Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/217812 
Year of Publication: 
1982
Citation: 
[Journal:] South African Journal of Business Management [ISSN:] 2078-5976 [Volume:] 13 [Issue:] 4 [Publisher:] African Online Scientific Information Systems (AOSIS) [Place:] Cape Town [Year:] 1982 [Pages:] 169-175
Publisher: 
African Online Scientific Information Systems (AOSIS), Cape Town
Abstract: 
The application of the standard techniques of portfolio selection on the 34 sectors comprising the JSE All Share index is undertaken for the three equal non-overlapping five-year periods between February 1965 and January 1980. Efficient portfolios in each period which carry the same risk as the market index are seen to outperform the market substantially. Portfolios chosen at random to span the efficient frontier in each period reveal the consistent inefficiency of 10 sectors over the 15-year period. Three of these sectors, namely Mining Holding, Mining Houses and Industrial Holding are shown to be favoured in the Association of Unit Trusts portfolio relative to these sectors' proportion of the market. On the presumption that unit trust managers attempt to act efficiently, holding these sectors is only justified if the measure of risk used in the portfolio selection algorithm, namely standard deviation of expected return, is less appropriate than other measures of risk such as earnings volatility. If standard deviation of expected return is a more appropriate measure of risk in the selection of efficient portfolios, it must be concluded that the large sophisticated investors managing the unit trusts act inefficiently.
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.