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Determining whether active investment, using a combination of investment styles, out-performs passive investment
Dissertation (MBA)--University of Pretoria, 2014.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2015
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| _version_ | 1867613439831048192 |
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| access_status_str | Open Access |
| author2 | Muller, Chris |
| author_browse | Muller, Chris |
| author_facet | Muller, Chris |
| collection | Thesis |
| dc_rights_str_mv | © 2014 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. |
| description | Dissertation (MBA)--University of Pretoria, 2014. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/43995 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:36:10.076Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/43995 Determining whether active investment, using a combination of investment styles, out-performs passive investment Muller, Chris ichelp@gibs.co.za Sham, Tsz Ching Emic UCTD Investments Quantitative research Dissertation (MBA)--University of Pretoria, 2014. 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. zkgibs2015 Gordon Institute of Business Science (GIBS) MBA Unrestricted 2015-03-13T11:35:24Z 2015-03-13T11:35:24Z 2015-03-24 2014 Mini Dissertation Sham, TCE 2014, Determining whether active investment, using a combination of investment styles, out-performs passive investment, MBA Mini Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/43995> http://hdl.handle.net/2263/43995 en © 2014 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Investments Quantitative research Determining whether active investment, using a combination of investment styles, out-performs passive investment |
| title | Determining whether active investment, using a combination of investment styles, out-performs passive investment |
| title_full | Determining whether active investment, using a combination of investment styles, out-performs passive investment |
| title_fullStr | Determining whether active investment, using a combination of investment styles, out-performs passive investment |
| title_full_unstemmed | Determining whether active investment, using a combination of investment styles, out-performs passive investment |
| title_short | Determining whether active investment, using a combination of investment styles, out-performs passive investment |
| title_sort | determining whether active investment using a combination of investment styles out performs passive investment |
| topic | UCTD Investments Quantitative research |
| url | http://hdl.handle.net/2263/43995 |