Disclaimer
BY CLICKING ON “I AGREE”, I DECLARE I AM A WHOLESALE CLIENT AS DEFINED IN THE CORPORATIONS ACT 2001.
What is a Wholesale Client?
A person or entity is a “wholesale client” if they satisfy the requirements of section 761G of the Corporations Act.
This commonly includes a person or entity:
who holds an Australian Financial Services License
who has or controls at least $10 million (and may include funds held by an associate or under a trust that the person manages)
that is a body regulated by APRA other than a trustee of:
(i) a superannuation fund;
(ii) an approved deposit fund;
(iii) a pooled superannuation trust; or
(iv) a public sector superannuation scheme.
within the meaning of the Superannuation Industry (Supervision) Act 1993that is a body registered under the Financial Corporations Act 1974.
that is a trustee of:
(i) a superannuation fund; or
(ii) an approved deposit fund; or
(iii) a pooled superannuation trust; or
(iv) a public sector superannuation scheme
within the meaning of the Superannuation Industry (Supervision) Act 1993 and the fund, trust or scheme has net assets of at least $10 million.that is a listed entity or a related body corporate of a listed entity
that is an exempt public authority
that is a body corporate, or an unincorporated body, that:
(i) carries on a business of investment in financial products, interests in land or other investments; and
(ii) for those purposes, invests funds received (directly or indirectly) following an offer or invitation to the public, within the meaning of section 82 of the Corporations Act 2001, the terms of which provided for the funds subscribed to be invested for those purposes.that is a foreign entity which, if established or incorporated in Australia, would be covered by one of the preceding paragraphs.
Quantitative investing
Low volatility anomaly
The low volatility anomaly refers to the finding that stocks exhibiting lower volatility achieve higher returns than can be explained by the efficient market theory (Capital Asset Pricing Model).
Empirical research shows low-volatility securities, because they usually fall less in down markets, tend to generate higher risk-adjusted returns over the longer term.
This counter intuitive phenomenon was first documented more than forty years ago. According to the CAPM, investors’ decisions are rational.
They reason that higher risk, in this case higher volatility, will always entail higher returns.
But in 1972, a study by outperformed in the period 1929-1971. Further research confirmed this ‘low beta effect’ for other equity markets and Robeco researchers documented a similar ‘low volatility effect‘: lower volatility stocks generate higher risk-adjusted returns.
Further academic research demonstrated that the volatility effect is growing stronger in the European, Japanese and Emerging equity markets.
