Determining whether active investment, using a combination of investment styles, out-performs passive investment

The objective of this research paper was to examine the possibility of active investment out-performing the passive investment by using a combination-based investment style for an extensive period. The combination-based style included financial-ratio-based style, market-based style and behavioural-finance-based style in the Johannesburg Stock Exchange during the period from 1984 to 2014. The four-dimension optimisation exercise based on the combination-based style was done in the in-sampling period and the result was tested in the out-of-sample period. The results have confirmed that the combination-based style out-performed the benchmark by 13% per annum over a 14 year period, which suggested that active managers could out-perform passive investment. The out-performance could further improve by recalibrating the optimisation exercise throughout the out-of-sample period to ensure the investment style learns from and incorporates with new data.

Grantor dc:publisher

University of Pretoria

Year dc:date.issued

2014

Advisor dc:contributor.advisor

• Muller, Chris

• UCTD
• Investments
• Quantitative research

Statement dc:rights

• © 2014 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria.

Language dc:language.iso

en

Handle dc:identifier.uri

http://hdl.handle.net/2263/43995

OAI identifier oai:identifier

oai:repository.up.ac.za:2263/43995