Risk-Adjusted Performance of South African Active Investment Strategy of Liability-Driven Investor

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  • Martin Kocúrek University of Economics in Bratislava


Risk-adjusted performance, portfolio management, South Africa, Value at Risk, liability-driven investor


This paper investigates the risk-adjusted performance of an active investment strategy tailored
for a liability-driven investor (LDI) within the South African financial market. The primary focus is on a
portfolio consisting predominantly of short-term government securities and cash, reflecting the LDI’s
objectives of capital preservation and liquidity. Utilizing risk-adjusted performance indicators such as the
Sharpe Ratio, Jensen's Alpha, and Sortino Ratio, along with Value at Risk (VaR) methodologies, this
study provides a comprehensive analysis of the portfolio's risk-return profile over a period from August
29, 2000, to September 21, 2021. The findings indicate that the active management strategy has been
effective in balancing risk and return, achieving competitive returns relative to the risks undertaken. The
positive Jensen’s Alpha highlights the portfolio manager's skill in generating excess returns, while the
VaR estimates offer insights into potential downside risks under various market conditions. This research
contributes to the broader understanding of risk-adjusted investment strategies for liability-driven
investors, particularly within emerging markets, and underscores the importance of ongoing portfolio
monitoring and risk management.


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Author Biography

Martin Kocúrek, University of Economics in Bratislava

Department of Finance, Faculty of Economics and Finance, Slovak Republic


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T. J. Linsmeier & N. D. Pearson, (2000). Value at risk. Financial Analysts Journal, 56(2), 47-67.




How to Cite

Kocúrek, M. (2024). Risk-Adjusted Performance of South African Active Investment Strategy of Liability-Driven Investor. International Journal of Advanced Natural Sciences and Engineering Researches, 8(5), 251–257. Retrieved from https://as-proceeding.com/index.php/ijanser/article/view/1909

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