Research Papers

The inflation hedging properties of South African and international asset classes

ABSTRACT Within the period 1965 to 2015 all domestic asset class returns (except cash) are found to exhibit negative correlations with the contemporaneous inflation rate. Cash has hedging qualities due to Reserve Bank inflation targeting policy action but has a low real yield. Furthermore, Engle-Granger cointegration tests show that none of the asset class prices […]

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Diversification and the realised volatility of equity portfolios

ABSTRACT In Markowitz’s (1952) portfolio theory, a reduction in volatility for a given level of expected return is implied as being equivalent to an increase in diversification. The recent development of risk-based portfolio construction methods, which emphasise diversification separately from volatility reduction, challenges this equivalence. Using a point-in-time database of liquid equities listed on the […]

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Common Firm-specific characteristics of extreme performers on the Johannesburg Securities Exchange

ABSTRACT In this study we investigate the common firm-specific factors associated with shares that experience extreme monthly performance on the Johannesburg Securities Exchange. READ MORE

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Optimal portfolio leverage

ABSTRACT The Optimal Portfolio Leverage Ratio provides the level of leverage to use to attain the highest expected long-term terminal value of an investment and is calculated independently of investors’ indifference curves. This article applies a discrete multi-period compounding framework to both discrete and continuous cross-sectional pay-off distributions. In both cases, an Optimal Portfolio Leverage […]

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