Unit trusts and portfolio selection on the Johannesburg Stock Exchange
The application of the standard techniques of portfolio selection on the 34 sectors comprising the JSE All Share index is undertaken for the three equal non-overlapping five-year periods between February 1965 and January 1980. Efficient portfolios in each period which carry the same risk as the mark...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
AOSIS
1982-12-01
|
| Series: | South African Journal of Business Management |
| Online Access: | https://sajbm.org/index.php/sajbm/article/view/1194 |
| _version_ | 1811251638775578624 |
|---|---|
| author | K. J. Carter J. F. Affleck-Graves A. H. Money |
| author_facet | K. J. Carter J. F. Affleck-Graves A. H. Money |
| author_sort | K. J. Carter |
| collection | DOAJ |
| description | The application of the standard techniques of portfolio selection on the 34 sectors comprising the JSE All Share index is undertaken for the three equal non-overlapping five-year periods between February 1965 and January 1980. Efficient portfolios in each period which carry the same risk as the market index are seen to outperform the market substantially. Portfolios chosen at random to span the efficient frontier in each period reveal the consistent inefficiency of 10 sectors over the 15-year period. Three of these sectors, namely Mining Holding, Mining Houses and Industrial Holding are shown to be favoured in the Association of Unit Trusts portfolio relative to these sectors' proportion of the market. On the presumption that unit trust managers attempt to act efficiently, holding these sectors is only justified if the measure of risk used in the portfolio selection algorithm, namely standard deviation of expected return, is less appropriate than other measures of risk such as earnings volatility. If standard deviation of expected return is a more appropriate measure of risk in the selection of efficient portfolios, it must be concluded that the large sophisticated investors managing the unit trusts act inefficiently. |
| first_indexed | 2024-04-12T16:23:25Z |
| format | Article |
| id | doaj.art-03209ec280b34c2eb2001e1793766e53 |
| institution | Directory Open Access Journal |
| issn | 2078-5585 2078-5976 |
| language | English |
| last_indexed | 2024-04-12T16:23:25Z |
| publishDate | 1982-12-01 |
| publisher | AOSIS |
| record_format | Article |
| series | South African Journal of Business Management |
| spelling | doaj.art-03209ec280b34c2eb2001e1793766e532022-12-22T03:25:29ZengAOSISSouth African Journal of Business Management2078-55852078-59761982-12-0113416917510.4102/sajbm.v13i4.1194907Unit trusts and portfolio selection on the Johannesburg Stock ExchangeK. J. Carter0J. F. Affleck-Graves1A. H. Money2Allan Gray Investment Counsel, Cape TownDepartment of Mathematical Statistics, University of Cape TownGraduate School of Business, University of Cape TownThe application of the standard techniques of portfolio selection on the 34 sectors comprising the JSE All Share index is undertaken for the three equal non-overlapping five-year periods between February 1965 and January 1980. Efficient portfolios in each period which carry the same risk as the market index are seen to outperform the market substantially. Portfolios chosen at random to span the efficient frontier in each period reveal the consistent inefficiency of 10 sectors over the 15-year period. Three of these sectors, namely Mining Holding, Mining Houses and Industrial Holding are shown to be favoured in the Association of Unit Trusts portfolio relative to these sectors' proportion of the market. On the presumption that unit trust managers attempt to act efficiently, holding these sectors is only justified if the measure of risk used in the portfolio selection algorithm, namely standard deviation of expected return, is less appropriate than other measures of risk such as earnings volatility. If standard deviation of expected return is a more appropriate measure of risk in the selection of efficient portfolios, it must be concluded that the large sophisticated investors managing the unit trusts act inefficiently.https://sajbm.org/index.php/sajbm/article/view/1194 |
| spellingShingle | K. J. Carter J. F. Affleck-Graves A. H. Money Unit trusts and portfolio selection on the Johannesburg Stock Exchange South African Journal of Business Management |
| title | Unit trusts and portfolio selection on the Johannesburg Stock Exchange |
| title_full | Unit trusts and portfolio selection on the Johannesburg Stock Exchange |
| title_fullStr | Unit trusts and portfolio selection on the Johannesburg Stock Exchange |
| title_full_unstemmed | Unit trusts and portfolio selection on the Johannesburg Stock Exchange |
| title_short | Unit trusts and portfolio selection on the Johannesburg Stock Exchange |
| title_sort | unit trusts and portfolio selection on the johannesburg stock exchange |
| url | https://sajbm.org/index.php/sajbm/article/view/1194 |
| work_keys_str_mv | AT kjcarter unittrustsandportfolioselectiononthejohannesburgstockexchange AT jfaffleckgraves unittrustsandportfolioselectiononthejohannesburgstockexchange AT ahmoney unittrustsandportfolioselectiononthejohannesburgstockexchange |