering techniques on a detailed breakdown of the banking system’s balance sheet structure. Specifically, we analyzed homogeneity in the banks’ portfolios,... -
Arbitrage opportunities in no-arbitrage portfolios: The case of Bitcoin and Treasury Bills
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Wing-Keung Wong --- Asia University, Taiwan Zhenzhen Zhu --- School of Statistics and Mathematics, Shandong University of Finance and Economics, China I-Ming Jiang --- College of Management, Yuan Ze University, Taiwan Elie Bouri --- Lebanese American University, LebanonEmploying both mean-variance portfolio optimization and stochastic dominance analysis, we examine whether including Bitcoin and 3-month US Treasury Bills could generate arbitrage opportunities and lead to better investment choices. The results show, independent of whether short sales are allowed, that:...