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

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dc.contributor.authorRaubenheimer, H.en_ZA
dc.date.accessioned2011-10-13T16:59:45Z
dc.date.available2011-10-13T16:59:45Z
dc.date.issued2011
dc.descriptionCITATION: 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.
dc.descriptionThe original publication is available at https://sajbm.org
dc.description.abstractModern 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.
dc.description.urihttps://sajbm.org/index.php/sajbm/article/view/491
dc.description.versionPublisher's version
dc.format.extent11 pages
dc.identifier.citationRaubenheimer, 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.
dc.identifier.issn2078-5976 (online)
dc.identifier.issn2078-5585 (print)
dc.identifier.otherdoi:10.4102/sajbm.v42i2.491
dc.identifier.urihttp://hdl.handle.net/10019.1/17233
dc.language.isoen
dc.publisherAOSIS
dc.rights.holderAuthor retains copyright
dc.subjectStock exchanges -- South Africaen_ZA
dc.titleVarying cross-sectional volatility in the South African equity market and the implications for the management of fund managersen_ZA
dc.typeArticle
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