This study evaluates naïve and advanced prediction models when applied to style rotation strategies on the Johannesburg Stock Exchange (‘JSE’). We apply 1- and 3-month style momentum as naïve predictors against three tree-based machine learning (‘ML’) algorithms (advanced predictors),...

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...

This paper examines the relationship between trading activity and returns volatility in white maize futures listed on the South African Futures Exchange (SAFEX) and investigates the impact of speculative activity on volatility. Returns volatility is estimated using a GARCH (1,1) model. Trading...