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...

In the wake of the Global Financial Crisis (GFC), the so-called “Market Knows Best” mantra is now openly questioned by even its most ardent admirers. Within Capital Markets, the “Market Knows Best” mantra influences the assumptions and conclusions of the Efficient Market Hypothesis (EMH)...