Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers
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 equi...
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| Format: | Article |
| Language: | English |
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AOSIS
2011-06-01
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| Series: | South African Journal of Business Management |
| Online Access: | https://sajbm.org/index.php/sajbm/article/view/491 |
| _version_ | 1817987599823798272 |
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| author | H. Raubenheimer |
| author_facet | H. Raubenheimer |
| author_sort | H. Raubenheimer |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-14T00:24:17Z |
| format | Article |
| id | doaj.art-19d01704e66346b5ab6dfd3a12c6c737 |
| institution | Directory Open Access Journal |
| issn | 2078-5585 2078-5976 |
| language | English |
| last_indexed | 2024-04-14T00:24:17Z |
| publishDate | 2011-06-01 |
| publisher | AOSIS |
| record_format | Article |
| series | South African Journal of Business Management |
| spelling | doaj.art-19d01704e66346b5ab6dfd3a12c6c7372022-12-22T02:22:49ZengAOSISSouth African Journal of Business Management2078-55852078-59762011-06-01422152510.4102/sajbm.v42i2.491216Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managersH. Raubenheimer0School of Management Studies, University of Cape Town, South Africa; and University of Stellenbosch Business SchoolModern 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.https://sajbm.org/index.php/sajbm/article/view/491 |
| spellingShingle | H. Raubenheimer 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 |
| title | Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers |
| title_full | Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers |
| title_fullStr | Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers |
| title_full_unstemmed | Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers |
| title_short | Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers |
| title_sort | varying cross sectional volatility in the south african equity market and the implications for the management of fund managers |
| url | https://sajbm.org/index.php/sajbm/article/view/491 |
| work_keys_str_mv | AT hraubenheimer varyingcrosssectionalvolatilityinthesouthafricanequitymarketandtheimplicationsforthemanagementoffundmanagers |