South African asset classes : return and volatility relationship dynamics over time

This dissertation is based on the hypothesis that a third dimension, namely investmenttime horizon, can add value to the more conventional two-dimensional methodologyof assessing the relative risk and return attributes of various assets and portfolios inorder to enhance investment decisions.This study shows that time horizons should be considered in the investment decisionmaking process and provides concrete evidence that a methodology that is notcognizant of investment time horizon is prone to extensive long-term opportunity costrisk.In addition to providing evidence of investment time horizon relevance, the studymakes suggestions as to how time horizons could be incorporated into the risk returnassessments of various asset classes and also presents a framework for the moreholistic assessment of asset class properties while incorporating time horizons.