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

Date
2011
Journal Title
Journal ISSN
Volume Title
Publisher
AOSIS
Abstract
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.
Description
CITATION: Raubenheimer, H. 2011. 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, 42(2):a491, doi:10.4102/sajbm.v42i2.491.
The original publication is available at https://sajbm.org
Keywords
Stock exchanges -- South Africa
Citation
Raubenheimer, H. 2011. 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, 42(2):a491, doi:10.4102/sajbm.v42i2.491.