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Exploring the behaviour of actively managed, maximally diversified portfolios

Theron, L.; Van Vuuren, Gary - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 44 (2020) 2, pp. 49-72

Persistent link: https://www.econbiz.de/10012613652

Spectral analysis and the death of value investing

Bezuidenhout, John-Morgan; Van Vuuren, Gary - In: Cogent economics & finance 9 (2021) 1, pp. 1-23

This study explores the redundancy of the value premium by conducting a Fourier analysis. The results illustrate periodicity in the value premium and merges the Adaptive Market Hypothesis with the Efficient Market hypothesis. The value premium is considered to be redundant due to structural...

Persistent link: https://www.econbiz.de/10013184434

A risk-adjusted performance evaluation of US and EU hedge funds and associated equity markets over the 2007 - 2009 financial crisis

Van Heerden, Chris; Heymans, André; Van Vuuren, Gary; … - In: International business and economics research journal 13 (2014) 1, pp. 169-189

Persistent link: https://www.econbiz.de/10010251617

Feasible portfolios under tracking error, β, α and utility constraints

Daly, Michael; Maxwell, Michael; Van Vuuren, Gary - In: Investment management and financial innovations 15 (2018) 1, pp. 141-153

Persistent link: https://www.econbiz.de/10012001419

Optimizing tracking error-constrained portfolios

Maxwell, Michael; Daly, Michael; Thomson, Daniel; Van … - In: Applied economics 50 (2018) 54, pp. 5846-5858

Persistent link: https://www.econbiz.de/10012062920

Hedge fund performance using scaled Sharpe and Treynor measures

Van Dyk, François; Van Vuuren, Gary; Heymans, André - In: International business and economics research journal 13 (2014) 6, pp. 1261-1300

Persistent link: https://www.econbiz.de/10011279837

Active investment strategies under tracking error constraints

Maxwell, Michael; Van Vuuren, Gary - In: International advances in economic research : IAER ; an … 25 (2019) 3, pp. 309-322

Persistent link: https://www.econbiz.de/10012234315

An Omega ratio analysis of global hedge fund returns

Rambo, James; Van Vuuren, Gary - In: The journal of applied business research 33 (2017) 3, pp. 565-585

Persistent link: https://www.econbiz.de/10011705695

Attribution of hedge fund returns using a Kalman filter

Thomson, Daniel; Van Vuuren, Gary - In: Applied economics 50 (2018) 9, pp. 1043-1058

Persistent link: https://www.econbiz.de/10011848239

The maximum diversification investment strategy : a portfolio performance comparison

Theron, Ludan; Van Vuuren, Gary - In: Cogent economics & finance 6 (2018) 1, pp. 1-16

The efficacy of four different portfolio allocation strategies is evaluated according to their absolute returns during different economic conditions over a period of 10 years. A comparison is drawn between the Most Diversified portfolio (MD) and three alternatives; a Minimum Variance portfolio,...

Persistent link: https://www.econbiz.de/10011891272