The study looked at different ways to measure risk when choosing stocks to invest in. They found that using value-at-risk as a measure of risk led to better stock selections on the Johannesburg Stock Exchange. By considering more than just the average return and standard deviation, investors can make more profitable choices. Adjusting for skewness and kurtosis also showed promise in selecting stocks for long-term investments. This research suggests that active portfolio management can help investors outperform the market, but different strategies may be needed for different types of investors.