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

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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Bibliographic Details
Main Author: H. Raubenheimer
Format: Article
Language:English
Published: AOSIS 2011-06-01
Series:South African Journal of Business Management
Online Access:https://sajbm.org/index.php/sajbm/article/view/491
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spelling doaj-19d01704e66346b5ab6dfd3a12c6c7372021-04-02T14:30:54ZengAOSISSouth 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
collection DOAJ
language English
format Article
sources DOAJ
author H. Raubenheimer
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
author_facet H. Raubenheimer
author_sort H. Raubenheimer
title 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_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_sort varying cross-sectional volatility in the south african equity market and the implications for the management of fund managers
publisher AOSIS
series South African Journal of Business Management
issn 2078-5585
2078-5976
publishDate 2011-06-01
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.
url https://sajbm.org/index.php/sajbm/article/view/491
work_keys_str_mv AT hraubenheimer varyingcrosssectionalvolatilityinthesouthafricanequitymarketandtheimplicationsforthemanagementoffundmanagers
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