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. / Dissertation (MBA)--University of Pretoria, 2014. / zkgibs2015 / Gordon Institute of Business Science (GIBS) / MBA / Unrestricted
Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:up/oai:repository.up.ac.za:2263/43995 |
Date | January 2014 |
Creators | Sham, Tsz Ching Emic |
Contributors | Muller, Chris, ichelp@gibs.co.za |
Source Sets | South African National ETD Portal |
Language | English |
Detected Language | English |
Type | Mini Dissertation |
Rights | © 2014 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. |
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