Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/304135 
Year of Publication: 
2023
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 11 [Issue:] 2 [Article No.:] 2231662 [Year:] 2023 [Pages:] 1-15
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
Rules-based portfolio sorts are commonplace for the evaluation of style anomalies. An unfortunate consequence of constructing portfolios on a target style is the unintended loading on non-target factors. A plausible approach is the application of optimisation to maintain target factor loading while minimising non-target factor exposures. We test this methodology on an emerging market bourse, the Johannesburg Stock Exchange, via quintile portfolios sorted on momentum, value and size. We find that value and momentum benefit most from optimisation in terms of nominal and risk-adjusted performance. From an emerging market perspective, we show that optimisation is a viable alternative when independent sorts are infeasible.
Subjects: 
emerging markets
factor
JSE
purity
style
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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