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Showing 1 to 4 of 4 for “"returns based style analysis"”.
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Identifying and correcting misclassified South African equity trusts using style analysis
The concept of style analysis is rapidly spreading in the money management business. In addition to it's use in the areas of benchmarking, portfolio structuring, risk control and performance attribution, style analysis has also been shown to be a powerful tool for identifying and evaluating the …
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Style adjusted performance of South African general equity unit trusts
… are able to add value after adjusting for style exposure. The analysis is performed from January 2003 to December 2012 using three alternative methodologies including unconstrained regressions, returns-based style analysis and return decomposition. The results indicate that the majority of …
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An investigation into the style and asset class adjusted performance of South African multi-asset funds
… unit trusts in order to determine their style and asset class exposure over time. The objective is to ascertain whether South African multi-asset fund managers can realise outperformance, that exceeds what can be realised through exposure to representative, investable, style and asset …
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Constructing low cost core-satellite portfolios with multiple risk constraints: practical applications to Robo advising in South Africa using active, passive and smart-beta strategies
… passive, and smart-beta investment management styles by introducing a low-cost portfolio construction technique, for core-satellite portfolio management, which contributes to the risk and tracking error budgeting process. Core-satellite portfolios are designed to expose the portfolio to a …