Fusion investing: an esoteric approach to portfolio formation

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dc.contributor.author Seetharam, Yudhvir
dc.date.accessioned 2012-07-03T05:38:09Z
dc.date.available 2012-07-03T05:38:09Z
dc.date.issued 2012-07-03
dc.identifier.uri http://hdl.handle.net/10539/11584
dc.description.abstract This study contributes to the debate on active and passive portfolio management by providing an alternate means of constructing an active portfolio. This “fusion strategy” has underpinnings in the realm of behavioural finance, namely the value-growth phenomenon and the momentum effect. The fusion strategy developed in this study was compared against two passive benchmarks and four active benchmarks. All returns are calculated net of transaction costs, initially set to 1% per month per share. Statistical testing, done via stochastic dominance, yielded inconclusive results in the majority of cases. The exception however, was that Fund B stochastically dominated the fusion strategy at second order. This implies that a risk-averse investor would prefer to invest in Fund B. By the use of Sharpe and Treynor ratios, the results were also inconclusive. However, the Sortino ratio shows that the fusion strategy outperforms all benchmarks chosen, except Fund A. The performance of the fusion strategy was also not induced by either a sector rotation strategy, the existence of the January effect or by the level of transaction costs. en_ZA
dc.language.iso en en_ZA
dc.subject portfolio management en_ZA
dc.subject behavioural finance en_ZA
dc.subject Investing en_ZA
dc.title Fusion investing: an esoteric approach to portfolio formation en_ZA
dc.type Thesis en_ZA


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    Thesis (Ph.D.)--University of the Witwatersrand, 1972.

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