Pure quantile portfolios on the Johannesburg stock exchange

Daniel Page, David McClelland and Christo Auret

Cogent Economics & Finance, 2023, vol. 11, issue 2, 2231662

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.

Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/23322039.2023.2231662 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:oaefxx:v:11:y:2023:i:2:p:2231662

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/OAEF20

DOI: 10.1080/23322039.2023.2231662

Access Statistics for this article

Cogent Economics & Finance is currently edited by Steve Cook, Caroline Elliott, David McMillan, Duncan Watson and Xibin Zhang

More articles in Cogent Economics & Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().