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,...

Zero-cost collars are option-based strategies which-by matching prices received and paid for the component derivatives-provide costless protection for stock or index investments. The investors' risk appetite determines a return floor by selecting a relevant put strike and the associated call...

Purpose: Using a portfolio comprising liquid global stocks and bonds, this study aims to limit absolute risk to that of a standardised benchmark and determine whether this has a significant impact on expected return in both high volatility period (HV) and low volatility period (LV)....

In South Africa, corporate finance events receive extensive coverage in the media. However, there are only a few studies examining the behaviour of share prices in response to such events. Using the event study methodology commonly used in corporate finance research, the reaction of a sample of...

Sector investing aims to guide investors in identifying undervalued securities. Knowing which sectors flourish at different phases of the business cycle, investment returns may be boosted by increasing holdings in securities from strengthening sectors and reducing holdings in weakening ones. As...

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...

This article tests whether a correlation exists between a stochastic synthetic volatility index (SVIX) and the Chicago Board Options Exchange (CBOE) volatility index (VIX) and assesses the success of the indicators' application by pairing an undeveloped trading strategy to gauge its forecasting...

Maximising returns is often the primary goal of asset management but managing and mitigating portfolio risk also plays a significant role. Successful active investing requires outperformance of a benchmark through skillful stock selection and market timing, but these bets necessarily give rise...