Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers

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dc.contributor.authorRaubenheimer, H
dc.date.accessioned2016-07-18T13:43:03Z
dc.date.available2016-07-18T13:43:03Z
dc.date.issued2011
dc.date.updated2016-07-12T07:43:53Z
dc.description.abstractModern portfolio theory is founded on an understanding of longitudinal volatility but it is the cross-sectional dispersion among investment returns that provide active portfolio managers with their competitive investment opportunities. The varying cross-sectional volatility in the South African equity market provides varying opportunity sets for active managers: the higher the cross-sectional volatility, the greater the opportunity for active risk taking, all other things being equal. This article argues that cross-sectional volatility must be considered hand-in-hand with risk limits and active risk targets when investment mandates are set and when mandated risk compliance is monitored.en_ZA
dc.identifier.apacitationRaubenheimer, H. (2011). Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers. <i>South African Journal of Business Management</i>, http://hdl.handle.net/11427/20445en_ZA
dc.identifier.chicagocitationRaubenheimer, H "Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers." <i>South African Journal of Business Management</i> (2011) http://hdl.handle.net/11427/20445en_ZA
dc.identifier.citationRaubenheimer, H. (2011). Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers. South African Journal of Business Management, 42(2):15-25.en_ZA
dc.identifier.issn2078-5585en_ZA
dc.identifier.ris TY - Journal Article AU - Raubenheimer, H AB - Modern portfolio theory is founded on an understanding of longitudinal volatility but it is the cross-sectional dispersion among investment returns that provide active portfolio managers with their competitive investment opportunities. The varying cross-sectional volatility in the South African equity market provides varying opportunity sets for active managers: the higher the cross-sectional volatility, the greater the opportunity for active risk taking, all other things being equal. This article argues that cross-sectional volatility must be considered hand-in-hand with risk limits and active risk targets when investment mandates are set and when mandated risk compliance is monitored. DA - 2011 DB - OpenUCT DP - University of Cape Town J1 - South African Journal of Business Management LK - https://open.uct.ac.za PB - University of Cape Town PY - 2011 SM - 2078-5585 T1 - Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers TI - Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers UR - http://hdl.handle.net/11427/20445 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/20445
dc.identifier.vancouvercitationRaubenheimer H. Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers. South African Journal of Business Management. 2011; http://hdl.handle.net/11427/20445.en_ZA
dc.languageengen_ZA
dc.publisherAPMen_ZA
dc.publisher.departmentSchool of Management Studiesen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.sourceSouth African Journal of Business Managementen_ZA
dc.source.urihttp://www.sajbm.com/
dc.titleVarying cross-sectional volatility in the South African equity market and the implications for the management of fund managersen_ZA
dc.typeJournal Articleen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceArticleen_ZA
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