dc.contributor.advisor |
Muller, Chris |
|
dc.contributor.postgraduate |
Sham, Tsz Ching Emic |
|
dc.date.accessioned |
2015-03-13T11:35:24Z |
|
dc.date.available |
2015-03-13T11:35:24Z |
|
dc.date.created |
2015-03-24 |
|
dc.date.issued |
2014 |
en_ZA |
dc.description |
Dissertation (MBA)--University of Pretoria, 2014. |
en_ZA |
dc.description.abstract |
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. |
en_ZA |
dc.description.availability |
Unrestricted |
en_ZA |
dc.description.degree |
MBA |
|
dc.description.department |
Gordon Institute of Business Science (GIBS) |
en |
dc.description.librarian |
zkgibs2015 |
en_ZA |
dc.identifier.citation |
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> |
en_ZA |
dc.identifier.uri |
http://hdl.handle.net/2263/43995 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
University of Pretoria |
en_ZA |
dc.rights |
© 2014 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. |
en_ZA |
dc.subject |
UCTD |
|
dc.subject |
Investments |
en_ZA |
dc.subject |
Quantitative research |
en_ZA |
dc.title |
Determining whether active investment, using a combination of investment styles, out-performs passive investment |
en_ZA |
dc.type |
Mini Dissertation |
en_ZA |