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 factor
Low volatility stocks realize comparatively high risk-adjusted returns. The same is true for corporate bonds.
The notion that greater risk pays off in the long run by generating higher returns has been proven incorrect by academic research*. Further studies show that the performance of low-risk stocks does not lag that of the market as a whole. The chart below demonstrates this on the basis of data from a study.
Figure: Risk-return ratio 1931 - 2009
Source: Pim van Vliet: 'Low-volatility investing - a long-term perspective', January 2012.
Robeco's approach to investing in low-volatility equities is reflected in its 'Conservative Strategy'. Compared to an ordinary low-volatility strategy, this approach strives to achieve lower transaction costs, reduced risk and extra returns in a market upturn.
Robeco not only selects stocks on the basis of low volatility, but also looks at insolvency risk and Value- and Momentum-driven factors. For example, by taking the Value factor into account in the selection of low-volatility stocks, investors are prevented from paying too high a price.
This is how this strategy differs from that used by low-vol investors who select stocks exclusively on the basis of historically low volatility.
Invisible layers surface to deliver attractive returns
Figure: Improved risk-return ratio in Robeco's Low Volatility factor approach - Robeco Conservative Equities
Source: Pim van Vliet: 'Low-volatility investing - a long-term perspective', January 2012.
Robeco uses the low-volatility anomaly not only for stocks, but also for bonds, and calls this approach 'Robeco Conservative Credits'. According to this methodology, investments are made consistently in the bonds of companies with a low level of expected risk.
These bonds are characterized by a shorter time to maturity and a higher level of 'seniority' (the order of repayments in the event of default). The bonds are issued by companies with relatively low debt-to-equity ratios.
